Fin & math doc seminar

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Autumn Semester 2012

Date / Time

Speaker

Title

Location

23 October 2012
12:15-13:00

Meriton Ibraimi

Event Details

Fin & Math Doc Seminar

Title	Arbitrage with multiple priors
Speaker, Affiliation	Meriton Ibraimi,
Date, Time	23 October 2012, 12:15-13:00
Location	HG G 43
Abstract	We present a version of the fundamental theorem of asset pricing when there is uncertainty about the physical measure. Instead of fixing a prior probability measure as our physical probability measure we fix an arbitrary set of probability measures whose financial interpretation is uncertainty about the real world measure. This of course needs a new definition of arbitrage opportunities and were given only recently. In a one step market we give geometric characterizations for the initial price in order that the market is multiple-prior arbitrage-free.

Arbitrage with multiple priorsread_more

HG G 43

13 November 2012
12:15-13:00

Elise Gourier

Event Details

Fin & Math Doc Seminar

Title	Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets
Speaker, Affiliation	Elise Gourier,
Date, Time	13 November 2012, 12:15-13:00
Location	HG G 43
Abstract	The S&P 500 and VIX markets are closely intertwined, both being strongly impacted by volatility movements and the combined speculative and hedging possibilities that they offer. This paper uses a large dataset of options and index prices and analyzes the empirical performance of affine jump-diffusion processes for the S&P 500 returns to accurately reproduce the patterns of both indices as well as consistently price S&P 500 and VIX derivatives. Based on the affine relationship of the VIX squared with respect to the latent factors, we extend the Fourier Cosine Expansion to efficiently price VIX derivatives. We build a fast auxiliary particle filter which sources the information contained in both indices and derivatives prices across time and infers time-series properties of asset returns and volatility. In particular we investigate the usefulness of jumps and of each added factor depending on the market considered. We analyze the out-of-sample forecasting performance of the models depending on which products and markets are considered in the in-sample estimation procedure. We find that jumps in volatility are necessary to reproduce the positive skewness observed in the VIX option market. Additionally, including the financial crisis in our sample reveals that modeling the long-term mean reversion parameter in Heston-like models as a stochastic process significantly improves the fit of the model to the time series of spot and derivatives market prices.

Inferring volatility dynamics and risk-premia from the S&P500 and VIX marketsread_more

HG G 43

11 December 2012
12:15-13:00

Marcus Wunsch

Event Details

Fin & Math Doc Seminar

Title	A Wishart model for the stability of the distribution of equity capital
Speaker, Affiliation	Marcus Wunsch,
Date, Time	11 December 2012, 12:15-13:00
Location	HG G 43
Abstract	The distribution of capital is equivalent to the size distribution of firms, and one way to study it is via capital distribution curves, i.e., the log-log plot of the market weights arranged in order of descending rank. Capital distribution curves have shown a remarkable stability for the US equity market over the last eight decades. To explain this stability, various models involving local times have been investigated. We propose a novel modeling approach to ranked capitalization processes based on the eigenvalue dynamics of Wishart processes. Our model not only reproduces the stable shape of capital distribution curves, but also captures other typical features of equity markets, such as the mean-reverting dynamics of market diversity. This is joint work with Josef Teichmann (ETH Zurich).

A Wishart model for the stability of the distribution of equity capitalread_more

HG G 43

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Organizers: Martin Herdegen

Archive: SS 15 AS 14 SS 14 AS 13 SS 13 AS 12