Ma Chenghu

Professor

Finance

Add: Guoshun Road Siyuan Building Room 220, Siyuan Building

Tel: 25011075(TEL)

E-mail: machenghu@fudan.edu.cn

Research Field: isk Measure and Management, Preferences and Trading Strategies, Asset Pricing, Financial Derivatives, Term Structure of Interest Rates, Inverse Problems in Finance

Website:

Teacher information

Achievements in scientific research

Academic activities and community service

Academic Posts

2011.01—,Member of Editorial Board,Journal of Risk and Financial Management

2010.03—,Organizing Committee Member,Inaugural Conference of Chinese Game Theory and Experimental Economics Association

2010.03—,Session Organizer,The 10th Society for the Advancement in Economic Theory Conference

2010.01—,Program Committee Member,The 7th Asian General Equilibrium Theory Workshop

2009.11—,Referee,Referee on Behalf of Changjiang Scholar Program, Ministry of Education

2009.09—,World Class University Distinguished Professor,

2009.05—,Scientific Committee Member,International Research Forum: What Can the Academic Community Learn from the Global Crisis?

2009.04—,Referee,Division of Management Science, National Natural Science Foundation

2008.12—,Associate Editor,Journal of Applied Mathematics and Decision Science

2008.07—,Guest Editor,Journal of Mathematical Economics

2007.08—,Member of Editorial Board,Annals of Financial Economics

2006.09—,Member of Editorial Board,Finanmetrica

Academic Conferences

2012.06, The 12th Society for the Advancement of Economic Theory Conference, Brisbane, Australia

2012.06, The 7th Bachelier Finance Society World Congress 2012 (BFS2012), Sydney, Australia

Journal Papers

1.	Chenghu Ma and Xianzhen Wang. 2021. Strategic interactions and negative oil prices. Annals of Financial Economics 16(3) 1-33.

2.	Chenghu Ma and Wing-Keung Wong. 2021. A theoretical foundation for games of complete/incomplete contracts. International Journal of Financial Engineering 8(1) 1-19.

3.	Xiaoquan Liu, Yi Cao, Chenghu Ma, and Liya Shen. 2019. Wavelet-based option pricing: An empirical study. European Journal of Operational Research 272(3) 1132-1142.

4.	Emmanuel Haven, Andrei Khrennikov, Chenghu Ma, and Sandro Sozzo. 2018. Introduction to quantum probability theory and its economic applications. Journal of Mathematical Economics 78 127-130.

5.	Chenghu Ma, Jianqiang Hu, and Yifan Xu. 2018. Margins on short sales and equilibrium price indeterminacy. Journal of Mathematical Economics 74 79-92.

6.	Tiandu Wang, Chenghu Ma, and Qian Sun. 2017. The interaction between security lending market and security trading market. Pacific-Basin Finance Journal 46(part B) 309-322.

7.	Lin Huang, Chenghu Ma, and Hiroyuki Nakata. 2017. w-MPS risk aversion and the shadow CAPM: Theory and empirical evidence. The European Journal of Finance 23(11) 947-973.

8.	Tiantian Wang and Chenghu Ma. 2017. A re-examination of expectation hypothesis with time varying term premium. Journal of Interdisciplinary Mathematics 20(1) 1-12.

9.	Tiantian Wang and Chenghu Ma. 2016. Combined effect of macroeconomic variables on term premiums. ЕКОНОМІКА ТА УПРАВЛІННЯ (4) 115-122.

10.	Jian Chen and Chenghu Ma. 2016. Option pricing based on alternative jump size distributions. Frontiers of Economics in China 11(3) 439-467.

11.	Jian Chen and Chenghu Ma. 2016. Risk aversion, fanning preference and volatility smirk on S&P 500 index options. Applied Economics 48(35) 3277–3292.

12.	Chenghu Ma and Jiankang Zhang. 2013. p-Weakly constrained Pareto efficiency and aggregation in incomplete markets. Social Choice and Welfare 41(3) 605-623.

13.	Ma, Chenghu. 2011. w-MPS risk aversion and continuous-time MV analysis in presence of lévy jumps. Risk and Decision Analysis 2(4) 221-236.

14.	Chenghu Ma, Wing-Keung Wong. 2010. Stochastic Dominance and Risk Measure: A Decision-theoretic Foundation for VaR and C-VaR. European Journal of Operational Research 207(2) 927-935.

15.	Chenghu Ma. 2009. Uncertainty Aversion and A Theory of Incomplete Contract. Game Theory and Applications Vol.13 85-103.

16.	Emmanuel Haven, Xiaoquan Liu, Chenghu Ma, Liya Shen. 2009. Revealing the Implied Risk-neutral MGF from Options: The Wavelet Method. Journal of Economic Dynamics & Control Vol.33(3) 692-709.

