报 告 人：蒋萍萍 香港中文大学（深圳）经管学院博士后
报告时间：2021年12月23日上午10:00-11:00
报告地点：览秀楼211教室
报告摘要:
Winning streaks appear frequently in many financial markets including equity, commodity, foreign exchange, real estate, etc. They are manifestations of the well-studied concept of price momentum in behavior finance literature. However, none of existing asset pricing models captures the feature of persistent maxima: financial indices frequently report record highs in concentrated periods of time. While the market psychology has been used to explain momentum, it is difficult to use behavioral models for the pricing of financial derivatives. The new model in this paper enables us to measure and assess the impact of persistent extremes on financial derivatives and to determine no-arbitrage option prices. While the model in this paper is built upon the classic Black-Scholes model, it also provides a complement to existing behavioral literature that focus on empirical evidence and market sentiment or micro-structure. Thanks to closed-form solutions, the model offers computationally efficient tools for pricing and hedging taking into account price momentum.
报告人简介
蒋萍萍, 理学博士。博士毕业于南开大学金融工程专业，美国伊利诺伊大学香槟分校联合培养博士，南方科技大学访问学者，现任香港中文大学（深圳）博士后，并主持博士后面上基金。主要研究方向包括衍生品定价，随机模型，应用概率，计量方法，金融科技，ESG/可持续金融等。
