预告|戴民教授学术讲座-2022年数量经济学国际前沿学术报告

预告|戴民教授学术讲座-2022年数量经济学国际前沿学术报告

发布时间：2022-06-16 12:27:02 作者/出处：

报告安排：

报告主题：Strategic Real Option Exercising and Second-mover Advantage

主讲嘉宾：戴民 教授(香港理工大学,新加坡国立大学)

时间：6月19日（星期日）14：00

地点：ZOOM 会议号 9625852673

主办单位：吉林大学数量经济研究中心（吉林大学商学与管理学院、吉林大学MBA教育中心）


嘉宾介绍：

  戴民，香港理工大学应用统计与金融数学讲座教授，新加坡国立大学数学教授。戴民教授2000年于复旦大学获得数学博士学位后，先后担任了新加坡国立大学重庆研究院金融与金融风险管理研究室主任，新加坡国立大学数量金融中心主任，北京大学金融数学系副教授。其研究领域为数量金融和金融科技，随机控制，应用和数值偏微分方程，在Journal of Economic Theory, Journal of Finance, Journal of Financial and Quantitative Finance，Management Science，Mathematical Finance，Review of Financial Studies，SIAM Journals等期刊发表或待发表论文50余篇。现任Digital Finance联合主编及Finance and Stochastics，Journal of Economic Dynamics and Control，SIAM Journal on Financial Mathematics，Mathematics and Financial Economics，Asia-Pacific Journal of Operational Research，Frontiers of Mathematical Finance等期刊编委。


代表性成果：

  1. A q theory of internal capital markets Journal of Finance, forthcoming (with X. Giroud, Wei Jiang and N. Wang).

  2. Rebalancing of leveraged ETFs under market frictions, Management Science, forthcoming (with S. Kou, H.M. Soner and Chen Yang).

  3. A rational theory for disposition effects, Review of Economic Dynamics, forthcoming (with Y. Jiang, H. Liu and J. Xu).

  4. Non-concave utility optimization with portfolio bounds, Management Science, forthcoming (with S. Kou, Shuaijie Qian and X. Wan).

  5. A stochastic representation for nonlocal parabolic PDEs with applications, Mathematics of Operations Research, forthcoming (with S. Kou and C. Yang).

  6. Robo-advising: a dynamic mean-variance approach, Digital Finance, (2021), 3, 81-97 (with H. Jin, S. Kou and Y. Xu).

  7. Penalty method for portfolio selection with capital gains tax, Mathematical Finance, (2021), 31(3), 1013–1055 (with B. Bian, X. Chen and S. Qian).

  8. Incomplete information and the liquidity premium puzzle, Management Science, (2021), 67(9), 5703-5729 (with Y. Chen, L. Goncalves-Pinto, J. Xu and C. Yan).

  9. A dynamic mean-variance analysis for log returns, Management Science, (2021), 67(2), 1093–1108 (with H. Jin, S. Kou and Y. Xu).

  10. The wisdom of the crowd and prediction markets, Journal of Econometrics, (2021), 222(1), 561-578 (with Y. Jia and S. Kou).

  11. How does illiquidity affect delegated portfolio choice? Journal of Financial and Quantitative Analysis, (2019), 54(2), 539-585 (with L. Goncalves-Pinto and J. Xu).

  12. Opaque bank assets and optimal equity capital, Journal of Economic Dynamics and Control, (2019), 100(3), 369-394 (with S. Huang and J. Keppo).

  13. Portfolio selection with capital gains tax, recursive utility and regime switching, Management Science, (2018), 64(5), 2308-2324 (with J. Cai and X. Chen).

  14. Optimal trend following trading rules, Mathematics of Operations Research, (2016), 41(2), 626-642 (with Z. Yang, Q. Zhang and Q. Zhu).

  15. A note on finite horizon optimal investment and consumption with transaction costs, Discrete and Continuous Dynamical Systems - Series B, (2016), 21(5), 1445-1454 (with Z. Yang).

  16. Calibration of stochastic volatility models: A Tikhonov regularization approach, Journal of Economic Dynamics and Control, (2016), 64(3), 66-81 (with L. Tang and X.Y. Yue).

  17. Portfolio choice with market closure and implications for liquidity premia, Management Science, (2016), 62(2), 368-386 (with P.F. Li, H. Liu and Y. Wang).

  18. Optimal tax-timing with asymmetric long-term/short-term capital gains tax, Review of Financial Studies, (2015), 28(9), 2687-2721 (with H. Liu, C. Yang and Y.F. Zhong).

  19. Superhedging under ratio constraint, Journal of Economic Dynamics and Control, (2015), 58, 250-264 (with Y. Chen, J. Xu and M. Xu).

  20. Hiring, firing and employment protection, Journal of Economic Dynamics and Control, (2015), 56, 55-81 (with J. Keppo and T. Maull).

