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Università della Svizzera italiana

An option pricing formula for the GARCH diffusion model

Ravanelli, Claudia ; Barone-Adesi, Giovanni (Dir.) ; Chesney, Marc (Codir.) ; Vanini, Paolo (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO001.

In this thesis, we derive an analytical closed-form approximation for European option prices under the GARCH diffusion model, where the price is driven by a geometric process and the variance by an uncorrelated mean reverting geometric process. This result has several important implications. First and foremost, these conditional moments allow us to obtain an analytical closed-form approximation...

Università della Svizzera italiana

Using information visualisation to facilitate instructors in web-based distance learning

Mazza, Riccardo ; Colombetti, Marco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004COM001.

The World Wide Web provides great opportunities for creating virtual classrooms of learners and instructors involved in distance education. Many software environments take advantage of the client-server communication on the Internet and support open and distance learning. Using environments called Course Management Systems (CMS), instructors can distribute information to students, produce content...

Università della Svizzera italiana

Modelizzazione e analisi empirica della domanda di servizi logistici e di trasporto da parte delle imprese

Bolis, Simona ; Maggi, Rico (Dir.) ; Filippini, Massimo (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO003.

Elemento centrale della presente tesi é la comprensione dei fattori che guidano le imprese nelle scelte concernenti il trasferimento dei propri prodotti nello spazio e nel tempo. La motivazione alla base del lavoro é la convinzione che la modellizzazione del trasporto merci oggi non rifletta il comportamento effettivo delle imprese in modo soddisfacente. Una seconda motivazione della...

Università della Svizzera italiana

The market for partial corporate control in Europe : the evidence about corporate raiders

Croci, Ettore ; Caprio, Lorenzo (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO002.

Corporate raiders are often associated with the 1980s takeover wave that reshaped the U.S. corporate landscape. While during the 1980s Europe remained relatively immune to this sort of investor, corporate raiders have operated actively both in Continental Europe and in the U.K. since the mid-1990s. Yet these corporate raiders are very different from the raiders that operated in the U.S. market...

Università della Svizzera italiana

Structural simulation in international trade = Simulazione strutturale nel commercio internazionale

Ramírez, Vicente ; Tonella, Giorgio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2002 ; 2002ECO001.

This thesis explores a way of representing the structure of the international trade system and of understanding its behaviour. Its main contribution is a model, developed following computer simulation methodology, that deals with interactions and interdependencies in international trade, and consequently, with the study of patterns of trade and trading bloc formation. The simulation model allows...

Università della Svizzera italiana

Robust statistical procedures for location and scale dynamic models with applications to risk management

Mancini, Loriano ; Ronchetti, Elvezio (Dir.) ; Trojani, Fabio (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO001.

In the first part of the thesis, we study the local robustness of inference procedures of the conditional location and scale parameters in a stationary time series model. We first derive optimal bounded-influence estimators for the parameters of conditional location and scale models under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of the...