您所在的位置:首页 > 中心动态 > 信息通知

【信息通知】2018年第73期青年学术沙龙:Predictable Dynamics in the Implied Volatility Surface based on Weighted Least Squares: Evidence from Soybean Meal Futures

2018-11-24 18:47:46

 

    2018年第73海大青年学术沙龙由综合交通运输协同创新中心举办,沙龙主题为“Predictable Dynamics in the Implied Volatility Surface based on Weighted Least Squares: Evidence from Soybean Meal Futures”。本次沙龙由东北财经大学金融学院杨默副教授主讲。

    主讲人简介:杨默,东北财经大学金融学院副教授,主要研究方向为数理与应用统计,保险精算。在Environment InternationalCommunications in Statistics -Theory and Methods等外文期刊发表论文数篇。

    讲座摘要:This paper examines the dynamics and predictability of the implied volatility surface derived from weighed trading volume. We employ soybean meal futures options in this study. By assigning larger weights to options with higher trading volume, we find more precise fittings on the implied volatility surface. Our estimation method outperforms traditional methods in terms of the dynamics and predictability of the implied volatility surface, both in the sample and out of the sample. We also document that soybean futures options exhibit implied volatility smirk that is different from those in the stock index options. In addition, we find that the implied volatility term structure shows an inverted U-shape during the period of high implied volatility.

 

    欢迎感兴趣的师生参加。

    时  间:2018年11月26日(周一)13:30-16:00

    地  点:心海咖啡二楼

    联系人:孟斌 13342299007