Università della Svizzera italiana

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....

Università della Svizzera italiana

Accounting based valuation and implied discount factor

Brughelli, Moreno ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2012 ; 2012ECO003.

The focus of this doctoral thesis is on the determination of the implied cost of capital in the equity market. Three issues are investigated in detail: the relations between the cost of equity capital, the credit spread and the economic growth; the links between realized market returns and the cost of capital; and the forecasting power of the implied discount factor in predicting market...

Università della Svizzera italiana

Constrained nonparametric dependence with application in finance

Gagliardini, Patrick ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.

The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...

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...