Probability and Statistics
报告题目1: Volatility-of-volatility risk in the crude oil market
报告时间: 2019-11-27 上午8:30-9:30
摘要：Applying the stochastic volatility-of-volatility (VOV) framework, we show that oil VOV is a significant pricing factor for cross-sectional delta-hedged gains constructed from one-month United States Oil Fund (USO) options. Moreover, oil VOV can significantly predict one-period-ahead delta-hedged option gains. The findings are robust after controlling for jump risk measures, alternative measure of oil VOV, and delta-hedged gains constructed from one-week USO options. Finally, we show that the information content of oil VOV is also distinct from its equity counterpart which can be contributed to predicting future real personal consumption expenditures.
报告题目2: Dynamic indifference pricing with ambiguity
报告时间: 2019-11-27 上午9:40-10:40
摘要：We study the dynamic indifference pricing in the framework of ambiguity, which leads to a set of nonequivalent priors. For this, we first study the dynamic expected utility with ambiguity preferences. We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic consistency of indifference pricing with ambiguity preferences.
报告时间: 2019-11-27 上午10:50-11:50