讲座题目：Volatility-of-volatility risk in the crude oil market

报告人：徐雅华

报告时间：2019年11月26日下午14：00

报告地点：经管院A204

主持人：林乾

内容摘要：Applying the stochastic volatility-of-volatility (VOV) framework, we show that oil VOV is a significant pricing factor for cross-sectional delta-hedged gains constructed from one-month United States Oil Fund (USO) options. Moreover, oil VOV can significantly predict one-period-ahead delta-hedged option gains. The findings are robust after controlling for jump risk measures, alternative measure of oil VOV, and delta-hedged gains constructed from one-week USO options. Finally, we show that the information content of oil VOV is also distinct from its equity counterpart which can be contributed to predicting future real personal consumption expenditures.

主讲人简介 ：徐雅华博士现为中央财经大学金融学助理教授，徐雅华博士毕业于新西兰奥克兰理工大学。从事资产定价，风险管理，衍生品市场等方面的研究，与合作者在国际权威的杂志如Energy Economics, Journal of Futures Markets上发表多篇文章。