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必威体育betway888登录FERM团队第2期Seminar

时间:2020-08-28浏览:320


时间:2020年9月5日下午14:30-17:30

地点:资产价格与金融稳定学科特区办公室

报告一

题目:基于LOO方法的系统性金融风险测度

主讲人:韩扬

讲座主要内容:介绍LOO(去一法)的核心思想、与MES、CoVaR、SRISK等主流系统性金融风险测度方法的差异、LOO的基本假设与模型、讨论该方法的优缺点。

主讲人介绍:

韩扬,必威体育betway787|首頁(欢迎您)讲师,管理学博士,金融工程系副主任。研究领域主要包括:金融风险管理,金融危机自实现。参编十二五国家级规划教材《证券投资学》、省级规划教材《金融科技》。在CSSCI、CPCI、EI检索期刊发表学术论文8篇。

报告二

题目:顶级期刊文献精读

主讲人:王路

讲座主要内容:CARR, P. & WU, L. (2020), Option Profit and Loss Attribution and Pricing: A New Framework. The Journal of Finance, 75: 2271-2316.

ABSTRACT

This paper develops a new top-down valuation framework that links the pricing of an option investment to its daily profit and loss attribution. The framework uses the Black-Merton-Scholes option pricing formula to attribute the short-term option investment risk to variation in the underlying security price and the option's implied volatility. Taking risk-neutral expectation and demanding no dynamic arbitrage result in a pricing relation that links an option's fair implied volatility level to the underlying volatility level with corrections for the implied volatility's own expected direction of movement, its variance, and its covariance with the underlying security return.

主讲人介绍:

王路,必威体育betway787|首頁(欢迎您)讲师,校教坛新秀,校优秀教师。


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