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Università della Svizzera italiana

Essays in asset pricing

Orlowski, Piotr ; Trojani, Fabio (Dir.)

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...

Università della Svizzera italiana

Essays in asset pricing

Piatti, Ilaria ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.

My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...

2 results 1