近期，我院罗丹老师与合作者的论文 A Bayesian analysis of time-varying jump risk in S&P 500 returns and options（标准普尔500指数收益和期权中时变跳跃风险的贝叶斯分析）发表在金融学科顶级期刊 Journal of Financial Markets（简称“JFM”）上。在线资源请点击“阅读原文”获取链接。
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Andrew Carverhill, Dan Luo
Journal of Financial Markets, publishied.
Journal of Financial Markets
《Journal of Financial Markets (JFM)》为金融市场领域权威期刊，主题包括资产定价、投资、资本与证券市场等。该期刊近五年的影响因子为3.0。
罗丹
罗丹
上海财经大学金融学院常任教授、博士生导师。主要从事资产管理和定价、财务管理、风险管理等领域的研究。成果被国际一流期刊 Mathematics of Operations Research (x1) 和 Management Science (x2) 录用。研究工作曾在包括美国金融管理协会（FMA）年会、中国金融学年会等国际会议获得最佳论文奖，被欧洲金融协会（EFA）年会收录。现主持国家自然科学基金面上项目。
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Andrew Carverhill, Dan Luo
We examine time-varying jump risk for modeling stock price dynamics and cross-sectional option prices. We explore jump-diffusion specifications with two independently evolving processes for stochastic volatility and jump intensity, respectively. We explicitly impose time-series consistency in model estimation using a Markov Chain Monte Carlo (MCMC) method. We find that both the jump size and standard deviation of jump size premia are more prominent under time-varying jump risk. Simultaneous jumps in returns and volatility help reconcile the time series of returns, volatility, and jump intensities. Finally, independent time-varying jump intensities improve the cross-sectional fit of option prices, especially at longer maturities.
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