报 告 人：江南大学商学院金融系 陈文婷
报告时间：2025年3月4日18:30-19:30
报告地点：#腾讯会议：362-683-9628
报告摘要：In this paper, we propose a novel FRS model for the pricing of commodity derivatives, which incorporates a financialization discount factor and a regime-switching mechanism to assess the effects of commodity financialization and macroeconomic changes, respectively. Mathematically, in additional to many correlated stochastic factors, this newly proposed model also has a hidden Markov chain, making pricing a challenging task both numerically and analytically. Closed-form analytical solutions for the prices of commodity derivatives are derived, facilitating rapid model calibration with real-market data, despite the inherent mathematical difficulties. Numerical results demonstrate the effectiveness of the current solutions and quantify the impact of commodity financialization and changing economic conditions on the prices of commodity derivatives. A preliminary empirical study finally confirms the practical applicability of this model to the commodity futures market.
报告人简介：
陈文婷，女，博士研究生，金融系教授。陈文婷博士本科硕士分别毕业于东南大学与复旦大学，博士就读于世界排名前200位的University of Wollongong并获得全额奖学金资助。毕业后先后在University of Wollongong从事博士后研究工作和担任讲师，并获得终身教职。2015年辞去海外职位并入职江南大学商学院任教授。她担任Journal of Banking and Finance 等顶级杂志的期刊审稿人；是美国数学学会(AMS）Mathematical Reviews评论员、澳大利亚基金委基金评审专家库成员，中国运筹学会金融工程与风险管理分会理事等。主要致力于金融衍生产品定价的研究，包括研发各类高效数值定价算法，运用渐进分析工具研究期权价格的性质等。
