威尼斯官方网站,威尼斯官方网站登录

学术报告
学术报告
阿密大学金融学教授宿铁讲学通知
发布人:系统管理员  威尼斯官方网站:2015-06-23   浏览次数:621

应数学系统计与运筹研究所王勇教授邀请,美国迈阿密大学金融学(University of Miami )教授宿铁老师将于623-625日来我校进行讲学活动,欢迎感兴趣的师生参加!

 

报告题目:

(1)  Non-Marketability and One-Day Selling Lockup

(2)   CFA program.

(3)  University of Miami finance programs and teaching related issues.

    (4)Model-Free Boundaries of Option Time Value and Early Exercise Premium

报告时间: 624日上午8:30-10:0010:00-11:30          

625日上午8:30-10:0010:00-11:30

 

报告地点:格物楼503

 

报告摘要: (1) Abstract: We study the effect of non-marketability on stock prices, and examine a unique repeated non-marketability constraint that lasts for less than one day in China. Chinese stock buyers face a one-day lockup and cannot sell their shares until the next trading day. Using the equity call warrants that are not subject to this trading constraint as a control, we provide evidence that non-marketability lowers the prices of stocks. We further show that the

discount decreases throughout the trading day and that investors tend to purchase more stocks when the one-day trading lockup becomes less binding toward the market close. Our results are consistent with liquidity-based asset pricing theories that the non-marketability constraint lowers equilibrium prices through adversely affecting investor demand.

 

(2) Abstract: Why become a Chartered Financial Analyst®?The CFA® charter and your career,CFA Program requirements,The CFA exam,How to get started.

    Successful candidates start early!

 

(3) Abstract: University of Miami finance degree programs(Required Courses, Elective Courses–1, Elective Courses–2, Additional Areas of Study) ;

University of Miami finance degree Practice Teaching Programs(Intern (Career Expos & Fairs, Employer Information Sessions), Trip to Wall Street(Bermont/Carlin Scholars Program, Annual trip to New York), Bloomberg(Real-time financial reporting system, Bloomberg terminals), Bloomberg Aptitude Test (BAT), “StockTrak” Online Simulated Trading Game, Student Managed Investment Fund, Business Plan Competition, Lab Courses)

University of Miami finance degree Teaching Method Programs(Teaching Elements, Textbooks, Teaching Highlight)

University of Miami finance degree Profession Schedule(Toppel Career Center, Fee-Based Services,Non Fee-Based Services, Key elements)

 

(4) AbstractBased on option put-call parity relation, we derive model-free boundary conditions of option time value and option early exercise premium with presence of cash dividends on the underlying stock. The paper produces four main results.

1) For European options, the difference in time value between a call option and a put option is the discount interest earned on the exercise price less the present value of cash dividends to be paid before the option expiration. 2) For American options, the difference in time value between a call option and a put option is bounded between the negative amount of the present value of dividends and the discount interest earned on the exercise price. 3) The early exercise premium of an American put option is bounded between zero and the discount interest earned on the exercise price. 4) The early exercise premium of an American call option is bounded between zero and the present value of cash dividends to be paid before the option expiration. Based on results 3) and 4), the difference in early exercise premiums between an American put option and a call option is bounded below by the negative amount of the present value of cash dividends and bounded above by the discount interest earned on the exercise price. We numerically test these results in the Black-Scholes and binomial tree models. This paper contributes to the finance literature. It extends the understanding of option time value and option early exercise premium, provides boundary conditions for option-pricing model calibration, and indirectly helps enhance market efficiency and make optimal option early exercise decisions especially when the underlying stock pays cash dividends.

  

报告人简介: 宿铁教授:1985 - 1989年,北京大学,概率论与数理统计专业,学士;1989 - 1991年,密苏里大学哥伦比亚分校,统计学专业,硕士;1991 - 1995年,密苏里大学哥伦比亚分校,金融学专业,博士。自1996年起任教于美国迈阿密大学(University of Miami),他教授过本科生、MBAEMBA研究生的各类课程,例如《金融期权和期货》、 《国际金融》、 《个人金融》和《公司理财》等,他曾六次被提名为迈阿密大学“卓越教学奖”,两次被提名为“年度教授”。宿铁教授也是CFA培训专家,15 年来为迈阿密金融分析师协会提供CFA相关培训课程。此外,宿铁教授的科研成果也非常突出,曾在最顶级的金融期刊《Journal of Financial Economics》、《Journal of Financial and Quantitative Analysis》、《Journal of Business》和《Management Science》等发表过多篇论文。2015Tie Su(中文名:宿铁)教授成功入选2015年上海市“海外名师项目”(上海对外经贸大学).宿铁教授2010 曾担任欧洲金融协会地区组织副主席;2011-2014 全美华人金融协会委员会委员,2011 欧洲金融协会衍生品主席。

XML 地图 | Sitemap 地图