<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>Trojani, Fabio</dc:contributor>
  <dc:creator>Gruber, Peter</dc:creator>
  <dc:date>2015-06-10</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">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 structure of the volatility surface  changes without a change in the volatility level. The model reduces pricing errors  compared to benchmark two-factor models by up to 22%. Using a decomposition of  the latent state, I show that this superior performance is directly linked to a third  volatility factor which is unrelated to the volatility level. The second chapter studies the  price of the smile, which is defined as the premia for individual option risk factors.  These risk factors are directly linked to the variance risk premium (VRP). I find that  option risk premia are spanned by mid-run and long-run volatility factors, while the  large high-frequency factor does not enter the price of the smile. I find the VRP to be  unambiguously negative and decompose it into three components: diffusive risk, jump  risk and jump intensity risk. The distinct term structure patterns of these components  explain why the term structure of the VRP is downward sloping in normal times and  upward sloping during market distress. In predictive regressions, I find an  economically relevant predictive power over returns to volatility positions and S&amp;P 500  index returns. The last chapter introduces several numerical methods necessary for  estimating matrix-valued affine option pricing models, including the Matrix Rotation  Count algorithm and a fast evaluation scheme for the Likelihood function.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://susi.usi.ch/global/documents/318493</dc:identifier>
  <dc:identifier>https://n2t.net/ark:/12658/srd1318493</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318493/files/2015ECO010.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-115766</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318493</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">Price of the smile</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Price of volatility</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Factor models</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Matrix jump diffusions</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Option pricing</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Stochastic volatility</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Unspanned skewness</dc:subject>
  <dc:subject xmlns:ns8="xml" ns8:lang="en">Financial constrains</dc:subject>
  <dc:subject xmlns:ns9="xml" ns9:lang="en">Financial intermediation</dc:subject>
  <dc:subject xmlns:ns10="xml" ns10:lang="en">Financial crisis</dc:subject>
  <dc:subject xmlns:ns11="xml" ns11:lang="en">Variance swaps</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns12="xml" ns12:lang="en">Essays on variance risk</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>