skip to primary navigationskip to content
 

CF Workshop - No good deals - no bad models, by John Crosby

When May 14, 2013
from 05:00 PM to 06:00 PM
Where Sidgwick Hall, Newnham College
Contact Name
Add event to calendar vCal
iCal

John Crosby has worked at a number of investment banks as both a quant and as an fx options trader.  He is currently a managing director at Grizzly Bear Capital and a visiting Professor of Finance in the Centre for Economic and Financial Studies at Glasgow University Adam Smith Business School.

Title: No good deals - no bad models

This is joint work with Nina Boyarchenko, Mario Cerrato and Stewart Hodges.

Abstract:
Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuation and hedging  robust to model uncertainty.  Our approach to this problem combines the “No Good Deals" methodology of Cochrane and Saa-Requejo [2000] with elements of the robustness framework of Hansen and Sargent [2008] and of Maenhout [2004]. The analysis introduces the notion of a model uncertainty induced utility function and shows how model uncertainty increases an investor's effective risk aversion. The presence of (and aversion to) model uncertainty gives greater weight (i.e. greater than the investor's marginal utility) to states in which losses are relatively large. Further, static hedging, (i.e. hedging an option by taking a “buy-and-hold" position in other assets, as opposed to dynamic hedging with the underlying asset), may become a relatively attractive hedging strategy in the presence of model uncertainty. We illustrate the methodology using some numerical examples.

 

 

 

 


 

« October 2018 »
October
MoTuWeThFrSaSu
1234567
891011121314
15161718192021
22232425262728
293031

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Ron Masulis

Oct 25, 2018

Room W4.05, Cambridge Judge Business School

Cambridge Finance Workshop - Oğuzhan Karakaş

Nov 08, 2018

North 10 Trumpinton St (lower ground)

Cambridge Finance Workshop - Hubert Kempf

Nov 22, 2018

Room W4.05, Cambridge Judge Business School

Previous events

Upcoming events