Thèse de doctorat : Università della Svizzera italiana, 2019 ; 20019ECO002.
My PhD thesis consists of three papers which study how interest rate products' prices react to both the central bank's policy goals and communication. As tool I make use of various econometric techniques such as affine models, general method of moments or Haar like filtering. The first chapter studies government bond excess term premia. I show that their predictability is driven by monetary...
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In: Finance and Stochastics, 2014, vol. 18, no. 4, p. 845-872
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In: Finance and Stochastics, 2014, vol. 18, no. 2, p. 327-347
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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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Mémoire de bachelor : Haute école de gestion de Genève, 2018 ; TDIBM 30.
In 2009 and 2015, crude oil traders had the opportunity to take advantage of an arbitrage opportunity between the spot market and the future market, the phenomena is famous in the industry and is well known as Super-Contango. On the other hand, the same arbitrage opportunity was never observed in the grain andwe do not hear about any Super-Carry. This study aims to investigate what are the...
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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....
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In: Financial Markets and Portfolio Management, 2008, vol. 22, no. 2, p. 147-167
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In: Annals of Finance, 2007, vol. 3, no. 2, p. 213-240
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In: Finance and Stochastics, 2011, vol. 15, no. 1, p. 27-55
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In: Mathematical Methods of Operations Research, 2006, vol. 64, no. 2, p. 187-209
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