1,5 million grant for Andrea Barletta

PhD fellow Andrea Barletta receives a postdoc grant from the Danish Council for Independent Research. The amount granted is DKK 1,546,926.

2016.03.01 | Ingrid Marie Fossum

Andrea Barletta

About the project "The Invisible Risks of Derivatives Valuation Models"
Measuring and understanding the expectations of the market is crucial for policy-making, risk management, hedging or pure speculation. There exist traded contracts, called derivatives, which can be seen as lotteries on the future states of the assets and consequently bear information on the future events. My primary aim is to develop a model risk-minimizing methodology to infer the probabilities that the investors assign to future events and are inherently embedded in derivative prices. Given these probabilities, a risk analyst could hedge against the future extreme events that could determine market crashes. Alternatively, an investor could take advantage of the market expectations and invest on market fluctuations with speculative purposes. Finally, a policy maker with an interest on the functioning of the financial markets, could verify ex-post the correctness of the investors' expectations and consequently take institutional decisions to adjust the regulations of the markets.

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