Università della Svizzera italiana

Essays on variance risk

Gruber, Peter ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...

Università della Svizzera italiana

Three essays in real options

Baranouskaya, Vera ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2010 ; 2010ECO005.

Real options refer to the investment, entry, exit and other strategic decisions of the firm that share three important characteristics: they are irreversible, they are made under uncertainty, and their timing is chosen by the firm. The term `real options' was introduced in 1977 by Stewart Myers in his paper `Determinants of corporate borrowing' that related risky debt holdings to the future...

Università della Svizzera italiana

A GARCH option pricing model with filtered historical simulation

Barone-Adesi, Giovanni ; Engle, Robert F. ; Mancini, Loriano

In: The review of financial studies, 2008, vol. 21, no. 3, p. 1223-1258

We propose a new method for pricing options based on GARCH models with filtered historical innovaions. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other...

Università della Svizzera italiana

Semi-parametric implied volatility surface models and forecasts based on a regression tree-boosting algorithm

Colangelo, Dominik ; Audrino, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO006.

A new methodology for semi-parametric modelling of implied volatility surfaces is presented. This methodology is dependent upon the development of a feasible estimating strategy in a statistical learning framework. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and...

Università della Svizzera italiana

Three essays in option pricing

Fusari, Nicola ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO002.

The present work explores the option pricing world under three different perspectives: theoretical models, numerical methods and real options. In the first chapter we develop a novel option pricing model. We define a stochastic volatility process for the underlying evolution using the realized volatility as a proxy of the true but unobservable volatility of the underlying. That reduces...

Università della Svizzera italiana

Requisiti patrimoniali, adeguatezza del capitale e gestione del rischio

Barone, Emilio ; Barone-Adesi, Giovanni ; Masera, Rainer

Il Comitato di Basilea ha deciso di introdurre un nuovo schema sull’adeguatezza dei mezzi patrimoniali degli istituti bancari, in sostituzione dell’Accordo del 1988. Le proposte avanzate in uno studio pubblicato nel giugno di quest’anno (A New Capital Adequacy Framework) sono state sottoposte all’esame della comunità finanziaria internazionale. La fase di consultazione del mercato...

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...