IHS Finance Workshop.
Stumpergasse 56, 1060, Vienna
http://www.ihs.ac.at/fin/finsem.html
1. Nov. 30 Monday, 3:30 p.m. HS II, Gabriela Raaij and Burkhard Raunig (OeNB)
"A Comparison of Value at Risk Approaches and their Implications for
Regulators"
2. Dec. 2 Wednesday, 4 p.m. HS II, Jamsheed Shorish (Univ. Aarhus,
with Goran Peskir, Department of Theoretical Statistics, Univ. of
Aarhus)
"Market Forces and Dynamic Asset Pricing"
We introduce a model of asset pricing which is driven by two characteristic
market features--the law of investor demand (e.g. 'buy low, sell high')
and
the law of the market institution, which codifies the trading rules
(explicitly or implicitly defined) that the market operates under. Motivated
by Ait-Sahalia (1998) we demonstrate in a simple investor-specialist trading
model that these features are sufficient to guarantee an equilibrium where
the log-price of the asset follows an Ornstein-Uhlenbeck process, i.e. a
stochastic process with time-varying drift. Recent empirical results
indicate that such a process may provide a more natural characterization of
observed asset prices. We show that a straightforward extension to the Black
and Scholes (1972) options pricing model follows from this stochastic
process.
______________________________________________________________
Gabriel Lee
Institute for Advanced Studies
Department of Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43-1-59991 141
Fax: +43-1-597 0635
Homepage: <http://w3.ihs.ac.at/~lee/>