*Tid:***11 juni 2007 kl 15.15-16.00 **

*Plats :***Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!

*Föredragshållare:***
Johan Land
**

* Titel: *
Real and Risk-Neutral Probability Distributions
(Examensarbete)

* Sammanfattning: *
An implicit risk-neutral distribution function is calculated in
two different ways. First a direct method is explored, then a
method using the smiley. The first method is found not working
while the latter method is working very well. The implicit
risk-neutral distribution functions are compared to both the
theoretical log-normal distribution and the real distribution
calculated on real price changes. The implicit risk-neutral
distribution is found to correspond very well to the real
distribution, but the theoretical distribution differs very
much. The calculated distribution has thicker left tail and
higher maximum than the theoretical distribution.