We are very happy to invite you to the first ZQFA Meetup this year. It is our great pleasure to announce our guest speaker, Dr. Daniel Grosshans. In this meetup, our guest will guide us through his paper “Recovering Market Beliefs from Derivatives Prices”.
Dr. Daniel Grosshans
Topic: “Recovering Market Beliefs from Derivatives Prices”
Abstract: Investor beliefs about the future dynamics of a financial market are a key determinant of market prices. Yet, these beliefs cannot easily be identified from prices as they are altered by stochastic discounting. Ross (2015) derived theoretical conditions under which these two components of prices can be disentangled again, suggesting that recovered beliefs could then be used for distributional forecasting of future market dynamics. Under real empirical conditions, however, the method needs additional stabilization to ensure reliable forecast performance. In this current work, I derive econonomically sensible ordinal conditions on implied stochastic discount factors which provide stability and enable improved forecasting using recovered market beliefs.
The event will be hosted at University of Zurich Zentrum, room KOL-G-217 and will be followed-up by some beers at bQm.
Looking forward to seeing you at the event!
Your ZQFA-Team
List of Attendees
- Federico Felician
- Filippo Brena
- Andi Vjerdha
- Lorenzo Timpone
- Francesco Montone
- Konrad Ochedzan
- Tilen Humar
- Caterina Cappeller
- Hüseyin Albay
- Connor Larson
- Angus Martin
- Christopher Yuan
- Jennifer Suting Li
- Leonardo Cito
- Georgios Avgoustinos
- Jakub Kozłowski
- Olaf Swiac
- Miroslav Zivanovic
- Viacheslav Buchkov
- Francesco Corsini
- Miha Kebe
- Agoston Györffy
- Oscar Romero Alarcon
- Feng Jiang
Bookings
Bookings are closed for this event.