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  • 제목 APAD 2019 Session 1 - 3
    작성자 관리자 조회수 474 작성일 2019.07.21
    Session 1 : Options 1

    *The Impact of Net Buying Pressure on VIX Option Prices

    --Yi-Wei Chuang (Univ.of Dayton)
    Wei-Che Tsai (National Sun Yat-sen University)
    Ming-Hung Wu (Beijing Normal Univ.)

    *Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

    -- Jeechul Woo (Univ.of Illinois Urbana-Champaign)
    Chenru Liu (Stanford Univ.)
    Jaehyuk Choi (Peking University HSBC Business School)

    *Stock Return Autocorrelations and the Cross Section of Option Returns

    --Yoontae Jeon (Ryerson Univ.)
    Raymond Kan (Univ. of Toronto)
    Gang Li ((Univ. of Toronto)


    Session 2 : Market Microstructure 1

    *General Managerial Skills, Tolerance for Failure, and Stock Price Crash Risk

    --Daewoung Choi (Louisiana State Univ. Shreveport)
    Thanh Ngo (East Carolina Univ.)
    Ha-Chin Yi (Texas State Univ.)

    *Central Counterparty Exposure in Stressed Markets

    --Wenqian Huang (Bank for International Settlements)
    Albert J. Menkveld (Vrije Univ. Amsterdam)
    Shihao Yu, (Vrije Univ. Amsterdam)

    *The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium

    --Joonki Noh (Case Western Reserve Univ.)
    . Yakov Amihud (New York Univ.)


    Session 3 : Investment 1


    *Stock Prices, Changes in liquidity, and liquidity Premia

    --Bong-Gyu Jang (POSTECH)
    Bong-Soo Lee (Florida State Univ.)
    Hyun-Tak Lee (National Univ. of Singapore, Korea Asset Management Corporation)

    *Pricing equity and contingent convertibles with idiosyncratic risk

    --Xiaolin Wang (Henan Univ.)
    Zhaojun Yang (Southern Univ. of Science and Technology)


    *Time-Varying Market Participation, Consumption Risk-Sharing, and Asset Dynamics

    --Redouane Elkamhi (Univ. of Toronto)
    Chanik Jo (Univ. of Toronto)




    첨부파일 첨부파일 session1.zip(1517883 Byte)
    첨부파일 session2.zip(1563188 Byte)
    첨부파일 session3.zip(2906428 Byte)

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