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Derivative securities in risk management and asset pricing

Legnazzi, Chiara ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO009.

The high informational content and the ease of accessibility are among the most attractive features which make derivative securities particularly useful in financial applications. With a special focus on risk management and asset pricing, I present several methodologies which involve the use of option and futures data in the estimation process. This doctoral thesis consists of three chapters....

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Conditioning the information in asset pricing

Sala, Carlo ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO003.

This thesis analyzes different theoretical and empirical aspects related to the use of the information in asset pricing. As a main innovation I extend the asset pricing literature proposing a new highly flexible technique for the estimation of the markets subjective distribution of future returns. Applying this technique to different problems I answer to some long-lasting puzzles present in...

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