时间：2020年11月25日12:00-13:30

线上平台与会议ID：腾讯会议    ID:476 969 555

主题：Zero Interest Rate, Financial Decisions, and Regime Classification

会议主题：

The issue of zero interest rate has attracted great attention from policy makers, practitioners, and researchers because the interest rate might drop to zero in reality in certain countries due to quantitative easing, for example, during the financial crisis of 2007-2008 and the COVID-19 crisis. We study the impact of zero interest rate on financial decisions by focusing on optimal decisions involved in the problems that can be formulated as valuation of American-type options. More specifically, we consider perpetual American put options under regime-switching exponential Levy models with any finite numbers of regimes and general Levy types, in which the risk-free interest rate in each regime is nonnegative and the discounted stock price with the dividends reinvested is unnecessarily a martingale. We show that, unlike the conventional case with positive risk-free interest rates where optimal stopping can occur in any regime, the possibly zero interest rates may result in “continuation regimes”, within which optimal stopping can never occur, that is, within which stopping is never optimal. We develop a unified, fixed point approach to determining all continuation regimes. An application of this regime classification result to the valuation of asset loans is also provided.

主讲人简介：

蔡宁，香港科技大学工业工程及决策分析学系教授，担任该系金融工程及金融科技实验室的Director和香港科技大学金融科技硕士项目（由工学院，理学院和商学院联合主办）的首任Academic Director。主要研究方向包括金融工程，金融科技，数据科学，应用概率以及金融和经济中的随机建模。现在担任Operations Research, Operations Research Letters, Digital Finance 和 IMA Journal of Management Mathematics 的 associate editor 以及 Stochastic Models 和 Probability in the Engineering and Informational Sciences 的 editorial board member.