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.
|Advisor:||Johannes, Michael S.|
|School Location:||United States -- New York|
|Source:||DAI-A 69/05, Dissertation Abstracts International|
|Keywords:||Asset pricing, Financial economics, Microloans, Option pricing, Volatility|
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