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September 2019

Alec Kercheval, Florida State University: Self-excited Black-Scholes models for option pricing

September 24 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Beginners first learn to price stock options with a simple binomial tree model for random price changes.  It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit.  Actual stock prices changes occur not at regular times but at random times according to the order flow in an electronic limit order book (LOB), and these are observed to have heteroscedastic and self-exciting characteristics. In this talk, we consider random walks…

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October 2019

Ayako Yasuda, UC Davis: Private Company Valuations by Mutual Funds

October 1 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Mutual funds that invest in private securities value those securities at stale prices. Prices change on average every 2.5 quarters, vary across fund families, and are revised upward dramatically at follow-on funding events. The infrequent, but dramatic price changes yield predictably large fund returns. Fund investors can exploit the stale pricing by buying (selling) before (after) the follow-on funding events (though we find little evidence of this behavior to date). Fund families can opportunistically save up and unleash dry powder…

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TBD

October 8 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Bryan Graham, UC Berkeley

October 15 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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TBD

October 22 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Julia Belford, Tingyue Gan, and Lisa Goldberg, UC Berkeley:

October 29 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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November 2019

CANCELED

November 5 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Ruoxuan Xiong, Stanford

November 12 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Frank Partnoy, UC Berkeley:

November 19 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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December 2019

Laurent El Ghaoui, UC Berkeley:

December 3 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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