Asset Pricing, Capital Structure and Financial Economics: Pricing, Hedging, and Risk

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atmire.migration.oldid3665
dc.contributor.advisorElliott, Robert J.
dc.contributor.authorShen, Jia
dc.date.accessioned2015-10-02T17:06:00Z
dc.date.available2015-11-20T08:00:44Z
dc.date.issued2015-10-02
dc.date.submitted2015en
dc.description.abstractAsset Pricing is a central topic in Finance Theory. Explaining why different assets have different risk premia is a main goal of Asset Pricing Theory. In this thesis, I explore various topics in Finance Theory, including topics in asset pricing, capital structure, and financial economics. Chapter 1 investigates a regime switching Lucas economy in continuous time, with multiple dividend streams and labor income. We determine the asset prices in equilibrium in the economy with regime switching, and derive a system of partial differential equations for the asset prices and the short interest rate. In Chapter 2, I consider credit risk. Motivated by empirical findings, we propose a framework using unobservable, underlying Markov chains, to model naturally both frailty and default contagion. Chapter 3 is subsequent research based on Chapter 2. We consider a reduced-form, intensity-based credit risk model, which allows for both frailty and default contagion, using a so-called “self-exciting” intensity, in the sense that the default intensity varies not only with the risk factors, but also depends on the previous default history of all the firms. In Chapter 4, we turn our attention to an area that is related to both asset pricing and corporate finance. We investigate the optimal capital structure of a corporate when the dynamics of the assets (both growth rate and volatility) change following different states of the economy. In Chapter 5, we investigate credit risk and the credit spread of a corporate defaultable bond when the dynamics of the assets change according to different states of the economy. In Chapter 6, we investigate a model where the asset price follows hidden Markov modulated jump-diffusion dynamics. This framework incorporates two important empirically observed features: jumps and regime shifts.en_US
dc.identifier.citationShen, J. (2015). Asset Pricing, Capital Structure and Financial Economics: Pricing, Hedging, and Risk (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25032en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25032
dc.identifier.urihttp://hdl.handle.net/11023/2587
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.facultyHaskayne School of Business
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics--Finance
dc.subject.classificationAsset Pricingen_US
dc.subject.classificationFinancial Economicsen_US
dc.subject.classificationPricingen_US
dc.subject.classificationHedgingen_US
dc.subject.classificationCredit risken_US
dc.subject.classificationDerivativesen_US
dc.titleAsset Pricing, Capital Structure and Financial Economics: Pricing, Hedging, and Risk
dc.typedoctoral thesis
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
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