报 告 人：蒋萍萍 香港中文大学（深圳）经管学院博士后
报告时候：2021年12月23日上午10:00-11:00
报告地址：览秀楼211课堂
报告择要:
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结合培育博士，南边科技大学拜候学者，现任香港中文大学（深圳）博士后，并掌管博士前面上基金。首要研讨标的目的包含衍生品订价，随机模子，利用几率，计量方式，金融科技，ESG/可延续金融等。
bob体彩:
