Events Calendar

Join us to hear from Sang Byung Seo, University of Wisconsin.  His presentation is titled, "The Risk and Return of Equity and Credit Index Options".  

Abstract: We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires a balance between three sources of systematic risk: asset, variance, and jump risks. 

The Clarence Tow Lectures in Finance Series brings high-profile researchers to the Tippie College of Business to present to an audience of faculty, PhD students, and researchers from around the University of Iowa.