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