Advancing the Field of Quantitative Finance
formerly the IAFE

Event: Extracting Information about the Stock Market's Return Forecasts and Risk Preferences from the Risk Neutral Probability Distribution

Date: April 20, 2009
Time: 5:00 Registration
5:30-7:00 Event
Location:
PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)

Room 22109
New York
Description:

International Association of Financial Engineers presents

An IAFE Members Only Event
Tutorial Series

Extracting Information about the Stock Market's Return Forecasts and Risk Preferences from the Risk Neutral Probability Distribution

Monday, April 20, 2009
5:00 Registration and Coffee Reception
5:30-7:00 Event

PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)

Room 22109
New York

Tutorial led by

Professor Stephen Figlewski

NYU

Event Description:

Market prices for stock index options 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 risk bearing.  This information is encapsulated in the "risk neutral probability distribution" (RND).  The tutorial will cover:

  • How to extract a well-behaved estimate of the RND from market prices for S&P 500 index options
  • What factors influence the expected mean and volatility under the RND
  • How RND changes from day to day and from minute to minute within a day as the underlying stock market moves
  • How the RND behaved during the onset of the financial crisis in the fall of 2008

Registration:

This is an IAFE Members Only event. Only members at the academic or practicioner level can register for this event.

Registration for this event is now closed.

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