JENSEN
CERTIFICATE MONITOR & ANALYTICS
Ricerca

Bibliografia.

«Pricing e markup degli Investment Certificates nel mercato italiano: un'analisi empirica mediante il Metodo Monte Carlo»

Matteo Polo · Relatore: Prof. Marco Bee · Corso di Laurea in Finanza, Università degli Studi di Trento · A.A. 2024/25 · Apri la tesi (PDF) ↗

Bibliografia

  1. Aït-Sahalia, Y., & Jacod, J. (2009). Testing for jumps in a discretely observed process. Annals of Statistics, 37(1), 184-222.
  2. Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle. In B. N. Petrov & F. Csáki (Eds.), Proceedings of the 2nd International Symposium on Information Theory (pp. 267-281). Budapest: Akadémiai Kiadó.
  3. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96(453), 42-55.
  4. Andersen, T. G., Bollerslev, T., Christoffersen, P. F., & Diebold, F. X. (2006). Volatility and correlation forecasting. In G. Elliott, C. W. J. Granger, & A. Timmermann (Eds.), Handbook of Economic Forecasting (Vol. 1, pp. 777-878). Amsterdam: North-Holland.
  5. Arellano, M. (1987). Computing robust standard errors for within-groups estimators. Oxford Bulletin of Economics and Statistics, 49(4), 431-434.
  6. Baule, R., Entrop, O., & Wilkens, M. (2008). Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates. Journal of Futures Markets, 28(4), 376-397.
  7. Baule, R. (2011). The order flow of discount certificates and issuer pricing behavior. Journal of Banking & Finance, 35(11), 3120-3133.
  8. Baule, R., & Tallau, C. (2011). The pricing of path-dependent structured financial retail products: The case of bonus certificates. Journal of Derivatives, 18(4), 54-71.
  9. Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.
  10. Bates, D. S. (2000). Post-'87 crash fears in the S&P 500 futures option market. Review of Financial Studies, 13(2), 343-383.
  11. Beaton, A. E., & Tukey, J. W. (1974). The fitting of power series, meaning polynomials, illustrated on band-spectroscopic data. Technometrics, 16(2), 147–185
  12. Beber, A., & Erzegovesi, L. (1999). Distribuzioni di probabilità implicite nei prezzi delle opzioni. Alea Tech Reports 008, Dipartimento di informatica e studi aziendali, Università di Trento.
  13. Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13(1), 1-42.
  14. Black, F. (1976). Studies of stock price volatility changes. In Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
  15. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654.
  16. Bottaso, A., Fusaro, M., Giribone, P. G., & Tissone, A. (2023). An advanced Monte Carlo method for forward-start options pricing. Risks, 11(10), 172.
  17. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  18. Bollerslev, T., Tauchen, G., & Zhou, H. (2009). Expected stock returns and variance risk premia. Review of Financial Studies, 22(11), 4463-4492.
  19. Borsi, G. (2025). I certificati di investimento: La guida strategica per l’investitore evoluto. Hoepli, Milano Boyle, P. P. (1977). Options: A Monte Carlo approach. Journal of Financial Economics, 4(3), 323-338.
  20. Brewer, C. A., & Pickles, J. (2002). Evaluation of methods for classifying epidemiological data on choropleth maps in series. Annals of the Association of American Geographers, 92(4), 662-681.
  21. Baubonis, C., Gastineau, G. L., & Purcell, D. (1993). The banker's guide to equity-linked certificates of deposit. Journal of Derivatives, 1(2), 87–95.
  22. Caflisch, R. E. (1998). Monte Carlo and quasi-Monte Carlo methods. Acta Numerica, 7, 1-49.
  23. Broadie, M., & Glasserman, P. (1997). Pricing American-style securities using simulation. Journal of Economic Dynamics and Control, 21(8-9), 1323-1352.
  24. Burth, S., Kraus, T., & Wohlwend, H. (2001). The pricing of structured products in the Swiss market. Journal of Derivatives, 9(2), 30-40.
  25. Célérier, C., & Vallée, B. (2017). Catering to investors through security design: Headline rate and complexity. Quarterly Journal of Economics, 132(3), 1469-1508.
  26. Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.
  27. Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407-432.
  28. Christie, A. A. (1992). Equity volatility. In J. B. Bicksler (Ed.), The Economics of Financial Markets (pp. 55-91). Oxford: Oxford University Press.
