Northwestern University

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Essays in Empirical Asset Pricing

Description:

The first chapter of this dissertation investigates the pricing of systematic variance risk in the equity options market. Cross sectional tests on synthetic variance swap returns reveal no evidence of a negative market variance risk premium. Furthermore, we show that a class of linear factor models cannot simultaneously explain index...

Keyword:

dispersion trading, pairs trading, correlation trading, equity options, variance swaps, and volatility forecasting

Subject:

Finance

Creator:

Vadim di Pietro

Owner:

Scholarly Digital Publishing

Date Uploaded:

08/16/2018

Date Modified:

08/16/2018

Date Created:

2007-06-22

Resource Type:

Dissertation