徐雅华博士学术讲座通知
时间:2017-7-14 16:49:21   阅读:   标签: 管理学院 学术讲座通知
     徐雅华博士就读于奥克兰理工大学金融学专业。主要研究领域为校准,金融模型,高频数据分析,期权定价,定量分析。
 
时间:2017724日下午14:0015:00
地点:哈工大科学园2H408
讲座题目: Higher Moment Risk Premiums for the Crude Oil Market: A
Downside and Upside Conditional Decomposition
讲座摘要:
Relying on options written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil, we extract variance and skew risk premiums in a model-free way. We further decompose these risk premiums into downside and upside conditional components and show that they are time varying; that they can be partially explained by USO excess returns and, more importantly, these decomposed risk premiums enable a much better prediction of USO excess returns than the standard, or undecomposed, variance and skew risk premiums.
欢迎感兴趣的老师和同学来参加。
 
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                                                 2017714
发布:徐建慧 |  审核:曹文涛 |  来源: 管理学院