INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: March, 31 (Thursday), 2011 - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business
http://pages.stern.nyu.edu/~sfiglews/
TITLE:
USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET
ABSTRACT:
Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including
- how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves;
- how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices;
- what factors are most important in determining the risk neutral volatility.
ABOUT STEPHEN FIGLEWSKI:
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
Please REGISTER:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management, WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics,
Mag. Dorothea GRIMM, Heiligenstädter Str. 46-48, 1190 Wien - www.gutmann-center.at
Dear Colleagues,
Please find attached an announcement and cfp for the OR 2011 International Conference on Operations Research which will take place at the University of Zurich from August 30 to September 2, 2011. There will be a special stream on "Financial modeling, risk management and banking".
Kind regards,
Roland Mestel
Institute of Banking and Finance
University of Graz
**************************************************************************
OR 2011
Zurich, Switzerland, August 30 to September 2, 2011 Announcement / Call for Papers
This international conference on operations research will take place in Zurich, Switzerland.
The conference of the three German speaking OR societies GOR, ÖGOR and SVOR is under the patronage of the Swiss OR Society (SVOR) and hosts at the same time the respective annual meetings of the three OR societies.
The main goal of the conference is to bring together members of the international OR community to discuss scientific progresses in various subfields of OR in a truly interdisciplinary spirit.
For further information, please visit the website: www.or2011.ch<http://www.or2011.ch>
:: Plenary/Semi-plenary lectures:
http://www.or2011.ch/topics_program/lectures
:: Streams and chairs:
http://www.or2011.ch/topics_program
:: Program/organizing committee:
http://www.or2011.ch/topics_program/program_committee
All members of the OR/MS community are invited to participate in the OR 2011!
Hans-Jakob Lüthi, chair organizing committee Director of the Institute for Operations Research (IFOR), ETH Zurich
Karl Schmedders, chair program committee Director of the Institute for Operations Research (IOR), University of Zurich
**************************************************************************
INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: March, 31 (Thursday), 2011 - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business
http://pages.stern.nyu.edu/~sfiglews/
TITLE:
USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET
ABSTRACT:
Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including
- how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves;
- how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices;
- what factors are most important in determining the risk neutral volatility.
ABOUT STEPHEN FIGLEWSKI:
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
Please REGISTER:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
Heiligenstädter Str. 46-48, 1190 Wien
www.gutmann-center.at