Kuo-Ping Chang（张国平）教授学术报告

<BR>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<BR>题 &nbsp;目：Some Misconceptions in Derivative Pricing and Corporate Governance<BR>报告人：Prof. &nbsp;Kuo-Ping Chang (张国平教授)<BR>时 &nbsp;间：2013年10月16日下午4点<BR>地 &nbsp;点：西交大财经校区教学楼八楼国际交流厅<BR>Research Highlights:<BR>The financ literature argues that when pricing options, the value of an option does not depend on the probability of the underlying asset (stock) rising or falling. &nbsp;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. &nbsp;I think these arguments are incorrect. &nbsp;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. &nbsp;Using the relationship between the relative price ratio between the two states: &nbsp; and the probability of the up move, I also derive discrete-time versions of the Greeks. &nbsp;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.<BR>&nbsp;<BR>报告人简介:<BR>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。<BR>&nbsp;<BR>&nbsp;<BR>&nbsp;<BR>&nbsp;<BR>科研办<BR>2013年10月14日<BR>&nbsp;<BR>&nbsp;<BR>&nbsp;<BR>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;