Essays in Financial Economics

Essays in Financial Economics Sze Wah Sam Cheung The first chapter of this dissertation examines continuous-time one-factor and twofactor stochastic volatility models incorporating jumps in returns and volatility using jointly the time-series of returns and option prices on S&P 500 from 1986 to 2006. The goal of the paper is to examine the time-series of option prices. The second paper, joint with Michael Johannes, Arthur Korteweg, and Nick Poison, provides a study of the underlying structure of common asset pricing factors that are pervasively used in models of the cross-section of equity returns. The third chapter, joint with Suresh Sundaresan, develops a model of micro loans, which incorporates a) the absence of access to physical collateral, b) peer monitoring, c) threat of punishment upon default, and d) costly monitoring by lenders.