Городской экономический семинар ЕУСПб, ВШЭ и ПОМИ продолжает работу онлайн. 15 октября в 18.00 в формате Zoom-конференции Евгений Владимиров из Амстердамского университета (University of Amsterdam) в докладе «Скачки индексов фондового рынка: данные опционных рынков» (Jump Contagion among Stock Market Indices: Evidence from Option Markets) представит модель ценообразования опционов, позволяющую учитывать информацию о взаимовлиянии фондовых рынков различных стран.
Аннотация доклада: This paper proposes a multivariate option pricing model with a mutually exciting jump component, also known as a multivariate Hawkes process, inducing time-series clustering of jumps in single markets and cross-sectional jump contagion among multiple markets. We formulate our model under both the physical and risk-neutral probability measures in an international context to jointly exploit information from the time series of stock market indices and their option price panels. For this model, we develop a semi-parametric estimation procedure based on the implied-state generalized method of moments employing a continuum of moment conditions obtained from the characteristic function of the state vector. We design a partial-information setting that allows us to reduce the computational burden arising in the multivariate set-up. Furthermore, we derive the asymptotic properties of our estimators and discuss in detail the calculation of the standard errors. Finally, we apply the univariate and bivariate versions of our model to a rich panel of high-frequency information on the FTSE 100 and DAX 30 stock market indices. Our findings suggest the presence of self-excitation effects in both indices and asymmetric jump contagion driven by the UK market.
Рабочий язык семинара — английский. Доступ по запросу на почту spb.economic.seminar@gmail.com (с указанием информации о себе). Количество участников ограничено (100 человек), присоединяйтесь к семинару за 3–5 минут.