演講公告

演講主題：Valuation of Financial Derivatives
主講人：駱建陵教授 (元智大學管理學院)
演講日期：2021年11月16日(星期二) 14:00 – 15:00
演講地點：(光復校區) 科學一館223室
摘要內容：
Abstract
This study proposes an efficient approach for the pricing of VIX derivatives under the affine framework and investigates the respective value of two variance components and variance jumps in the pricing of VIX derivatives. Our numerical results show that our approach significantly reduce the computational burden. Our empirical findings provide support for the use of two-variance component models as the means of capturing the fickle term structure of VIX derivatives, and the use of variance jumps is vital when included in the long-run variance component.
相關檔案：Talk_1101116.pdf

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