Event

DF Lunch Seminar with Prof. Ansgar Walther (Oxford University)

  • Speaker  Prof. Ansgar Walther

  • Location

    Kirchberg Campus

    6, rue Richard Couden­­­hove-Kalergi

    1359, Luxembourg, Luxembourg

  • Topic(s)
    Finance
  • Type(s)
    Free of charge, In-person event, Lectures and seminars

“Probability Pricing”

With the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.

Abstract

This paper develops probability pricing, extending cash flow pricing to measure the willingness-to-pay for changes in probabilities. The value of a change in probabilities can be expressed as a cash flow pricing formula for an asset with hypothetical cash flows derived from changes in the survival function. This cash flow equivalent formulation provides a way to construct hedging strategies and decompose probability prices into expected-payoff and risk-compensation components. Our four applications study the valuation of changes in the distribution of aggregate consumption, the efficiency effects of changes in performance noise in principal-agent problems, and the welfare implications of changes in public and private information.

About the speaker

Ansgar Walther is a Professor of Financial Economics at the University of Oxford.

Language

English.

This is a free event. Registration is mandatory.

Cold lunches are provided to registered participants only.

In collaboration with

This event is supported by the Luxembourg National Research Fund (RESCOM/2025/LE/19440690).

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