喻园管理论坛2025年第6期(总第1047期)

演讲主题：Bundled Risks, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models

主讲人：胡缘 天普大学博士

主持人：薛明皋 计算金融系教授

活动时间：2025年3月6日（周四） 10:30-12:00

活动地点：管理学院105教室

主讲人简介：

Yuan Hu is a Ph.D. student in Finance at Temple University. He expects to finish his Ph.D. in May 2025. His research focuses on asset pricing, derivatives, and AI. Specifically, he investigates: (i) the connection between macroeconomic fundamentals and asset prices, (ii) the macroeconomic implications of derivatives trading and empirically consistent option pricing models, and (iii) the application of machine learning and AI technologies in finance.

活动简介：

We propose a model of options on futures on the dollar index, which are traded vehicles to protect against concerted U.S. dollar appreciations or depreciations. Estimating the model, we draw quantitative assessments and examine consistency with our empirical findings. First, average excess returns for out-of-the money (OTM) call options on dollar index futures are negative and statistically significant, whereas those for OTM put options are insignificant. Second, average excess returns for call options become more negative at higher strikes. The estimated model adheres to the data on dollar index option prices, volatilities, and supports negative risk premiums for OTM call options.