It is widely recognized that individual decision making is subject to the evaluation of gains and losses around a reference point. The estimation of discrete choice models increasingly use data from stated choice experiments which are pivoted around a reference alternative. However, to date, the specification of a reference alternative in transport studies is fixed, whereas it is common to...
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Choice behaviour might be determined by asymmetric preferences whether the consumers are faced with gains or losses. This paper investigates loss aversion and diminishing sensitivity, and analyzes their implications on willingness to pay and willingness to accept measures in a reference pivoted choice experiment in a freight transport framework. The results suggest a significant model fit...
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Infrastructure vulnerability is a topic of rising interest in the scientific literature for both the general increase of unexpected events and the strategic importance of certain links. Protective investments are extremely costly and risks are distributed in space and time which poses important decision problems to the public sector decision makers. In an economic prospective, the evaluation...
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In: The review of financial studies, 2008, vol. 21, no. 3, p. 1223-1258
We propose a new method for pricing options based on GARCH models with filtered historical innovaions. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other...
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In: Computational economics, 2007, vol. 29, no. 2, p. 151-159
Hedging equations from a method suggested by Barone-Adesi, Engle and Mancini, are presented and discussed. This model assumes the option price is homogeneous and the calculation is model independent, providing delta hedge ratios immediately from market data.
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Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO008.
The main purpose of the thesis is the prediction of default events for small and medium size companies, by developing useful techniques able to cope with some issues related to anomalies often present in this kind of data, such as rare events and aberrant observations. To treat rare events the Bayesian paradigm is used through Markov Chain Monte Carlo techniques, also adopting the zero...
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Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO005.
By examining the gold leasing market and employing data on the gold forward offered rate (GOFO) and derived lease rates, we propose that rather than using the interest-adjusted basis as a proxy for the convenience yield of gold, the convenience yield is better approximated by the derived gold lease rate. Additionally, using the interest-adjusted basis as opposed to the lease rate can lead to...
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Thèse de doctorat : Università della Svizzera italiana, 2009.
Die vorliegende Dissertation geht hypothesengeleitet der Frage nach, wie die Deutschschweizer Presse über Übergewicht berichtet. Übergewicht ist ein Thema, das in den hiesigen Printmedien vor allem in den letzten Jahren steigende Beachtung fand. Aufgekommen ist das gesellschaftliche Bewusstsein für die Übergewichtsthematik in der Schweiz seit Mitte der 1980er Jahre. In der...
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Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO006.
A new methodology for semi-parametric modelling of implied volatility surfaces is presented. This methodology is dependent upon the development of a feasible estimating strategy in a statistical learning framework. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and...
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In: The journal of finance, 2010, vol. 65, no. 1, p. 393-420
We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is...
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