主  讲  人：江南大学    陈文婷教授

时        间：2023年12月1日（星期五）上午10:30--11:30

地        点：览秀楼105学术报告厅

报告摘要：

In this talk, the pricing of foreign exchange options is considered under a modified Heston–Cox– Ingersoll–Ross hybrid model. This modified model reserves all the characteristics of the Heston–Cox–Ingersoll–Ross model and also additionally assumes regime switching in the key parameters of the volatility as well as the domestic and foreign interest rates. Even though complicated, we have derived a closed-form pricing formula for foreign exchange options after the affinity of this new model is verified. Various properties of the newly derived formula are also shown through numerical experiments. To show the performance of this newly proposed model, an empirical study is also conducted, the result of which suggests that our model is a good alternative to the Heston–Cox–Ingersoll–Ross model for practical purpose.

 

主讲人简介：

陈文婷，博士研究生，江南大学商学院教授。曾在University of Wollongong从事博士后和担任讲师，并获得终身教职。2015年入职江南大学商学院任教授。她是美国数学学会评论员、澳大利亚基金委基金评审专家库成员，中国运筹学会金融工程与风险管理分会理事等；主要致力于金融衍生产品定价、最优投资组合选择的研究。相关研究成果对金融衍生品在极短时间内实现定价，挖掘资本市场潜能，降低金融风险具有积极意义。迄今为止，已在金融衍生品领域具有重要影响的国际期刊上发表学术论文30余篇；先后主持国家自科和教育部人文社科规划基金等部省级以上项目。目前担任SCI期刊《Mathematics》金融数学与金融工程 (Financial Mathematics and Financial Engineering) 特别栏目的Guest Editor.