17.	Wing-keung Wong, Chenghu Ma. 2008. Preferences over Location-scale Family. Economic Theory Vol.37 119-146.

18.	Chenghu Ma. 2007. Preferences, Levy Jumps and Option Pricing. Annals of Financial Economics Vol.3 1-39.

19.	Chenghu Ma. 2006. Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in The Presence of Levy Jumps. Journal of Mathematical Economics Vol.42(2) 131-160.

20.	Chenghu Ma. 2003. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. Annals of Economics and Finance Vol.4(2) 401-426.

21.	Xiao Luo, Chenghu Ma. 2003. Agreeing to Disagree Type Results: A Decision-theoretic Approach. Journal of Mathematical Economics Vol.39(8) 849-861.

22.	Xiao Luo, Chenghu Ma. 2001. Stable Equilibrium in Beliefs in Extensive Games with Perfect Information. Journal of Economic Dynamics and Control Vol.25(11) 1801-1825.

23.	Chenghu Ma. 2001. A No-Trade Theorem under Knightian Uncertainty with General Preferences. Theory and Decision Vol.51(2-4) 173-181.

24.	Chenghu Ma. 2000. An Existence Theorem of Intertemporal Recursive Utility in the Presence of Levy Jumps. Journal of Mathematical Economics Vol.34(4) 509-526.

25.	Chenghu Ma. 2000. Uncertainty Aversion and Rationality in Games of Perfect Information. Journal of Economic Dynamics and Control Vol.24(3) 451-482.

26.	Chenghu Ma. 1998. Attitudes toward the Timing of Resolution of Uncertainty and the Existence of Recursive Utility. Journal of Economic Dynamics & Control Vol.23(1) 97-112.

27.	Chenghu Ma. 1998. A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility. Mathematical Finance Vol.8(3) 249-275.

28.	Chenghu Ma. 1993. Market Equilibrium with Heterogeneous Recursive-utility-maximizing Agents. Economic Theory Vol.3(2) 243-266.

29.	Xianzhen Wang and Chenghu Ma. 2022. Share pledging, expropriation incentives and economic consequences: A theoretical perspective. Systems Engineering — Theory & Practice 42(5) 1146-1171. (in Chinese)

30.	Erhua Zhang, Chenghu Ma and Jilin Wu. 2016. Identification of SVAR model based on the inference of dynamic casual structure: algorithms and monte carlo simulation. Systems Engeering - Theory & Practice 36(6) 1442-1452. (in Chinese)

31.	Xiangliang Lin, Chenghu Ma, and Longzhen Fan. 2015. Portfolios choices under cumulative prospect theory in the case of discrete distribution. Journal of Systems Engineering 30(4) 494-508. (in Chinese)

32.	Gong, Jian and Chenghu Ma. 2012. A hidden markov chain modeling of Shanghai stock index. Finance 2(1) 45-49. (in Chinese)

33.	Xianzhen Wang, Chenghu Ma. 2009. The Jump Behavior of China's Stock Market Prices. China Finance Review vol.3(4) 31-66,115-150. (in Chinese)

Academic Works

Chenghu Ma. 2010. Advanced Asset Pricing Theory. Imperial College Press, London.

Papers in Books

Chenghu Ma and Xianzhen Wang.Why oil prices plunged and settled negative: A game-theoretical perspective.In .The CME Vulnerability: The Impact of Negative Oil Futures Trading.World Scientific Publishing Company,2020.

Chenghu Ma.Asset Pricing and Observational Equivalence in the Presence of Levy Jumps.In .Changing Models.,2005.

Xiao Luo, Chenghu Ma.Recent Advancements in the Theory of Choice under Knightian Uncertainty and Their Applications in Economics.In .The Current State of Economic Science.Vol.2,1999.

Teaching Materials, etc.

Chenghu Ma. 2016. Foundation of Financial Economics. Tsinghua University Press, Beijing. (in Chinese)

Chenghu Ma. 2010. Advanced Asset Pricing Theory. China Renmin University Press, Beijing. (in Chinese)

Research Projects

2013.01—2016.12, Principal Investigator, Investor Preferences, Derivative Trading and Inversion Problems in Finance, National Natural Science Foundation of China

2009.01—2011.12, Principal Investigator, On MPS-Risk-Aversion, Risk Management and Sequential Portfolio Choice: Theory and Empirical Implementation, National Natural Science Fundation of China

2000.11—2003.10, Principal Investigator, Theory of Choice under Uncertainty and Its Applications in Economics and Finance, Economics and Social Research Council(ESRC)

1997.06—2000.05, Principal Investigator, Short-selling and Market Equilibrium, Fonds pour les Chercheurs et L'Aide A la Recherche

1994.04—1997.03, Principal Investigator, Equilibria in Economics with Incomplete Capital Market, Social Science and Humanity Research Council of Canada(SSHRC)