  29. Chatterjee, S., & Hadi, A. S. (2006). Regression Analysis by Example (4th ed.). Hoboken, NJ: Wiley.
  30. Cochrane, D., & Orcutt, G. H. (1949). Application of least squares regression to relationships containing auto-correlated error terms. Journal of the American Statistical Association, 44(245), 32-61.
  31. Cook, R. D. (1977). Detection of influential observation in linear regression. Technometrics, 19(1), 15-18.
  32. Durbin, J., & Watson, G. S. (1950). Testing for serial correlation in least squares regression. I. Biometrika, 37(3-4), 409-428.
  33. Durbin, J., & Watson, G. S. (1951). Testing for serial correlation in least squares regression. II. Biometrika, 38(1-2), 159-178.
  34. Duffie, D., Pan, J., & Singleton, K. (2000). Transform analysis and asset pricing for affine jump- diffusions. Econometrica, 68(6), 1343-1376.
  35. Dumas, B., Fleming, J., & Whaley, R. E. (1998). Implied volatility functions: Empirical tests. Journal of Finance, 53(6), 2059-2106.
  36. Dufays, A., Jacobs, K., Liu, Y., & Rombouts, J. (2024). Fast filtering with large option panels: Implications for asset pricing. Journal of Financial and Quantitative Analysis, 59(7), 3416-3447.
  37. Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749-1778.
  38. Eraker, B., Johannes, M., & Polson, N. (2003). The impact of jumps in volatility and returns. Journal of Finance, 58(3), 1269-1300.
  39. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
  40. Engle, R. F., & Patton, A. J. (2001). What good is a volatility model? Quantitative Finance, 1(2), 237-245.
  41. Entrop, O., Schober, A., & Wilkens, M. (2013). The pricing policy of banks for exchange-traded leverage certificates: Interday and intraday effects. Working Paper.
  42. Entrop, O., McKenzie, M., Wilkens, M., & Winkler, C. (2016). The performance of individual investors in structured financial products. Review of Quantitative Finance and Accounting, 46(3), 569-604.
  43. Entrop, O., & Fischer, G. (2020). Hedging costs and joint determinants of premiums and spreads in structured financial products. Journal of Futures Markets, 40(7), 1049-1071.
  44. Fisher, W. D. (1958). On grouping for maximum homogeneity. Journal of the American Statistical Association, 53(284), 789-798.
  45. Gabaix, X., & Laibson, D. (2006). Shrouded attributes, consumer myopia, and information suppression in competitive markets. Quarterly Journal of Economics, 121(2), 505-540.
  46. Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering. New York: Springer.
  47. Guidolin, M., Leonetti, E., & Pedio, M. (2024). Can retail investors benefit from complex structured products? The answer from a rational expectations approach. Journal of Banking & Finance, 160, 107079.
  48. Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.
  49. Harrison, J. M., & Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11(3), 215-260.
  50. Hartigan, J. A., & Wong, M. A. (1979). Algorithm AS 136: A K-means clustering algorithm. Applied Statistics, 28(1), 100-108.
  51. Henderson, B. J., & Pearson, N. D. (2011). The dark side of financial innovation: A case study of the pricing of a retail financial product. Journal of Financial Economics, 100(2), 227-247.
  52. Hens, T., & Rieger, M. O. (2014). Can utility optimization explain the demand for structured investment products? Quantitative Finance, 14(4), 673-681.
  53. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6(2), 327-343.
  54. Hernandez, R., Lee, W. Y., & Liu, P. (2007). The market and the pricing of outperformance certificates. Working Paper, University of Arkansas.
  55. Hernandez, R., Lee, W. Y., Liu, P., & Dai, T.-S. (2013). Outperformance certificates: Analysis, pricing, interpretation, and performance. Review of Quantitative Finance and Accounting, 40(4), 691-713.
  56. Hull, J. C., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42(2), 281-300.
  57. Hull, J. C., & White, A. (1988). An analysis of the bias in option pricing caused by stochastic volatility. Advances in Futures and Options Research, 3, 29-61.
  58. Jenks, G. F. (1967). The data model concept in statistical mapping. International Yearbook of Cartography, 7, 186-190.
  59. Jørgensen, P. L., Nørholm, H., & Skovmand, D. (2011). Overpricing and hidden costs of structured products for retail investors: Evidence from the Danish market for principal protected notes. Working Paper.
