Event: Analysing the Statistical Distribution of Stock Market Returns under a Variety of Stochastic Volatility Models
Date: November 4
Time: 5pm to 7pm
55 Broad Street
Description: This is a free seminar at the Cornell Theory Center - Manhattan Center.
Alireza Javaheri has been a Quantitative Analyst with RBC Capital Markets since March 2000. Prior to joining RBC Capital Markets he worked for Goldman Sachs and Lehman Brothers. He completed a M.Sc. from Massachusetts Institute of Technology in EE in 1994. CFA Chater-holder since 2000. Completing a Thesis on Stochastic Volatility and Particle Filtering at "Ecole des Mines de Paris".
We study the Statistical distribution of S&P500 via Particle Filtering under both Gaussian and Non-Gaussian assumptions. We then compare the results in each case to the Cross-Sectional implied risk-neutral distributions obtained from the options markets. In the Diffusion-based case, the Girsanov theorem would allow us to determine possible inconsistencies indicating either model misspecification or arbitrage opportunities. The non-Gaussian case is more subtle and needs further investigation.