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...

The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. As...

The aim of this paper is to show that option prices in jump-diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation instead of traditional mesh-based methods like Finite Differences (FDM) or Finite Elements (FEM). The RBF technique is...