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UID:61@zqfa.ch
DTSTART;TZID=Europe/Zurich:20250313T183000
DTEND;TZID=Europe/Zurich:20250313T220000
DTSTAMP:20250218T181001Z
URL:https://www.zqfa.ch/events/zqfa-meetup-39-recovering/
SUMMARY:ZQFA Meetup #39: Recovering Market Beliefs from Derivatives Prices
DESCRIPTION:We are very happy to invite you to the first ZQFA Meetup this y
 ear. It is our great pleasure to announce our guest speaker\, Dr. Daniel G
 rosshans. In this meetup\, our guest will guide us through his paper "Reco
 vering Market Beliefs from Derivatives Prices".\n\nDr. Daniel Grosshans\n
 Topic: "Recovering Market Beliefs from Derivatives Prices"\nAbstract: In
 vestor beliefs about the future dynamics of a financial market are a key d
 eterminant of market prices. Yet\, these beliefs cannot easily be identifi
 ed 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 b
 e used for distributional forecasting of future market dynamics. Under rea
 l empirical conditions\, however\, the method needs additional stabilizati
 on to ensure reliable forecast performance. In this current work\, I deriv
 e econonomically sensible ordinal conditions on implied stochastic discoun
 t factors which provide stability and enable improved forecasting using re
 covered market beliefs.\n\nThe event will be hosted at University of Zur
 ich Zentrum\, room KOL-G-217 and will be followed-up by some beers at bQm.
 \n\nLooking forward to seeing you at the event!\n\nYour ZQFA-Team
CATEGORIES:Meetup
LOCATION:KOL-G-217\, Rämistrasse 71\, Zurich\, 8006\, ZH\, Switzerland
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