Dear colleagues,
you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.
Wednesday, 7 May 2025, 12.15-13.15
Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)
Alessandro Sbuelz (Università Cattolica del Sacro Cuore)
Title: The Zero-Theta Hedge Contract.
Abstract: We examine long-dated asset valuation under systematic and idiosyncratic risk, driven by extreme trajectories. By introducing the zero-Theta hedge contract, a negative-Delta derivative security with a maturity-independent price, we study investor attitudes toward systematic long-run crashes. Declining expected payoff with maturity signal strong crash aversion. The contract aids in decomposing the stochastic discount factor, shedding light on long-run crash risk premia. Even for volatile assets whose price comes from idiosyncratic rallies, systematic long-run crashes remain central to long-run risk valuation.
Based on a joint work with Anna Battauz and Marzia De Donno.
Next seminars: Olimpia Carradori (University of Zurich), 5 June 12.00.
Marco Tolotti (Università Ca' Foscari Venezia), 9 June 12.15.
All news can be found on the QFinLab webpagehttps://www.qfinlab.polimi.it/seminars-and-meetings/.
The organizers: Michele Azzone and Alessandro Calvia.