Here is an update of a previous announcement for Jan 13, 2010.
Please note that date and location of the Todorov talk have been changed!
As part of the thematic program at the Wolfgang Pauli Institute (WPI)
Vienna
"The interplay between Financial and Insurance Mathematics, Statistics and
Econometrics" there will be two talks
on Wednesday January 13, 2010
We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor)
Jean Jacod (Université Paris VI):
"Statistics for high frequency data: some open problems"
In the context of high frequency data, like financial data, many questions
have been solved in the recent years. But of course there are still many
open problems, and we will review a few of those. This review will include
specific problems like the estimation of the volatility when there are
high activity jumps, and more general questions like the choice of
appropriate models.
We, 13.01.2010, 14:00-15:00, Seminar room D 1.01 (Mathematik),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor)
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.
My apologies for multiple postings,
Friedrich Hubalek