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UID:20260530T041220EDT-5183kVNAS0@132.216.98.100
DTSTAMP:20260530T081220Z
DESCRIPTION:Alexander Ober\n\nRice University\n\nIntermediary Inventory Ris
 k and the Pricing Kernel\n\nDate: Wednesday\, January 21\, 2026\n	Time: 11:
 30 am - 1:00 pm\n	Location: Bronfman building\, Room 370\n\nAll are cordial
 ly invited to attend.\n\n\nAbstract\n\nWhen market makers are short index 
 options in an intermediary-based pricing model\, the pricing kernel is U s
 haped in market returns. The U shape is driven more by the inability of ma
 rket makers to perfectly hedge large price movements and less by unhedgeab
 le stochastic volatility risk. The model provides a joint explanation for 
 historically observed U-shaped kernels\, large premia for upward and downw
 ard jumps in the market\, and expensive out-of-the-money calls and puts. C
 hanges in end-user demand since the financial crisis coincide with a disap
 pearance of the U shape in the pricing kernel\, as predicted by the model.
 \n
DTSTART:20260121T163000Z
DTEND:20260121T180000Z
LOCATION:Room 370\, Bronfman Building\, CA\, QC\, Montreal\, H3A 1G5\, 1001
  rue Sherbrooke Ouest
SUMMARY:Finance Area Seminar: Alexander Ober  
URL:/desautels/channels/event/finance-area-seminar-ale
 xander-ober-370422
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