  60. J.P. Morgan/Reuters (1996). RiskMetrics—Technical Document (4th ed.). New York: J.P. Morgan.
  61. Kou, S. G. (2002). A jump-diffusion model for option pricing. Management Science, 48(8), 1086-1101.
  62. Kou, S. G., & Wang, H. (2004). Option pricing under a double exponential jump diffusion model. Management Science, 50(9), 1178-1192.
  63. Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new nonparametric test and jump dynamics. Review of Financial Studies, 21(6), 2535-2563.
  64. Liang, K. Y., & Zeger, S. L. (1986). Longitudinal data analysis using generalized linear models. Biometrika, 73(1), 13-22.
  65. Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets. Journal of Finance, 56(2), 649-676.
  66. MacQueen, J. B. (1967). Some methods for classification and analysis of multivariate observations. In L. M. Le Cam & J. Neyman (Eds.), Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability (Vol. 1, pp. 281-297). Berkeley: University of California Press.
  67. Kolmogorov, A. N. (1933). Sulla determinazione empirica di una legge di distribuzione. Giornale dell'Istituto Italiano degli Attuari, 4, 83-91.
  68. Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.
  69. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708.
  70. Poon, S. H., & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539.
  71. Ramezani, C. A., & Zeng, Y. (1998). Maximum likelihood estimation of asymmetric jump-diffusion processes: Application to security prices. Working Paper, Southern Illinois University.
  72. Politis, D. N., & Romano, J. P. (1994). The stationary bootstrap. Journal of the American Statistical Association, 89(428), 1303-1313.
  73. Rubinstein, M. (1994). Implied binomial trees. Journal of Finance, 49(3), 771-818.
  74. Rousseeuw, P. J., & Croux, C. (1993). Alternatives to the median absolute deviation. Journal of the American Statistical Association, 88(424), 1273-1283.
  75. Schertler, A. (2016). Pricing effects when competitors arrive: The case of discount certificates in Germany. Journal of Banking & Finance, 68, 84-99.
  76. Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6(2), 461-464.
  77. Schwert, G. W. (1989). Why does stock market volatility change over time? Journal of Finance, 44(5), 1115-1153.
  78. Shapiro, S. S., & Wilk, M. B. (1965). An analysis of variance test for normality (complete samples). Biometrika, 52(3-4), 591-611.
  79. Slocum, T. A., McMaster, R. B., Kessler, F. C., & Howard, H. H. (2013). Thematic Cartography and Geovisualization (3rd ed.). Upper Saddle River, NJ: Pearson.
  80. Smirnov, N. V. (1948). Table for estimating the goodness of fit of empirical distributions. Annals of Mathematical Statistics, 19(2), 279-281.
  81. Stoimenov, P. A., & Wilkens, S. (2005). Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments. Journal of Banking & Finance, 29(12), 2971-2993.
  82. Szymanowska, M., Ter Horst, J., & Veld, C. (2009). Reverse convertible bonds analyzed. Journal of Futures Markets, 29(10), 895-919.
  83. Tauchen, G. (2011). Stochastic volatility. In D. M. Giles & A. Ullah (Eds.), The Handbook of Empirical Economics and Finance (pp. 342-366). CRC Press.
  84. Todorov, V., & Tauchen, G. (2011). Volatility jumps. Journal of Business & Economic Statistics, 29(3), 356–371.
  85. Tse, Y. K., & Tsui, A. K. C. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business & Economic Statistics, 20(3), 351-362.
  86. Viganò, B., Vitali, S., Moriggia, V., & Zanotti, G. (2019). The investment certificates in the Italian market: A comparison of quoted and estimated prices. Journal of Financial Management, Markets and Institutions, 7(2), 1-18.
  87. Ward, J. H. (1963). Hierarchical grouping to optimize an objective function. Journal of the American Statistical Association, 58, 236-244.
  88. Wilkens, S., Erner, C., & Röder, K. (2003). The pricing of structured products in Germany. Journal of Derivatives, 11(1), 55-69.
  89. White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817-838.
  90. Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data (2nd ed.). Cambridge, MA: MIT Press.
  91. Zanotti, G. (2024). I costi dei prodotti di investimento: un'analisi del mercato primario dei certificati di investimento. Bancaria, 3, 47-59.

