Probability and Statistics

时间：2019年11月27日

报告地点:bat365官网登录135报告厅

报告题目1: Volatility-of-volatility risk in the crude oil market

报告人:徐雅华，中央财经大学，副教授

报告时间: 2019-11-27 上午8:30-9:30

摘要：Applying the stochastic volatility-of-volatility (VOV) framework, we show that oil VOV is a significant pricing factor for cross-sectional delta-hedged gains constructed from one-month United States Oil Fund (USO) options. Moreover, oil VOV can significantly predict one-period-ahead delta-hedged option gains. The findings are robust after controlling for jump risk measures, alternative measure of oil VOV, and delta-hedged gains constructed from one-week USO options. Finally, we show that the information content of oil VOV is also distinct from its equity counterpart which can be contributed to predicting future real personal consumption expenditures.

报告题目2: Dynamic indifference pricing with ambiguity

报告人: 林乾，武汉大学，教授

报告时间: 2019-11-27 上午9:40-10:40

摘要：We study the dynamic indifference pricing in the framework of ambiguity, which leads to a set of nonequivalent priors. For this, we first study the dynamic expected utility with ambiguity preferences. We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic consistency of indifference pricing with ambiguity preferences.

报告题目3: 数据科学发展前景及应用刍议

报告人:何晓群，中国人民大学，教授

报告时间: 2019-11-27 上午10:50-11:50

摘要：1、大数据、人工智能的辉煌与泡沫.

2、大数据与统计学是你死我活吗？

3、P值的瑕疵是统计学的灭顶之灾吗？