In: Experimental Economics, 2015, vol. 18, no. 4, p. 569-608
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In: Journal of Scientific Computing, 2015, vol. 65, no. 1, p. 387-410
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...
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In: Journal of risk and financial management, 2016, vol. 9, no. 1, p. 2
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very...
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In: Climate Dynamics, 2014, vol. 43, no. 12, p. 3403-3418
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In: Journal of Network and Computer Applications, 2018, vol. 121, p. 59–69
The increasingly growing data traffic has posed great challenges for mobile operators to increase their data processing capacity, which incurs a significant energy consumption and deployment cost. With the emergence of the Cloud Radio Access Network (C-RAN) architecture, the data processing units can now be centralized in data centers and shared among base stations. By mapping a cluster of...
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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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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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In: Journal of the Royal Statistical Society: Series A (Statistics in Society), 2016, vol. 180, no. 2, p. 475-502
Does universal preschool constitute an effective policy tool to promote the development and integration of children from minority groups? We address this question for the children of the Roma –the largest and most disadvantaged minority group in Europe. To tackle the issue of non-random selection into preschool, we exploit variation in the individual distance to the nearest preschool...
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In: Financial Markets and Portfolio Management, 2008, vol. 22, no. 2, p. 147-167
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