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