报告题目: Humps in the volatility structure of the crude oil futures market: New evidence

报告人: Boda Kang

（Lecturer in Mathematical Finance, Department of Mathematics, University of York）

摘要: This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump shaped, unspanned stochastic volatility, which entails a finite-dimensional affine model for the commodity futures curve and quasi-analytical prices for options on commodity futures. Using an extensive database of crude oil futures and futures options spanning 21 years, we find the presence of hump-shaped, partially spanned stochastic volatility in the crude oil market. The hump shaped feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under various dynamic factor hedging schemes.

报告时间：2016年3月22日（周二）上午10:00-11:30

报告地点：中央财经大学中国精算研究院会议室506

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