Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...
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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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Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO015.
We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective...
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Mémoire de bachelor : Haute école de gestion de Genève, 2018 ; TDIBM 40.
Frontier markets are gaining in popularity in the investment world, as they present the advantage of high returns with potentially diminishing risks in the future and attractive correlation characteristics as globalization unfolds. As the growth of China has slowed down in the past few years, Asian frontier markets are the countries investors turn to expecting rapid economic growth. However,...
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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: Financial Markets and Portfolio Management, 2008, vol. 22, no. 2, p. 147-167
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In: Review of Derivatives Research, 2006, vol. 9, no. 2, p. 109-135
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In: Supportive Care in Cancer, 2008, vol. 16, no. 10, p. 1151-1155
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In: Asia-Pacific Financial Markets, 2005, vol. 12, no. 1, p. 1-28
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In: Review of Derivatives Research, 2013, vol. 16, no. 3, p. 267-293
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