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Doctoral thesis
English

High-frequency and high-dimensionality in Finance

ContributorsTreccani, Adrien
Defense date2016-05-25
Abstract

The Thesis consists in two fundamental chapters: First, I analyze the presence of jumps in high-frequency financial series, with an extensive application to most liquid American equities. I develop a statistical test that formally treats the multiple testing issue and show, in substance, that discontinuities are much rarer events than previously thought. Second, I introduce a novel, scalable numerical pricing framework for American options under multi-factor models. I make use of adaptive sparse grids to alleviate the curse of dimensionality. My methodology offers a new direction for research in the pricing of derivative contracts with early-exercise features under models actually capable of fitting statistical properties of financial series.

eng
Keywords
  • High-frequency
  • Jumps
  • Multiple testing
  • High-dimension
  • Derivatives pricing
  • American options
Citation (ISO format)
TRECCANI, Adrien. High-frequency and high-dimensionality in Finance. 2016. doi: 10.13097/archive-ouverte/unige:154805
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Creation05/01/2016 2:58:00 PM
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Update time10/16/2023 3:26:29 PM
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