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Valuation of derivative assets under cyclical mean-reversion processes for spot prices
This thesis studies the stochastic behaviour of interest rates and commodity prices, extending the existing literature by allowing the underlying state variable to capture any possible seasonal or cyclical behaviour. In the first chapter, we propose a new model for the term structure of interest rates assuming that the instantaneous spot rate converges to a cyclical long-term level characterized by a Fourier series. Under this framework, we derive analytical expressions for the valuation of bonds and several interest rate derivative assets. The second chapter introduces a new square-root model for the yield curve where both the mean reversion level and the volatility are described by a harmonic oscillator. This model specification incorporates a good deal of flexibility preserving the analytical tractability. In the final chapter, we present a model for the logarithm of the commodity spot price with a reversion to a time dependent long-run level described by a Fourier series, obtaining closed-form expressions for a wide range of derivatives and study the fitting performance to market data.
Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Essays on Risk and Uncertainty in Economics and Finance
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy ...
Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues r...
Neutrino Cosmology
A self-contained guide to the role played by neutrinos in the Universe and how their properties influence cosmological and astrophysical observations.
La financiación de las pyme europeas: su relación con el entorno bancario e institucional
Las pequeñas y medianas empresas (pyme) suelen encontrar grandes dificultades en el acceso a la financiación que necesitan para el desarrollo de su actividad empresarial. Estas empresas, en comparación con aquellas de mayor tamaño, son percibidas como empresas de alto riesgo debido a que sus estados financieros no suelen estar auditados, a la falta de un amplio historial crediticio o a la ausencia de activos que ofrecer como garantías. Estas características agravan las asimetrías informativas y los problemas de agencia y, como consecuencia, las pyme acaban experimentando graves restricciones financieras. Sin embargo, las decisiones de financiación de las pyme no sólo dependen de sus...
Inquisition, Conversion, and Foreigners in Baroque Rome
"In Rome, where strategies to re-establish Roman Catholic orthodoxy were formulated, the problem of how to deal with foreigners and particularly with 'heretics' coming from Northern Europe was an important priority throughout the early modern period. Converting foreigners had a special significance for the Papacy. This volume, which includes several case studies, explores the meaning of conversion and the changes of policy adopted by the church bodies set up to protect orthodoxy. It uses inquisitorial documents (from Archivio della Congregazione per la dottrina della Fede) and sources from other archives and libraries, both in Rome and elsewhere. The book includes an updated bibliography with a particular attention paid to anglophone historiography"--
Estimating and Interpreting Forward Interest Rates
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Exact Renormalization Group, The - Proceedings Of The Workshop
The subject of the exact renormalization group started from pioneering work by Wegner and Houghton in the early seventies and, a decade later, by Polchinski, who formulated the Wilson renormalization group for field theory. In the past decade considerable progress has been made in this field, which includes the development of alternative formulations of the approach and of powerful techniques for solving the exact renormalization group equations, as well as widening of the scope of the exact renormalization group method to include fermions and gauge fields. In particular, two very recent results, namely the manifestly gauge-invariant formulation of the exact renormalization group equation and the proof of the c-theorem in four dimensions, are presented in this volume.
The Financial Mathematics of Market Liquidity
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app
