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Part I shows how non-redundant options arise in an information-driven heterogeneous economy, linking belief heterogeneity to option volumes. Empirically, survey-based measures of dispersion in beliefs explain option-volume dynamics and forecast realized volatility. Part II studies continuous-time monetary models with habit formation and partially indexed fiscal systems, deriving closed-form bond prices and quantifying inflation risk 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repository:https://1bsresearch.london.edu/id/eprint/2372/  \nJiltsov,Alexei  \n(2004)  \nEssays in financial economics.  \nDoctoral thesis,University of London:London Business School.DOI:https://doi.org/10.35065/SZGR5124  \nUsers may download and/or print one copy of any article(s)in LBS Research Online for purposes ofresearch and/or private study.Further distribution of the material,or use for any commercial gain,isnot permitted.  \nESSAYS IN FINANCIAL ECONOMICS  \n## by\n\nAlexei Jiltsov  \nMSc in Mathematics,Moscow State University-Moscow(1996)MA in Economics,New Economic School-Moscow(1997)  \nsubmitted in partial fulfilmentof the requirements for the degree ofDoctor in Philosophy  \n#### at\n\n### London Business School\n\n2004  \n# Acknowledgements\n\nFirst and foremost I would like to thank my advisor,Dr.Andrea Buraschi for suggesting researchagenda and for providing supervision and guidance throughout the doctoral process.I would alsolike to express my warmest gratitude to him for his continuous support.  \nI am also very grateful to the members of my transfer committee,Professor Ian Cooper and Dr.Andrew Scott for giving me very useful feedback on my thesis proposal which kept me busy untilthe completion of the thesis.Among other people,I would like to express my gratitude to LondonBusiness School Finance Faculty and especially Suleyman Basak,Francesca Cornelli,Tim Johnsonand Raman Uppal for their useful comments and contributions.Further,I would like to acknowledgethe support of everyone at the Department of Finance at the London Business School.  \nThis work would not be completed without support of fellow PhD students.I am very grateful toSergey Davydenko,Sergei Sanzar,Ilya Strebulaev who were excellent collegues and became closefriends.I would like to thank Viviana Antinolfi,Vikas Agarwal,Harjot Bhamra,Dirk Hackbarth,Rajiv Guha,Davide Menini,Purnendu Nath,Loriana Pelizzon,Andrea Pederzolli,David Stolinand Honjun Yan for their comments and suggestions at the different stages of my PhD.  \nI would like to thank my parents and my sister for their love and emotional support.I am verygrateful to my father for introducing the world of mathematics to me.Although I have not achivedthe level of mathematical sophistication he was hoping to teach me,I want to believe that I havefound an interesting application of the skills he helped me to acquire.Special thanks goes to mywife,Maria,for staying with me during the time I working on the thesis and for her patience,love,support and encouragement.  \nThis research would not have been possible without funding.I gratefully acknowledge the financialsupport granted to me during the PhD Programme by the Economic and Social Research Council(ESRC),Frank Russell Company and London Business School.  \n# Abstract\n\nThis thesis is the collection of papers studying the relationship between option markets and differ-ences in beliefs(part I)and monetary term structure models(part II).  \nChapter 1 studies the role of non-redundant options in an economy with differences in beliefs.Intraditional no-arbitrage models with deterministic volatility,options are redundant and can bepriced by replication.However,these models are silent about option volumes.Markets are dynam-ically complete and agents are indifferent about holding options or not.In this chapter we studya heterogeneous economy in which options are held in equilibrium because of information reasons.Agents have different priors on the characteristics of two factors that affect(a)the market priceof risk,and (b)the dividend process.Uncertainty makes options non-redundant and heterogeneitycreates a link between differences in beliefs and option volumes.  \nIn the empirical section we use survey data to build an Index of Dispersion in Beliefs and estimatethe structural model.We find that a model which takes into account information he","cbCaidIxKvFEFxzo","https://ap.wps.com/l/cbCaidIxKvFEFxzo","pdf",18088888,201,"English","# Abstract\n## Chapter 1: Options and differences in beliefs\n## Chapter 2: Monetary term structure with habit formation\n## Chapter 3: Inflation shocks and term structure links","[{\"question\":\"What is the main focus of the thesis?\",\"answer\":\"The thesis studies relationships between option markets and belief differences, and between monetary term structure dynamics and inflation.\"},{\"question\":\"How does Chapter 1 explain option volume?\",\"answer\":\"It shows that in a heterogeneous economy options are held in equilibrium for information reasons, making options non-redundant and linking belief differences to option volumes.\"},{\"question\":\"What do Chapters 2 and 3 contribute to term structure modeling?\",\"answer\":\"Chapter 2 analyzes habit-formation monetary models where the market price of risk depends on economic states, and Chapter 3 studies inflation risk premia under partially indexed fiscal systems.\"}]","Essays in Financial Economics - Doctoral Thesis | PDF",507]