e Federico Acknowledgments

I must first express my deepest gratitude towards Paolo Dai Pra and Wolfgang Runggaldier for their precious help and their courtesy in reading countless versions of this thesis. Their suggestions and guidance have always encouraged me throughout the study. A very special thanks goes out to Elena Sartori. I cannot forget the beautiful hours spent discussing about the generators of the Markov processes. I am very grateful for the valuable comments of Rama Cont and Rüdiger Frey. I wish to thank Maurizio Pratelli for his patience and kindness, the Amici della Scuola Normale and the Scuola Normale Superiore for the financial support. I was delighted to interact with the Finance group at the Department of Mathe-matics of the ETH Zurich and the Swiss Banking Institute of the University of Zurich during theMaster of Advanced Studies in Finance. I would like to thank in particular Philipp Schönbucher for giving me the opportunity to work with him for the Master thesis. My gratitude goes also to Fulvio Ortu for his trust in offering me a position at the Bocconi University. I must acknowledge the (former) Istituto di Metodi Quantitativi and the Department of Finance at the Bocconi university for the financial support