San Francisco Chapter Meeting Announcement
Next Meeting: 5.30 pm on October13, 2009
San Francisco, CA 94111 Get directions Topic: Capturing the Smile and the Skew: A Theory of non-Gaussian Option Pricing
Abstract: We discuss a stock price model where fluctuations follow a statistical feedback process. The resulting distribution of log-returns follows a Tsallis distribution (equivalent to a Student distribution), which corresponds very well to empirical stock returns if q is about 1.4. Closed form solutions for the prices of European call options are derived, and we find that these fit very closely to market prices of options. Successes, limitations, and perspectives of this model are also discussed.
Speaker Bio: Lisa Borland is currently Director of Derivatives Strategies at Evnine and Associates, a San Francisco based hedge fund. She received her Doctorate in Theoretical Physics from the University of Stuttgart, Germany and after some years of working in academia in the United States (Berkeley) and abroad (Brazil), she moved in to the field of finance. She has over 50 scientific publications and has been invited to speak at about as many international conferences. Her most notable work in finance has been the development of a theory for non-Gaussian option pricing. However, her main interest is more general; namely to try and understand the dynamics of financial markets, and apply that knowledge to trading strategies and risk control. Use the acteva link below to register for the meeting or to purchase annual membership. QWAFAFEW members who have already paid their 2009 dues do not need to register. http://www.acteva.com/booking.cfm?bevaid=190996 The link is valid only before the meeting. San Francisco QWAFAFEW Steering Committee (Alphabetical Order)
Anna Coppola, Flagship Global, Inc.
Ralph Goldsticker, Mellon Capital Management Rosy Macedo, Thomas J Watson Fellowship Program Robert Maxim, Duff & Phelps Matt O'Hara, Barclays Global Investors Jim Quinn, Quantal International - SF chapter chairman Irene Rusman, Oracle Seth Stafford, Oracle
Membership & Inquiries Annual membership
fee is a $50. Members will enjoy free attendance at meetings. To be
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October 2009 Meeting |