# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

## Estimação do CAPM intertemporal com ações da BOVESPA; Intertemporal CAPM estimation with Bovespa stocks

## Testing option pricing with the Edgeworth expansion

## The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices

## Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

## Innovations in Bankruptcy—Pricing the Priority of Insolvency Claims

## Option pricing and filtering with hidden Markov-Modulated pure-jump processes

## Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

## Pricing, hedging and testing risky assets in financial markets

## Option pricing, stochastic volatility, singular dynamics and constrained path integrals

## Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach

## On the pricing and hedging of options for highly volatile periods

## Pricing joint claims on an asset and its realized variance under stochastic volatility models

## One-Dimensional Pricing of CPPI

## An alternative proof of a result of Takaoka

## Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

## Efficient price dynamics in a limit order market: an utility indifference approach

## An exact and explicit formula for pricing lookback options with regime switching

## An exact and explicit formula for pricing Asian options with regime switching

## Essays on the Econometrics of Option Prices

This dissertation develops new econometric techniques for use in estimating and conducting inference on parameters that can be identified from option prices. The techniques in question extend the existing literature in financial econometrics along several directions.

The first essay considers the problem of estimating and conducting inference on the term structures of a class of economically interesting option portfolios. The option portfolios of interest play the role of functionals on an infinite-dimensional parameter (the option surface indexed by the term structure of state-price densities) that is well-known to be identified from option prices. Admissible functionals in the essay are generalizations of the VIX volatility index, which represent weighted integrals of options prices at a fixed maturity. By forming portfolios for various maturities, one can study their term structure. However, an important econometric difficulty that must be addressed is the illiquidity of options at longer maturities, which the essay overcomes by proposing a new nonparametric framework that takes advantage of asset pricing restrictions to estimate a shape-conforming option surface. In a second stage, the option portfolios of interest are cast as functionals of the estimated option surface...