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Doctoral thesis

Essay on asymmetry and tails : different approaches

    06.12.2013

139 p

Thèse de doctorat: Università della Svizzera italiana, 2013

Computational finance
Stochastic processes
Non-gaussian option pricing
Numerical methods for option pricing
Foreign exchange
Carry trade
Downside risk
Skewness
Evt
Tail index
Co-dependence
Equity flows
International investments
English 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.
Language
  • English
Classification
Economics
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https://n2t.net/ark:/12658/srd1318439
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