Join us to hear from Martin Grace, Temple University.

Join us to hear from Daniel Bauer, University of Wisconsin.

Gautam Gowrisankaran is a Professor of Economics at Columbia University, Research Associate at the National Bureau of Economic Research, Research Fellow of the Centre for Economic and Policy Research, and Professeur afilié at HEC Montréal.

Join us to hear from Sang Byung Seo, University of Wisconsin. His presentation is titled, "The Risk and Return of Equity and Credit Index Options". Abstract: We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires a balance between three sources of systematic risk: asset, variance, and jump risks. The Clarence Tow Lectures in Finance Series brings high-profile researchers to the Tippie College of Business to present to an audience of faculty, PhD students, and researchers from around the University of Iowa.

Kelly O'Berry is the Assistant Director of IRB Education and Outreach at the UI Human Subjects Office. The Behavior Research Seminar (BRS) is a low-pressure, safe place for Tippie faculty and PhD students to share new ideas and seek feedback in the early stages of a research project.

Piotr Dworczak is an Associate Professor at Northwestern University.