Financial Engineering Seminar Series - Maria Grith, Humboldt University of Berlin
Thursday, December 6, 2012 – 5:00 pm
Location: Babbio 122 and Online via Wimba
An Axiomatic and Data Driven View on the EPK Paradox
Ladislaus von Bortkiewicz Chair of Statistics
C.A.S.E. Centre for Applied Statistics and Economics
School of Business and Economics
Humboldt University of Berlin
ABSTRACT: Supported by several recent investigations, the empirical pricing kernel (EPK) paradox might be considered as a stylized fact. Some authors suggest that this paradox might be caused by regime switching in financial markets. Based on an economic model with state dependent utilities and reference points we want to emphasize a microeconomic view that succeeds in explaining the paradox.
BIO: Maria Grith pursued a Bachelor in International Economic Relations at the Faculty of Economics, Western University Timisoara, Romania. Between 2005 and 2008 she attended the Master’s Program in Economics and Management Science (M.Sc.) at Humboldt-Universität zu Berlin with majors in Economics and Statistics. From 2006 she worked as student assistant at the Institute of Economic Policy HU Berlin. In April 2008 she started her Ph.D. at the Institute of Statistics, HU, by Prof. Wolfgang Härdle. She was teaching assistant for the courses Statistics and lecturer in Statistics of Financial Markets, Multivariate Statistical Analysis and Non- and Semiparametric Modelling at HU, as well as TA for Applied Economic Analysis at Hertie School of Governance. Her topic ”Dynamics of Risk Attitudes” lies at the boundary between modern nonparametric statistics, financial mathematics and economics. She's presently Princeton University as Visiting Student Research Collaborator.
The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program and the undergraduate Quantitative Finance programs at Stevens Institute of Technology. Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia. This event is co-sponsored by the School of Systems & Enterprises, Financial Engineering Department and the Howe School of Technology, Quantitative Finance Department.