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...