Si avvisa che in data 02/04/2019, alle ore 12:30 precise, presso l’Aula Seminari al Terzo Piano Dipartimento di Matematica del Politecnico di Milano, si svolgerà il seguente seminario:

Titolo: Information content of implicit quantile and implicit expectile curves
Relatore: Carlo Sala, ESADE Business School.

Abstract:

We compare option implied quantiles and option implied expectiles on a 5-year dataset of prices of weekly S&P500 options. We compute these quantities by means of a fully non-parametric methodology, following Barone-Adesi (2016) and Bellini et al. (2018). We study the relative position of inverse quantile and expectile curves, and compute implicit Interquantile and Interexpectile Differences, that are compared with a weekly VIX-like index. Finally, we investigate the forecasting power of these quantities either on future logreturns or on future realized variances.