Seminar (Dept. of Finance)

Theme：A Theory of Equivalent Expectation Measures for Contingent Claim Returns

Speaker：Xiaoyang Zhuo (Assistant Professor of Finance, School of Management and Economics, Beijing Institute of Technology)

Time：2021-12-17 09:00

Address：Zoom Meeting

Language：Chinese/English

Venue：Zoom Meeting

https://zoom.us/j/86279130590?pwd=WEp0OCs2ZlNiKzBXRHk4cmNrd2w2Zz09 

Meeting ID：862 7913 0590

password：1217

ABSTRACT:

In this talk, we introduce a dynamic change of measure approach for computing the analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid probability measures called the “equivalent expectation measures” (EEMs), which provide the physical expectation of the claim’s future price until before the horizon date, and serve as pricing measures on or after the horizon date. The EEM theory can be used for empirical investigations of both the cross-section and the term structure of returns of contingent claims, such as Treasury bonds, corporate bonds, and financial derivatives.

SHORT BIOGRAPHY:

Xiaoyang Zhuo is currently an Assistant Professor at the School of Management and Economics, Beijing Institute of Technology, Beijing, China. Zhuo received her B.A., M.A. and Ph.D. degrees from the Business School, Nankai University, Tianjin, China. Her research interests include option pricing, option return, term structure models, credit risk, etc. Her research work has been accepted or published in academic journals including Journal of Finance, Journal of Real Estate Finance and Economics, Computational Economics, Mathematics and Financial Economics, etc.