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4月18日,张近(新西兰奥塔哥大学)
发布时间:2017-04-07   发布人:zs   点击数:1336

报告人:张近,新西兰奥塔哥大学(University of Otago)

时间:4月18日,周二上午9:30—11:00

地点:博学楼1222教室

题目:A Demand-Based Equilibrium Model of Volatility Trading

摘要:This paper is the first to provide a demand-based equilibrium model of volatility trading with three kinds of traders-dealers, asset managers and levered funds-which complements Eraker and Wu's (2017) consumption-based equilibrium model. Our theoretical results are consistent with existing empirical observations, and tow endogenous cases reach the same conclusion. Our novel model links together risk aversion, market price of the volatility risk, variance risk premium, VIX futures price and return and futures trading activities. This allows us to test empirically the impact of the three trader's net positions on the VRP and the VIX futures return.

报告人简介:张近,新西兰奥塔哥大学金融学教授,加州理工大学博士。曾在香港城市大学,香港科技大学和香港大学担任金融学助理教授和副教授。主要研究方向为衍生品定价和量化金融。在Journal of Financial Econometrics, Mathematical Finance, Journal of Banking and Finance 等国际学术期刊发表SSCI学术论文28篇。现为Journal of Futures Markets编委会委员,并担任30多种国际学术期刊的评审人。

 

 

 

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