Documenti istituzionali

  1. BANCA D'ITALIA (2024). Il potere di intervento della Banca d'Italia su strumenti finanziari, depositi strutturati e attività/pratiche finanziarie collegate: quadro giuridico, analitico e metodologico. Roma, Aprile 2024.
  2. BANCA D'ITALIA (2025). Rapporto sulla stabilità finanziaria, n. 1. Aprile, Roma.
  3. CONSOB (2014). Comunicazione sulla distribuzione di prodotti finanziari complessi ai clienti retail. Comunicazione n. 0097996/14. Commissione Nazionale per le Società e la Borsa, Roma.
  4. ESMA (2014). Opinion on complex debt instruments and structured deposits. ESMA/2014/146.
  5. ESMA (2015). MiFID practices for firms selling complex products. ESMA/2015/1787. European Securities and Markets Authority.
  6. EUSIPA (2025). Q1 2025 market report update. Aprile 2025.

Normativa

  1. Direttiva 2004/39/CE del Parlamento europeo e del Consiglio del 21 aprile 2004 (MiFID I).
  2. Direttiva 2014/65/UE del Parlamento europeo e del Consiglio del 15 maggio 2014 (MiFID II).
  3. Direttiva 2014/59/UE del Parlamento europeo e del Consiglio del 15 maggio 2014 (BRRD — Bank Recovery and Resolution Directive).
  4. Regolamento (UE) n. 1286/2014 del Parlamento europeo e del Consiglio del 26 novembre 2014 (PRIIPs).
  5. TUIR — Testo Unico delle Imposte sui Redditi (DPR 22 dicembre 1986, n. 917).

Sitografia

  1. ACEPI — Associazione Italiana Certificati e Prodotti di Investimento — Vari rapporti e pubblicazioni, www.acepi.it
  2. BANCA AKROS — Sito ufficiale emittente, www.bancaakros.it/la-nostra-offerta/investment-products/certificates/
  3. BARCLAYS — Sito ufficiale emittente, derivatives.cib.barclays/
  4. BNP PARIBAS — Sito ufficiale emittente, investimenti.bnpparibas.it/
  5. CITIGROUP — Sito ufficiale emittente, it.citifirst.com/Certificati
  6. GOLDMAN SACHS — Sito ufficiale emittente, www.goldman-sachs.it/direct-listing-certificati/
  7. INTESA SANPAOLO — Sito ufficiale emittente, www.intesasanpaolo.com/it/persone-e-famiglie/prodotti/investimenti/certificates/certificates.html
  8. LEONTEQ — Sito ufficiale emittente, certificati.leonteq.com/
  9. MAREX — Sito ufficiale emittente, certificati.marex.com/it/
  10. MEDIOBANCA — Sito ufficiale emittente, certificates.mediobanca.com/it
  11. NATIXIS — Sito ufficiale emittente, equityderivatives.natixis.com/it/
  12. SOCIÉTÉ GÉNÉRALE — Sito ufficiale emittente, prodotti.societegenerale.it/
  13. UNICREDIT — Sito ufficiale emittente, www.investimenti.unicredit.it/
  14. VONTOBEL — Sito ufficiale emittente, markets.vontobel.com/it-it