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Options trading strategies and equity risk premia

Tedeschini, Davide ; Schneider, Paul (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO010.

This doctoral thesis examines, from both a theoretical and an empirical perspective, different aspects of the equity derivative markets, such as the appropriate evaluation of equity risk premia and the development of trading strategies based on options. In the first chapter, entitled “Approximate arbitrage with limit orders”, I introduce an almost riskless trading scheme involving two...

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Conditioning the information in asset pricing

Sala, Carlo ; Barone-Adesi, Giovanni (Dir.)

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 long-lasting puzzles present in...

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