时 间：6月22日下午12:00-13:00

地 点：主楼418

腾讯会议号：481 216 297

主讲人：国际贸易与金融系 卓小杨

题 目：A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims

主讲人简介：

卓小杨，南开大学管理学学士、硕士、博士，清华大学五道口金融学院博士后，现就职于12BET管理与经济学院国际贸易与金融系，任预聘助理教授、特别副研究员。研究方向为金融工程、衍生品定价与收益、利率期限结构、信用风险等；在Journal of Real Estate Finance and Economics、Mathematics and Financial Economics、 International Journal of Theoretical and Applied Finance等学术期刊发表论文；主持国家自然科学基金和中国博士后科学基金各一项。

内容简介：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.

研究中心简介：

（承办：国际贸易与金融系、科研与学术交流中心）