時 間：6月22日下午12:00-13:00
地 點：主樓418
騰訊會議號：481 216 297
主講人：國際貿易與金融系 卓小楊
題 目：A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims
主講人簡介：
卓小楊，南開大學管理學學士、碩士、博士，清華大學五道口金融學院博士后，現就職于偉德國際1946bv官網管理與經濟學院國際貿易與金融系，任預聘助理教授、特別副研究員。研究方向為金融工程、衍生品定價與收益、利率期限結構、信用風險等；在Journal of Real Estate Finance and Economics、Mathematics and Financial Economics、 International Journal of Theoretical and Applied Finance等學術期刊發表論文；主持國家自然科學基金和中國博士后科學基金各一項。
內容簡介：In this talk, we generalize the traditional change of measure approach for contingentclaims analysis using a dynamic change of measure at any future horizon date. The new theory constructs hybrid probability measures calledtheequivalent expectations measures(EEMs) for deriving analytical solutions to theexpected future prices (and therefore, expected returns) of contingent claims, undervirtually all models of financial derivatives, Treasury bonds and corporate bonds thatadmit an analytical solution to the claim’s current price. The EEM theory allows theempirical investigation of both thecross-sectionand theterm structureof contingentclaim returns.
研究中心簡介：
（承辦：國際貿易與金融系、科研與學術交流中心）
