<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Franzoni, Francesco</dc:contributor>
  <dc:creator>Cazzaniga, Sofia</dc:creator>
  <dc:date>2013-12-06</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">This thesis investigates the role of extreme events and of tails in financial asset returns distribution. It is composed of three parts. Chapter 1 details the application of a fast  convolution algorithm to compute high dimensional integrals in the context of multiplicative noise stochastic processes describing financial return. Chapter 2 deals with  downside risk in the currency markets by means of a proxy for the skewness of a high-minus-low currency portfolio, measuring the aggregate asymmetry of daily  changes in spot exchange rates involved in a carry-trade strategy, and by means of a factor tracking downside risk of deep-into-the-tails observations constructed  exploiting EVT techniques. Chapter 3 introduces a measure of country specific co-dependence between carry trade excess returns and the equity market of the target  country in bad states of the local economy. This measure is called downside co-dependence" and it is used to asses that, besides standard risk factors, there are country  specific characteristics that affect the performance of currency strategies.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://n2t.net/ark:/12658/srd1318439</dc:identifier>
  <dc:identifier>https://susi.usi.ch/global/documents/318439</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318439/files/2013ECO012.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-112772</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318439</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">Computational finance</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Stochastic processes</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Non-gaussian option pricing</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Numerical methods for option pricing</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Foreign exchange</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Carry trade</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Downside risk</dc:subject>
  <dc:subject xmlns:ns8="xml" ns8:lang="en">Skewness</dc:subject>
  <dc:subject xmlns:ns9="xml" ns9:lang="en">Evt</dc:subject>
  <dc:subject xmlns:ns10="xml" ns10:lang="en">Tail index</dc:subject>
  <dc:subject xmlns:ns11="xml" ns11:lang="en">Co-dependence</dc:subject>
  <dc:subject xmlns:ns12="xml" ns12:lang="en">Equity flows</dc:subject>
  <dc:subject xmlns:ns13="xml" ns13:lang="en">International investments</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns14="xml" ns14:lang="en">Essay on asymmetry and tails : different approaches</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>