時(shí) 間：6月22日下午12:00-13:00
地 點(diǎn)：主樓418
騰訊會(huì)議號(hào)：481 216 297
主講人：國(guó)際貿(mào)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(jiǎn)介：
卓小楊，南開(kāi)大學(xué)管理學(xué)學(xué)士、碩士、博士，清華大學(xué)五道口金融學(xué)院博士后，現(xiàn)就職于偉德國(guó)際1946bv官網(wǎng)管理與經(jīng)濟(jì)學(xué)院國(guó)際貿(mào)易與金融系，任預(yù)聘助理教授、特別副研究員。研究方向?yàn)榻鹑诠こ?、衍生品定價(jià)與收益、利率期限結(jié)構(gòu)、信用風(fēng)險(xiǎn)等；在Journal of Real Estate Finance and Economics、Mathematics and Financial Economics、 International Journal of Theoretical and Applied Finance等學(xué)術(shù)期刊發(fā)表論文；主持國(guó)家自然科學(xué)基金和中國(guó)博士后科學(xué)基金各一項(xiàng)。
內(nèi)容簡(jiǎn)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(jiǎn)介：
（承辦：國(guó)際貿(mào)易與金融系、科研與學(xué)術(shù)交流中心）
