Essays on the valuation and hedging of derivative securities Dall'O, Hakim;Barone Adesi, Giovanni

This thesis is made of three articles dealing with two main subjects: the so called "Kernel Puzzle" and the problem of immunization of portfolio of treasury and corporate bonds. For the first topic, we provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and...

Testo completo(Inglese) - 2011

Financial analysts and information flows in the markets Druz, Marina;Degeorge, François

The aim of this research project is to discuss the information flow between managers, analysts and investors in the financial markets. It examines the official information releases such as quarterly earnings announcements, unofficial flows of information between managers and analysts, and uncertain information as interpretation of managers' actions, so-called "signals", used by analysts and...

Testo completo(Inglese) - 2010

Three essays in real options Baranouskaya, Vera;Barone Adesi, Giovanni

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...

Testo completo(Inglese) - 2010

Continuous-time asset pricing with ambiguity aversion Porchia, Paolo;Trojani, Fabio

This Thesis is structured in two Chapters, each aimed at contributing to the existing literature by exploring the effects of ambiguity aversion on two classical equilibrium asset pricing problems: the term structure of interest rates and two-agents equilibrium. In both cases, ambiguity aversion is modeled by means of a Max-Min expected utility representation that falls within the Recursive...

Testo completo(Inglese) - 2005

Valuation of two-factor interest rate contingent claims using Green's theorem Sorwar, Ghulam;Barone-Adesi, Giovanni

Over the years a number of two-factor interest rate models have been proposed that have formed the basis for the valuation of interest rate contingent claims. This valuation equation often takes the form of a partial differential equation, that is solved using the finite difference approach. In the case of two factor models this has resulted in solving two second order partial derivatives...

Testo completo(Inglese) - 2011

Crisi dei subprimes Marty, Frédéric;Gianella, Tobiolo

Testo completo(Italiano) - 2008

On the construction of common size, value and momentum factors in international stock markets: A guide with applications Ziegler, Andreas

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters Datastream and Thomson...

Testo completo(Inglese) - 2011

Es braucht auch Instinkt Bruederlin, Gery

Lehren die Universitäten die Fähigkeiten, die in der Praxis gefragt sind? UBS-Personalchef Gery Bruederlin und Finanzprofessor Thorsten Hens im Gespräch.

Testo completo(Tedesco) - 2011

An experimental study on real option strategies (second revision) Chesney, Marc

We conduct a laboratory experiment to study whether people intuitively use real-option strategies in a dynamic investment setting. The participants were asked to play as an oil manager and make production decisions in response to a simulated mean-reverting oil price. Using cluster analysis, participants can be classified into four groups, which we label as \mean-reverting," \Brownian motion...

Testo completo(Inglese) - 2011

Detecting informed trading activities in the options markets Mancini, Loriano

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding millions,is not contemporaneously...

Testo completo(Inglese) - 2011

Detecting informed trading activities in the options markets: Appendix on subprime financial crisis Mancini, Loriano

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse of Bear Stearns Corporation and...

Testo completo(Inglese) - 2011

Vom Umgang mit Risiken Hens, Thorsten

Testo completo(Tedesco) - 2011

Derivative Finanzinstrumente und ihre Systemrisiken Chesney, Marc

Testo completo(Tedesco) - 2011

The value of tradeability Kempf, Alexander

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis- pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is the larger, the higher the pricing e±ciency of the market is. Uncertainty increases the value of...

Testo completo(Inglese) - 2011

The endogenous price dynamics of emission allowances and an application to CO2 option pricing Taschini, Luca

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, and the European Emission Trading Scheme is an example.By means of dynamic optimization in the contest of firms covered by such environmental regulations, this paper generates endogenously the price dynamics of emission permits under asymmetric information, allowing...

Testo completo(Inglese) - 2011

Wie ein Frosch im Wasser Hens, Thorsten

An den Finanzmärkten kommt es laufend zu Über- und Unterreaktionen. Daraus zieht Profit, wer zwischen Megaschocks und Megatrends unterscheiden kann.

Testo completo(Tedesco) - 2011

Theory of Inverse Demand: Financial Assets Wei, Xiao

While the comparative statics of asset demand have been studied extensively, surprisingly little work has been done on the behavior of equilibrium asset prices and returns in response to changes in the supplies of securities. This is despite considerable interest in the equity premium and interest rate puzzles. In this paper, we seek to fill this void for the classic case of a representative...

Testo completo(Inglese) - 2011

Vom Wissen und Glauben Hens, Thorsten

Testo completo(Tedesco) - 2011

News sensitivity and the cross-section of stock returns Dzielinski, Michal

The paper is the first one outside the high-frequency domain to use sentiment-signed news to directly compare news and no-news stock returns. This is done by estimating whether returns on positive, neutral and negative news days are significantly different from the average daily return for a large sample of US stocks over the period from January 2003 to August 2010. The general results show...

Testo completo(Inglese) - 2011

The impact of interest rate policy on stock market bubbles and trading behavior Zeisberger, Stefan

This paper investigates the effect of interest rate policy on stock market bubbles and trading behavior in experimental asset markets. For this purpose, we introduce the possibility of investing in interest bearing bonds to the classical laboratory asset market design of Smith, Suchanek, and Williams (1988). In a series of experiments treatment groups face a variable interest rate policy which...

Testo completo(Inglese) - 2011