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大乐透结果,左岸春风双色球一语断蓝,3d走势图带连线专业版最近100期:理悦CEMA·知与行系列研讨会:The Edgeworth and Gram-Charlier Densities

发布日期:2024-12-13

主题:The Edgeworth and Gram-Charlier Densities

报告人:张近,新西兰奥塔哥大学教授

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).

报告人简介: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.

时间:2024年12月19日(周四)中午12:00-13:30

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