【本期主题】Affine Jump Term Structure Models: Expectation Puzzles and Conditional Volatility

Affine term structure models (ATSMs) ignore well-documented jumps in interest rates and fail to simultaneously capture the “expectation puzzle” and time-varying yield volatility. We develop affine jump term structure models (AJTSMs) with state variables following affine jump-diffusions and provide a comprehensive empirical analysis of three-factor AJTSMs using LIBOR and swap rates. We show that jumps (i) help to capture the conditional skewness and kurtosis of yields at short and long maturities and (ii) lead to more .exible speci.cations of conditional yield volatility and market prices of risks. Two sub-classes of three-factor AJTSMs simultaneously capture the“expectation puzzle”and time-varying yield volatility.

【报告人】李海涛 密歇根大学金融学讲席教授 长江商学院金融学访问教授

【时 间】03月29日 上午10:00

【地 点】明德主楼0509室

【报告人简介】

李海涛教授是密歇根大学Stephen M. Ross School of Business ,Jack D.Sparks Whirlpool Corporation 金融学讲席教授，曾在康奈尔大学约翰逊管理学院任教。李海涛博士是耶鲁大学金融学博士,主要研究领域为理论与资产定价，信用风险，期权定价，金融经济学，对冲基金，在Journal of Finance , Journal of Econometrics, Journal of Financial Economics，Journal of Banking and Finance，Review of Financial Studies等国际顶级期刊上发表多篇文章，现担任国际顶级期刊Management Science副主编。

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