My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core...

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Este trabajo estudia los determinantes de la inversi¢n empresarial, incorporando un l¡mite m ximo de endeudamiento a un modelo de inversi¢n basado en la ecuaci¢n de Euler. Las diferentes versiones del modelo desarrollado se han estimado por el M‚todo Generalizado de los Momentos para...