题  目：Some Misconceptions in Derivative Pricing and Corporate Governance
报告人：Prof.  Kuo-Ping Chang (张国平教授)
时  间：2013年10月16日下午4点
地  点：西交大财经校区教学楼八楼国际交流厅
Research Highlights:
The finance literature argues that when pricing options, the value of an option does not depend on the probability of the unerlying asset (stock) rising or falling.  The corporate finance literature argues that within a company, bond is senior to stock (or bond has first claim over stock), and stock is riskier than bond.  I think these arguments are incorrect.  In this paper, I use the Arbitrage Theorem to show that first, the value of an option depends on the probability of the stock rising or falling.  Using the relationship between the relative price ratio between the two states:   and the probability of the up move, I also derive discrete-time versions of the Greeks.  Second, with a two-step contract, it can be shown that there is no first claim or seniority between bond and stock, but there is first claim among fixed-income assets (e.g., labor and bond), and labor is senior to bond.
 
报告人简介:
张国平教授为美国宾夕法尼亚大学 (University of Pennsylvania) 博士，已在著名的国际学术期刊发表十余篇论文，出版了三本财务管理与微观经济学的专著，拥有十余年公司企业经验，曾任台湾清华大学计量财务金融学系系主任、经济系系主任、清大总务长。目前担任西安交大、北京大学、日本筑波大学 (Tsukuba University)、美国Rutgers, The State University of New Jersey 客座教授，教授PhD, EMBA及MBA公司理财、金融工程、高级微观经济学等课程。
 
 
 
 
科研办
2013年10月14日