學(xué)術(shù)信息
學(xué)術(shù)講座：Pure Jump Models for Pricing and Hedging VIX Derivatives
日期：2017-05-03 | 訪(fǎng)問(wèn)量：
學(xué)術(shù)講座：Pure Jump Models for Pricing and Hedging VIX Derivatives
學(xué)術(shù)講座：Pure Jump Models for Pricing and Hedging VIX Derivatives 時(shí)間：2017-5-10 16:00-17:00 地點(diǎn)：博學(xué)925 摘要：Recent non-parametric statistical analysis of high-frequency VIX data (Todorov and Tauchen (2011)) reveals that VIX dynamics is a pure jump semimartingale with infinite jump activity and infinite variation. To our best knowledge, existing models in the literature for pricing and hedging VIX derivatives do not have these features. This paper fills this gap by developing a novel class of parsimonious pure jump models with such features for VIX based on the additive time change technique proposed in Li et al. (2016). We time change the 3/2 diffusion by a class of additive subordinators with infinite activity, yielding pure jump Markov semimartingales with infinite activity and infinite variation. These processes have time and state dependent jumps that are mean reverting and are able to capture stylized features of VIX. Our models take the initial term structure of VIX futures as input and are analytically tractable for pricing VIX futures and European options via eigenfunction expansions. Through calibration exercises, we show that our model is able to achieve excellent fit for the VIX implied volatility surface which typically exhibits very steep skews. Comparison to two other models in terms of calibration reveals that our model performs better both in-sample and out-of-sample. We explain the ability of our model to fit the volatility surface by evaluating the matching of moments implied from market VIX option prices. To hedge VIX options, we develop a dynamic strategy which minimizes instantaneous jump risk at each rebalancing time while controlling transaction cost. Its effectiveness is demonstrated through a simulation study on hedging Bermudan style VIX options. 演講人簡(jiǎn)介：李凌飛，香港中文大學(xué)系統(tǒng)工程與工程管理學(xué)院助理教授。2007年在北京大學(xué)數(shù)學(xué)學(xué)院金融數(shù)學(xué)系獲得學(xué)士學(xué)位，后在美國(guó)西北大學(xué)工業(yè)工程與管理系獲得碩士和博士學(xué)位。2012年6月開(kāi)始在香港中文大學(xué)任教，研究興趣為金融工程，數(shù)理金融，計(jì)算金融。曾在金融數(shù)學(xué)，運(yùn)籌管理以及科學(xué)計(jì)算著名期刊Mathematical Finance, Finance and Stochastics, Operations Research和SIAM Journal on Scientific Computing發(fā)表多篇學(xué)術(shù)論文?，F(xiàn)主持兩項(xiàng)由香港研資局資助的基金項(xiàng)目。