时间:2016年6月28日(周二)13:30
地点:思源楼224室
主持人:Prof. Wei-lin LIU Department of Finance, School of Management, Fudan University
主题:Volatility Premium for the Long Run and Short Run
演讲者:Prof. Chu ZHANG Professor of Finance, Hong Kong University of Science and Technology
摘要: We re-examine the puzzle documented in the recent literature that long-run volatility risk is virtually not compensated in addition to the short-run volatility risk. Working with a more flexible framework with time-varying risk premiums for both short-run and long-run volatility risks, we establish that the long-run volatility risk demands a conditional premium, which depends on the difference between the long-run volatility and the short-run volatility. Likewise, the premium for the short-run volatility also depends on its level relative to that of the long-run volatility. The finding can support a wide range of asset pricing models. The flexible framework also provides a better risk-return trade-off for volatility traders, compared with more rigid pricing models of long-run and short-run volatility risks.
财务金融系
2016-6-27
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