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Monetary policy and interest rate products

Zurowski, Wojciech ; Schneider, Paul (Dir.)

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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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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