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...
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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...
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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...
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