Università della Svizzera italiana

Essays on variance risk

Gruber, Peter ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...