张近| 第195期双周学术论坛：A Demand-Based Equilibrium Model of Volatility Trading

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

二、主讲人：张近，新西兰奥塔哥大学奥塔哥商学院会计与金融系教授。美国加州理工学院博士毕业。主要研究领域：金融衍生品和量化金融学。研究成果在Mathematical Finance, Journal of Financial Markets, Journal of Futures Markets等国外高水平金融学期刊发表。张教授的来华得到了国际合作处2017年度太阳集团tyc539教师入主海外学术伙伴来校开展合作科研项目----中国波动率市场培育初探项目的经费支持。（编号：110000203220160096 项目批号X2016009）

三、时间：2017年4月12日（周三），12:30-13:30

四、地点：学院南路校区主教学楼910会议室

五、主持人：黄瑜琴，太阳集团tyc539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.