Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO009.
The high informational content and the ease of accessibility are among the most attractive features which make derivative securities particularly useful in financial applications. With a special focus on risk management and asset pricing, I present several methodologies which involve the use of option and futures data in the estimation process. This doctoral thesis consists of three chapters....

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO003.
This thesis analyzes different theoretical and empirical aspects related to the use of the information in asset pricing. As a main innovation I extend the asset pricing literature proposing a new highly flexible technique for the estimation of the markets subjective distribution of future returns. Applying this technique to different problems I answer to some longlasting puzzles present in...

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO006.
My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the booktomarket anomaly and the size anomaly to cashflow risk, and document a strong crosssectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of...

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO005.
The work investigates two major topics: the presence of a systematic and an idiosyncratic component in CDS spreads and the credit spread puzzle. We verify that a systematic factor is priced in the crosssection of CDS returns. We also notice that the systematic component of risk increases after the financial crisis. We finally verify that the fraction of systematic risk is not the same in...

Thèse de doctorat : Università della Svizzera italiana, 2012 ; 2012ECO003.
The focus of this doctoral thesis is on the determination of the implied cost of capital in the equity market. Three issues are investigated in detail: the relations between the cost of equity capital, the credit spread and the economic growth; the links between realized market returns and the cost of capital; and the forecasting power of the implied discount factor in predicting market...

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO010.
The main goal of this thesis is to present and evaluate different procedures for modeling and forecasting volatility, and examine the relative accuracy of these forecasts using data from the light, sweet crude oil futures market traded at New York Mercantile Exchange (NYMEX). First, we consider various volatility models and find that the models, which account for long memory, has the best...

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO008.
An indepth analysis of Nord Pool electricity price has been outlined. This market is the oldest and one of the largest European electricity exchange, allowing to observe a consistently long time series. The main contributions of this work are: (a) A waveletbased algorithm, named RαWTMM, to automatically detect spikes on a time series. The WTMM algorithm, used in signal processing to detect...

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO001.
The main objective of the thesis is to find a pricing model for weather derivatives based on temperature. A general OrnsteinUhlenbeck process with seasonal mean and volatility is proposed to model the timedynamics of daily average temperatures. The model is fitted to almost 54 years of daily observations recorded in Chicago, Philadelphia, Portland and Tucson. The unequivocal evidence of fat...

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.
The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO005.
In the first part of this work we address the problem of parameter misspecification in a generic class of stochastic volatility models. We extend the approach proposed by Avellaneda, Levy and Paràs (1995) (hereafter ALP) by moving from a framework with uncertain volatility to the uncertainty on volatility process parameters. We assume that parameter values of the stochastic volatility model are...
