Three essays on asset pricing in financial market

Abstract

Asset pricing theory tries to understand the values of contingent claims with uncertain payments. More involved risks mean a higher rate of return expected to compensate the risk premium, which in turn leads to a lower present price. One can think of asset pricing theory as measuring the sources of aggregate risks that drive the price dynamics of asset in question. This thesis is aimed at studying three facets of asset pricing in financial markets. New numerical approach, semi-analytical method, and important extension of applicability of existing estimation method are proposed in this thesis.