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UID:DSC-15211
DTSTART;TZID=Europe/Berlin:20181129T140000
SEQUENCE:1540288807
TRANSP:OPAQUE
DTEND;TZID=Europe/Berlin:20181129T150000
URL:https://www.dresden-science-calendar.de/calendar/de/detail/15211
LOCATION:TUD Willers-Bau\, Zellescher Weg 12-1401069 Dresden
SUMMARY:Simon: Stock Price Bubbles - An Option-based Indicator
CLASS:PUBLIC
DESCRIPTION:Speaker: Dr. Martin Simon\nInstitute of Speaker: Deka Investmen
 t GmbH\nTopics:\nMathematik\n Location:\n  Name: TUD Willers-Bau (WIL A 12
 4)\n  Street: Zellescher Weg 12-14\n  City: 01069 Dresden\n  Phone: \n  Fa
 x: \nDescription: In this talk we are going to discuss an option-based mat
 hematical indicator for stock price bubbles. The first introductory part r
 ecaps the strict local martingale theory for modeling asset price bubbles 
 and its implications for pricing contingent claims. In the second part we 
 present a novel forward-looking indicator based on the information content
  of bid and ask market quotes for exchange-traded plain vanilla options. O
 ur construction is motivated by a recent theoretical result by A. Jacquier
  and M. Keller-Ressel proving that bubbles can be identified from the asym
 ptotic behavior of the implied volatility surface. However\, in practice\,
  the resulting inverse parameter identification problem is ill-posed and w
 e adopt a statistical perspective in order to cope with this ill-posedness
  and to quantify the indicator’s inherent uncertainty. Finally\, we prov
 ide real-market tests of the proposed indicator with focus on tech stocks 
 addressing increasing concerns about a tech bubble 2.0.  
DTSTAMP:20260705T194609Z
CREATED:20181023T100007Z
LAST-MODIFIED:20181023T100007Z
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