A Theory of Negative Prices for Exhaustible Resources

Lecturer : Min Dai, National University of Singapore

Presenter : Wei Sun, Jilin University

Location : ZOOM Meeting Room, ID: 9625852673

Time : 

2020/8/28 18：00-20：00（UTC+8）

2020/8/28 06：00-08：00（UTC-5）

2020/8/28 11：00-13：00（UTC+0）

2020/8/28 20：00-22：00（UTC+10）

Introduction：Recently, the plunge of WTI crude oil prices into negative territory for the first time in the history has drawn a lot of attention and controversy around the world. We propose a new equilibrium model of exhaustible resources and show that negative equilibrium prices of resources may emerge in the presence of (i) an extremely weak demand for immediate consumption, (ii) positive production adjustment costs, and (iii) non-negligible storage costs. Our model is able to calibrate the steep futures curve of WTI crude oil observed on April 20, 2020. This work is jointly with Steven Kou and Cong Qin.

About the Lecturer：Professor DAI Min obtained his Ph.D. in Mathematics from Fudan University in 2000. He is currently Professor of Mathematics and Director of the Centre for Quantitative Finance at the National University of Singapore (NUS). Before joining NUS, he taught at Peking University. His research focuses on quantitative finance and FinTech. He has published over 40 papers in peer-review journals such as Journal of Economic Theory, Journal of Financial and Quantitative Finance, Management Science, Mathematical Finance, Review of Financial Studies, SIAM Journals, etc. Currently he is in the editorial board of some journals, including Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance, etc.