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A series of lectures on “finance and statistics”-- International spillover, domestic fundamentals and option pricing

At the invitation of the school of Mathematical Sciences,  Dr. Pan Zhiyuan , Director, Institute of financial measurement and financial engineering, Southwest University of Finance and Economics, delivered an academic report entitled " International spillover, domestic fundamentals and option pricing" by Tencent Conference at afternoon in Dec. 9, 2020.  Some teachers of the Department of Statistics and Financial mathematics of the School of Mathematical Sciences, and some graduate students majoring in probability theory and mathematical statistics, statistics and applied statistics attended the meeting.

Dr. Pan graduated from Shanghai Jiaotong University. He is an associate professor and doctoral supervisor of Southwest University of Finance and economics, and head of Institute of financial measurement and financial engineering, China Financial Research Center, Southwest University of Finance and economics. His main research fields are financial econometrics and financial engineering. He has published nearly 30 papers in Journal of economics, Journal of banking and finance, Journal of imperial finance, Journal of futures markets, quantitative finance, Journal of management  science, and  financial research etc.

 

Dr. Pan introduced in detail the background and empirical results of spillover effect and fundamental factors in the pricing process of financial derivatives, and then constructed the model of leading market and following market (SpillMacro-GARCH), which allows the leading market to have spillover effect on the following market and the volatility of the two markets is affected by domestic fundamental factors. Under the restriction of non-monotone pricing kernel (Radon Nikodym derivative), the closed solution of European option pricing is given. At the same time, using real data, the empirical results and robustness analysis are given, and compared with other mainstream pricing models, the conclusion that spillmacro GARCH model is better and more robust is obtained. Finally, Professor Pan answered some questions in detail, and the report meeting was successfully concluded.

(From Li Qicai)