Dissertation/Thesis Abstract

Essays in financial economics
by Cheung, Sze Wah Sam, Ph.D., Columbia University, 2008, 136; 3317644
Abstract (Summary)

The first chapter of this dissertation examines continuous-time one-factor and two-factor stochastic volatility models incorporating jumps in returns and volatility using jointly the time-series of returns and option prices on S&P 500 from 1986 to 2006. The goal of the paper is to examine the time-series of option prices. The second paper, joint with Michael Johannes, Arthur Korteweg, and Nick Polson, provides a study of the underlying structure of common asset pricing factors that are pervasively used in models of the cross-section of equity returns. The third chapter, joint with Suresh Sundaresan, develops a model of micro loans, which incorporates (a) the absence of access to physical collateral, (b) peer monitoring, (c) threat of punishment upon default, and (d) costly monitoring by lenders.

Indexing (document details)
Advisor: Johannes, Michael S.
School: Columbia University
School Location: United States -- New York
Source: DAI-A 69/05, Dissertation Abstracts International
Subjects: Finance
Keywords: Asset pricing, Financial economics, Microloans, Option pricing, Volatility
Publication Number: 3317644
ISBN: 978-0-549-65817-7
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