You are here

Antonio Mele
SFI Senior Chair
Professor of Finance
  +41 58 666 44 98

Antonio Mele is Full Professor of Finance at the Università della Svizzera italiana and has held an SFI Senior Chair since 2011, following a decade spent as a professor of Finance at the London School of Economics. He is the co-inventor of the first fixed income volatility indexes maintained by exchanges, including the CBOE Interest Rate Swap Volatility Index (SRVIX), the CBOE/CBOT TYVIX on US government debt, and the S&P/JPX JGB-VIX on Japanese government debt. Prof. Mele currently serves as a member of the Securities and Markets Stakeholder Group of ESMA, the supranational supervisor of European financial markets.

Research Interests:
His research interests relate to capital market volatility, interest rates and credit markets, macro-finance, and information in securities markets.
Recent Research:
Prof. Mele’s recent co-authored research provides foundations for pricing and indexing fixed income volatility, thereby paralleling similar efforts made by other researchers in the equity space that led to the VIX index. In their work, they provide a unified evaluation framework that deals with disparate markets such as interest-rate swaps, government bonds, time deposits, and credit, while covering the subtleties that accompany different market and quoting conventions, and coping with the pitfalls arising from naive superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.