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...

Università della Svizzera italiana

Three essays in real options

Baranouskaya, Vera ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2010 ; 2010ECO005.

Real options refer to the investment, entry, exit and other strategic decisions of the firm that share three important characteristics: they are irreversible, they are made under uncertainty, and their timing is chosen by the firm. The term `real options' was introduced in 1977 by Stewart Myers in his paper `Determinants of corporate borrowing' that related risky debt holdings to the future...

Università della Svizzera italiana

On the lease rate, the convenience yield and speculative effects in the gold futures market

Theal, John ; Barone Adesi, Giovanni (Dir.) ; Geman, Hélyette (Codir.)

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...

Università della Svizzera italiana

The term structure of credit spreads and the economic activity

Luisi, Maurizio ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO007.

We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B-rated corporate bonds in a doubly- stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables – indicators of real activity, inflation and financial conditions – as well as latent factors, as drivers of term structure dynamics. Our results...

Università della Svizzera italiana

Three essays in option pricing

Fusari, Nicola ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO002.

The present work explores the option pricing world under three different perspectives: theoretical models, numerical methods and real options. In the first chapter we develop a novel option pricing model. We define a stochastic volatility process for the underlying evolution using the realized volatility as a proxy of the true but unobservable volatility of the underlying. That reduces...

Università della Svizzera italiana

An empirical study of crude oil market

Roth, Yana ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO004.

In this thesis I have tried to identify the risks and opportunities crude oil market offers. For this purpose I tested the performance of univariate and multivariate GARCH models. The first part of the work describes univariate GARCH models and their application to commodities markets. Physical ownership of the commodity carries an associated flow of services. The net flow of these services per...

Università della Svizzera italiana

Market discipline in banking regulation : theory and evidence from Switzerland

Facchinetti, Matteo ; Barone Adesi, Giovanni (Dir.) ; De Giorgi, Enrico (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2007 ; 2007ECO006.

In Switzerland, relatively little effort has been put into assessing the role and potential of market information and market discipline in banking regulation and supervision. This thesis represents the first attempt to address the issue in a comprehensive way. The first two papers explore to what degree the market disciplines Swiss banks, both directly and indirectly. The empirical results...

Università della Svizzera italiana

On liquidity around large-block trades : Upstairs trading mechanisms, price impacts and common factors

Chen, Chwen Chwen ; Barone Adesi, Giovanni (Dir.) ; Degeorge, François (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO008.

Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions....

Università della Svizzera italiana

Measuring and modelling realized volatility : from tick-by-tick to long memory

Corsi, Fulvio ; Barone Adesi, Giovanni (Dir.) ; Audrino, Francesco (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO004.

This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.

Università della Svizzera italiana

A scenario generation algorithm for multistage stochastic programming : application for asset allocation models with derivatives

Laurent, Alessandro ; Barone Adesi, Giovanni (Dir.) ; Audrino, Francesco (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2006 ; 2006ECO001.

Modern financial portfolio management problems as well as asset/liability problems use stochastic optimization to allocate financial assets. To implement and solve such a stochastic optimization based portfolio allocation problem, we require scenario trees for the description of the future market evolutions of every random variable present in the model. This thesis proposes a general algorithm to...