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Università della Svizzera italiana

Essays on the valuation and hedging of derivative securities

Dall'O, Hakim ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO001.

This thesis is made of three articles dealing with two main subjects: the so called "Kernel Puzzle" and the problem of immunization of portfolio of treasury and corporate bonds. For the first topic, we provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and...