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2022-09-08 Research on the Pricing of Derivatives - 駱建陵副教授

*講 題:Research on the Pricing of Derivatives

*主講人:駱建陵 副教授(元智大學財務金融系副教授)

*時 間:2022年09月08日(四) 12:30-14:30

*地 點:一研102

*線 上:https://reurl.cc/60KrLb

*摘 要:

I will briefly review the classical models of derivatives pricing, introduce some potential research extensions, and present two of my papers on this topic. The first is titled 'Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures' and is currently undergoing its third round of review in the Journal of Empirical Finance. The other is titled 'VIX derivatives: valuation models and empirical evidence' and is published in the Pacific-Basin Finance Journal in 2019.

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