[Vortraege] Vortragsankündigungen Nachtrag

[Danijela Radosavljevic]

Sehr geehrte Fakultätsmitglieder,

anbei ein Nachtrag der Vortragsankündigungen für diese Woche.

Mit freundlichen Grüßen

Danijela Radosavljevic

Mittwoch, 13. Jänner 2010, *von 13:15 Uhr bis 14:15 Uhr,* Seminarraum D 
101, UZA 4
Working Group:“The interplay between Financial and Insurance 
Mathematics, Statistics and Econometrics”
Viktor Todorov (Kellogg School of Management)
“Tails, Fears and Risk Premia”

We show that the compensation for rare events accounts for a large 
fraction of the average equity and variance risk premia. As such, our 
results suggest that any satisfactory equilibrium-based asset pricing 
model must be able to generate both large and time-varying compensations 
for fears of disasters. Our empirical investigations are essentially 
model-free, involving new extreme value theory approximations based on 
"medium" size jumps in high-frequency intraday prices for estimating the 
expected values of the tails under the statistical probability measure, 
and short maturity out-of-the money options and new model-free implied 
variation measures for estimating the corresponding risk neutral 
expectations.

organized by WPI, F. Hubalek, C. Klüppelberg