理悅CEMA•知與行系列研讨會2024年第十二講将于12月19日（周四）中午12:00-13:30在學術會堂712會議室舉行，由新西蘭奧塔哥大學教授張近報告“The Edgeworth and Gram-Charlier Densities”，歡迎感興趣的師生參加。

題目

The Edgeworth and Gram-Charlier Densities

摘要

This paper is the first to define the Edgeworth density and comprehensively compare it to the Gram–Charlier density in the context of option pricing.The two densities allow additional cumulants to the normal distribution;although similar,they are not the same when truncated.Many academics have misidentified the two.This paper clearly distinguishes the two,presents the derivation of both,and develops a general option pricing model which can be used for both densities with an arbitrary number of additional cumulants.The option pricing formula for each density is also calibrated and compared to more typical models with the most advanced being the affine jump-diffusion model(stochastic volatility with double jumps).

報告人簡介

Jin Zhang is a Professor of Finance at University of Otago.He has been doing research in Derivatives and Quantitative Finance,which is an interdisciplinary area between Finance and Applied Mathematics.He has published more than 80 papers in finance journals such as Journal of Banking and Finance,Journal of Financial Markets,Journal of Economic Dynamics and Control,European Journal of Operational Research,Energy Economics,Mathematical Finance,Quantitative Finance,Journal of Futures Markets,Review of Derivatives Research,among others.He serves as a member of Editorial Board for the Journal of Futures Markets,and an Associate Editor for Applied Economics and Applied Economics Letters.

時間

2024年12月19日（周四）

中午12:00-13:30

地點

韦德体育bevictor學院南路校區

學術會堂712會議室

撰稿：甄芳

 審稿：汪雄劍

 排版：曲泰萊

編輯：沈嘉怡

審核：王穎