Department of Accountancy and Finance, Otago Business School
3:00am-4:00pm, Thursday, Starting from Feb. 28th, 2019, CO 3.36
2:00am-3:00pm, Tuesday, Starting from April. 2th, 2019, CO 3.36
Initiator: Prof. Jin Zhang
Organizer: Wei Lin
2019.5.28 2pm-3pm
Presenter:
Wei Guo
Title: Do 'Brothers' Smirk differently? Evidence from SPX and SPY Options.
2019.5.21 2pm-3pm
Presenter:
Beam
Title: Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators
Material: Bakshi, Kapadia and Madan (2003)
2019.5.14 2pm-3pm
Presenter:
Wei Lin
Title: The Valid Regions of Gram-Charlier Densities
Material: Jondeau and Rockinger (2001)
2019.4.16 2pm-3pm
Presenter:
Fergus
Title: A Review of Stochastic Portfolio Theory and its Real World Applications
Material: Fernholz and E. Robert (2017)
Slides: The Shared Link
2019.4.9 2pm-3pm
Presenter:
Xinfeng Ruan
Title: Equilibrium Variance Risk Premium and Option Smirk in the AK Production Model
Material: Xinfeng Ruan SSRN (2017)
2019.4.4 3pm-4pm
Presenter: Wei Lin
2019.3.14 3pm-4pm
Presenter: Wei Guo
Supervisors: Prof. Jin Zhang
Title: Index option returns
Material: Constantinides et al RFS (2013) and
2019.3.7 3pm-4pm
Presenter: Tin
Supervisors: Prof. Jin Zhang
Title: The implied volatility index for the Chinese Equity market
Material: Carr, Wu and Liu (2008) and
2019.2.28 3pm-4pm
Presenter: Beam
Supervisors: Prof. Jin Zhang
Title: Examination of higher risk-neutral moment estimators
Material: Bakshi, Kapadia and Madan (2003)