Lectures on The information content of option prices
Professor Carlo Sala at ESADE, Sant Cugat, Spain, holds a series of three lectures on The information content of option prices and its use in finance.
In a nutshell this is all about how to use options, alone or together with stocks, to extract different financial information, e.g. how to find the pricing measures, test market efficiency.
Location Niels Henrik Abels hus:
Monday 7.10 at 12:15-14:00 room NHA 107;
Tuesday 8.10 at 12:15-14:00 room NHA 1020;
Thursday 10.10 at 12:15-14:00 room NHA 1020.
The lectures focus on the following topics:
- Measures estimation and the pricing kernel
- Market efficiency and the pricing kernel
- Option implied quantiles and expectiles and their applications in finance
The full program is here