In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

We develop a microstructure model whose order ow is driven by a Cox-BESQ process. We derive important analytical properties of the Cox-BESQ process in order to explicit the stock price dynamics at different time scales, provide different parameter estimators and solve the optimal execution...