  21. Pricing corporate debt with finite maturity and Chapter 11 proceedings, Quantitative Finance, (2013), 13(2), 1855-1861 (with L. Jiang and J. Lin).

  22. Characterization of optimal strategy for multi-asset investment and consumption with transaction costs, SIAM Journal on Financial Mathematics, (2013), 4(1), 857-883 (with X. Chen).

  23. A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls, Mathematical Finance, (2013), 23(1), 57-93 (with N. Chen and X.W. Wan).

  24. Optimal stock selling based on the global maximum, SIAM Journal on Control and Optimization, (2012), 50, 1804-1822 (with Z. Yang and Y.F. Zhong).

  25. Leverage management in a bull-bear switching market, Journal of Economic Dynamics and Control, (2012), 1585-1599 (with H.F. Wang and Z. Yang).

  26. Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance, (2012), 22(1):165–184 (with Y.F. Zhong).

  27. , Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications, (2011), 151(2):402- 417 (with B. Bian, L. Jiang, J. Zhang and Y.F. Zhong).

  28. Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance, (2011), 21(4):775-793 (with Z.Q. Xu).

  29. Illiquidity, position limits, and optimal investment for mutual funds, Journal of Economic Theory, (2011), 146:1598–1630 (with H.Q. Jin and H. Liu).

  30. Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market, (2011), 31(4):394-406 (with Y.F. Zhong and Y.K. Kwok).

  31. Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, (2010), 1:780-810 (with Q. Zhang and Q. Zhu).

  32. Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, (2010), 13(3):1-31 (with Y.F. Zhong).

  33. Continuous-time mean-variance portfolio selection with proportional transaction costs, SIAM Journal on Financial Mathematics, (2010), 1(1):96-125 (with Z.Q. Xu and X.Y. Zhou).

  34. A lattice pricing algorithm for moving-average barrier options, Journal of Economic Dynamics and Control, (2010), 34(3):542-554 (with P.F. Li and J.E. Zhang).

  35. Finite horizon optimal investment and consumption with transaction costs, SIAM Journal on Control and Optimization, (2009), 48(2):1134-1154 (with L. Jiang, P.F. Li and F.H. Yi).

  36. Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem, Journal of Differential Equations, (2009), 246:1445- 1469 (with F.H. Yi).

  37. Pricing jump risk with utility indifference, Quantitative Finance, (2009), 9(2):177-186 (with L.X. Wu).

  38. Guaranteed minimum withdrawal benefit in variable annuities, Mathematical Finance (2008), 18(4):595-611 (with Y.K. Kwok and J. Zong).

  39. Optimal multiple stopping models of reload options and shout options, Journal of Economic Dynamics and Control (2008), 32(7):2269-2290 (with Y.K. Kwok).

  40. Intensity-based framework and penalty formulation of optimal stopping problems, Journal of Economic Dynamics and Control (2007), 31(12):3860-3880 (with Y.K. Kwok and H. You).

  41. A parabolic variational inequality arising from the valuation of strike reset options, Journal of Differential Equations (2006), 230:481-501 (with Z. Yang and F.H. Yi).

  42. Characterization of optimal stopping regions of American path dependent options, Mathematical Finance (2006), 16(1):63-82 (with Y.K. Kwok).

  43. Optimal policies of call with notice period requirement for American warrants and convertible bonds, Asia Pacific Financial Markets (2005), 12(4):353-373 (with Y.K. Kwok).

  44. American options with lookback payoff, SIAM Journal on Applied Mathematics (2005), 66(1):206-227 (with Y.K. Kwok).

  45. Options with combined reset rights on strike and maturity, Journal of Economic Dynamics and Control (2005), 29(9):1495-1515 (with Y.K. Kwok).

  46. Valuing employee reload options under time vesting requirement, Quantitative Finance (2005), 5(1):61-69 (with Y.K. Kwok).

  47. Quanto lookback options, Mathematical Finance (2004), 14(3):445-467 (with H.Y. Wong and Y.K. Kwok).

  48. Optimal shouting policies of options with strike reset rights, Mathematical Finance (2004), 14(3):383-401 (with Y.K. Kwok and L.X. Wu).

  49. Knock-in American options, Journal of Futures Markets (2004), 24(2):179-192 (with Y.K. Kwok).

  50. Convergence of binomial tree method for European/American path-dependent options, SIAM Journal on Numerical Analysis (2004), 42(3):1094- 1109 (with L. Jiang).

  51. One-state variable binomial models for European-/American-style geometric Asian options, Quantitative Finance (2003), 3(4):288-295.

  52. Options with multiple reset rights, International Journal of Theoretical and Applied Finance (2003), 6(5):637-653 (with Y.K. Kwok and L.X. Wu).

  53. A closed form solution to perpetual American floating strike lookback option, Journal of Computational Finance (winter 2000/2001), 4(2):63-68.

  54. A modified binomial tree method for currency lookback options, Acta Mathematica Sinica, (2000), 16(3):445-454.


 

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