时间：2019年11月11日下午15:25

地点：逸夫楼915

题目一： Higher-order Omega: an index with its decision-theoretic foundation

报告人：毕洪伟 副教授，对外经济贸易大学保险学院 

摘要：In this talk, I will first propose a new performance index referred to as the Nth-order Omega that includes the well-known Omega as a special case. Then the decision-theoretic foundation for this index is established through introducing a new distribution ranking criterion. Some properties for this index are derived, for example, it is monotonic with respect to Nth-degree stochastic dominance and it is a complete ordering on gambles. An empirical example of deriving the optimal hedge ratio is demonstrated to show its applicability.

简介：毕洪伟，北京师范大学数学科学学院博士，研究方向涉及连续状态分枝过程与随机树，不确定经济学等。论文发表于Annales de l'Institut Henri Poincaré, Probabilités et Statistiques，Electronic Journal of Probability, Journal of Banking and Finance,Operations Research Letters等期刊。 

时间：2019年11月11日下午16:15

地点：逸夫楼915

题目二：Pricing path-dependent options with default risk

报告人：周珂 副教授，对外经济贸易大学统计学院

摘要：

      In the OTC markets, the holders of many contracts are vulnerable to counter party credit risk. Because of this issue, vulnerable options must be considered. In this talk, we study the pricing issue of path-dependent options with default risk. We derive analytical formulae for the prices of vulnerable path-dependent options by using a probability-based approach. Numerical results are presented to investigate the impacts of default risk on option prices.

简介：毕洪伟，北京师范大学博士，研究方向涉及应用随机过程，数量金融。论文发表于Statistics & Probability Letters, Acta Mathematica Sinica,(English Series), Frontiers of Mathematics in China, Communications in Statistics - Theory and Methods 等期刊。