In Economics, Finance, Mathematics, Uncategorized on January 12, 2016 at 6:09 am
In this post, we discuss the interesting recent paper by Steve Ross,”The Recovery Theorem”, in which a method is proposed to disentangle the risk aversion component from the subjective probability measure from state prices. In particular, a method is proposed to back out the market’s forecast of returns (a distribution over returns) from option prices. Attached is the pdf summary detailing the results.
In Bubbles and Crashes, Economics, Finance, Mathematics on July 9, 2013 at 2:57 pm
We resume our Bubbles and Crashes series with this post discussing the recent influential works of Robert Jarrow and Phillip Protter on the characterization of bubbles as Local Martingales: The Local Martingale Characterization of Bubbles pdf
In Asset Pricing Reading Group, Economics, Finance on March 29, 2011 at 1:58 am
Due to technical issues on getting our figure and latex to display and compile on wordpress, we will temporarily include a pdf version of this post: CAPM II: Returns & MVF. We hope to resolve this issue and post in our usual format soon.