Dear colleagues,

you are all invited to participate in the following seminar organized by QFinLab – Department of Mathematics, Politecnico di Milano.

 

Wednesday, 7 May 2025, 12.15-13.15

Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)

Alessandro Sbuelz (Università Cattolica del Sacro Cuore) 

Title: The Zero-Theta Hedge Contract.

Abstract: We examine long-dated asset valuation under systematic and idiosyncratic risk, driven by extreme trajectories. By introducing the zero-Theta hedge contract, a negative-Delta derivative security with a maturity-independent price, we study investor attitudes toward systematic long-run crashes. Declining expected payoff with maturity signal strong crash aversion. The contract aids in decomposing the stochastic discount factor, shedding light on long-run crash risk premia. Even for volatile assets whose price comes from idiosyncratic rallies, systematic long-run crashes remain central to long-run risk valuation.

Based on a joint work with Anna Battauz and Marzia De Donno.

Next seminars: Olimpia Carradori (University of Zurich), 5 June. Marco Tolotti (Università Ca’ Foscari Venezia), 9 June 12.15.

 

All news can be found on the QFinLab webpage.

The organizers: Michele Azzone and Alessandro Calvia.