Mathematical and Computational Finance Seminar

Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

Past events in this series
1 February 2018
16:00
to
17:30
Carole Bernard
Abstract

The solution to the standard cost efficiency problem depends crucially on the fact that a single real-world measure P is available to the investor pursuing a cost-efficient approach. In most applications of interest however, a historical measure is neither given nor can it be estimated with accuracy from available data. To incorporate the uncertainty about the measure P in the cost efficient approach we assume that, instead of a single measure, a class of plausible prior models is available. We define the notion of robust cost-efficiency and highlight its link with the maxmin expected utility setting of Gilboa and Schmeidler (1989) and more generally with robust preferences in a possibly non expected utility setting.

This is joint work with Thibaut Lux and Steven Vanduffel (VUB)

  • Mathematical and Computational Finance Seminar
15 February 2018
16:00
to
17:30
Carol Alexander
Abstract

Carol Alexander and Johannes Rauch

Theoretical results extend both previous aggregation properties (Neuberger, 2012; Bondarenko, 2014). This way we analyse 21 years of daily, unbiased, efficient, investable, constant-maturity variance and higher-moment equity risk premia for regime-dependent determinants. S\&P500 Fama and French (2015) factors account completely for the positive variance risk premium during volatile markets; it has a significant negative alpha only during stable markets. There is no evidence for a separate jump risk premium in either stable or crash regimes. A small positive third-moment premium is differentiable from the variance premium, only in stable markets.

  • Mathematical and Computational Finance Seminar
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