Università della Svizzera italiana

Financial market integration and asset prices

Sandulescu, Paula Mirela ; Trojani, Fabio (Dir.) ; Gagliardini, Patrick (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.

My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...

Università della Svizzera italiana

Essays in asset pricing

Orlowski, Piotr ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017ECO002.

My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter's focal point is the measurement of the premium for jump risks in index option markets. The second chapter is devoted to non- parametric measurement of pricing kernel dispersion. The third chapter contributes to the literature on latent state variable recovery in...

Università della Svizzera italiana

Essays on variance risk

Gruber, Peter ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...

Università della Svizzera italiana

Aligning capital with risk

Ebnöther, Silvan ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO007.

The interaction of capital and risk is of primary interest in the corporate governance of banks as it links operational profitability and strategic risk management. Senior executives understand that their organization's monitoring system strongly affects the behaviour of managers and employees. Typical instruments used by senior executives to focus on strategy are balanced scorecards with...

Università della Svizzera italiana

Essays in asset pricing

Piatti, Ilaria ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.

My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...

Università della Svizzera italiana

Essays in macro-finance

Lopez, Pierlauro ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO014.

This doctoral thesis explores the boundary between macroeconomics and finance by focusing on three questions: (i) the measure of the cost of aggregate uncertainty at different horizons and over time; (ii) the role of nominal rigidities in explaining stock-bond yield comovement; (iii) the role of stock prices in the conduct of monetary policy. The objective is to identify some of the...

Università della Svizzera italiana

Essays in asset allocation

Leirvik, Thomas ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO003.

This thesis consists of two chapters. In the first chapter, I analyze the optimal allocation of wealth to cash, bonds, and stocks when the interest rate is stochastic and the stock index has a time-varying mean. I find that, under certain economic conditions, the investor may optimally increase investments in stocks and bonds at the same time, which is due to the dynamic trading policies and...

Università della Svizzera italiana

Modeling the term structure of interest rates

Povala, Pavol ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO009.

This doctoral thesis studies the behavior of yields on government bonds. I focus on three aspects of the yield curve: (i) the link between bond yields and key macro quantities such as consumption growth, (ii) the process of expectations formation about the short term interest rate which, in most developed markets, is the main monetary policy instrument, and (iii) the behavior of interest rate...

Università della Svizzera italiana

Essays in asset pricing

Vedolin, Andrea Claudia ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2010 ; 2010ECO008.

My dissertation aims at understanding the impact of uncertainty and disagreement on asset prices. It contains three main chapters. Chapter One gives a general introduction into the topic of partial information and heterogeneous beliefs. Chapter Two explains the link between credit spreads and the heterogeneous formation of expectations in an economy where agents with different perception of...

Università della Svizzera italiana

Essays on the term structure of interest rates

Cieslak, Anna ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO002.

This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose...