張近| 第195期雙周學術論壇：A Demand-Based Equilibrium Model of Volatility Trading

一、主題：A Demand-Based Equilibrium Model of Volatility Trading

二、主講人：張近，新西蘭奧塔哥大學奧塔哥商學院會計與金融系教授。美國加州理工學院博士畢業。主要研究領域：金融衍生品和量化金融學。研究成果在Mathematical Finance, Journal of Financial Markets, Journal of Futures Markets等國外高水平金融學期刊發表。張教授的來華得到了國際合作處2017年度bevictor伟德官网教師入主海外學術夥伴來校開展合作科研項目----中國波動率市場培育初探項目的經費支持。（編号：110000203220160096 項目批号X2016009）

三、時間：2017年4月12日（周三），12:30-13:30

四、地點：學院南路校區主教學樓910會議室

五、主持人：黃瑜琴，bevictor伟德官网副教授

Abstract: This paper is the first to provide a demand-based equilibrium model of volatility trading with three kinds of traders (dealers, asset managers and leveraged funds) which complements Eraker and Wu's (2017) consumption-based equilibrium model. Our theoretical results are consistent with existing empirical observations, and two endogenous cases reach the same conclusion. Our novel model links together risk aversion, market price of the volatility risk, variance risk premium, VIX futures price and return and futures trading activities. This allows us to test empirically the impact of the three traders' net positions on the VRP and the VIX futures return.