主讲人：嵇少林教授 山东大学

时  间：2014年12月2日（周二）    15：00-16：00

地  点：必赢76net线路官网北二教学楼516教室

摘  要：In this presentation, we first introduce the history of backward stochastic differential equation theory which is developed by Pardoux and Peng. Then, the extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to intervals. In order to obtain sharper predictions, we apply the model of utility to a representative agent endowment economy and study equilibrium asset returns. A version of the consumption capital asset pricing model is derived, and the effects of ambiguous volatility are described.