謝沛霖，男，博士，廈門大學王亞南經濟研究院副教授。
基本介紹
- 中文名：謝沛霖
- 畢業院校：美國康奈爾大學
- 學位/學歷：博士
- 職業：教師
- 專業方向：Financial Economics, Financial Econometrics
- 任職院校：廈門大學王亞南經濟研究院
- 職稱：副教授
研究方向,個人經歷,學術成果,論文,項目,
研究方向
FIELDS OF CONCENTRATION
Primary Fields: Financial Economics, Financial Econometrics
Secondary Fields: Market Microstructure, Behavior Finance
個人經歷
EDUCATION
Ph.D., Economics, Cornell University, 2013
DISSERTATION TITLE: “Essays on Volatility”
Committee Chairmen: Professor Robert Jarrow (co-chair) and Professor Yongmiao Hong (co-chair)
M.S., Finance, University of Maryland, College Park (January, 2003)
B.S., Management Science, National Chiao Tung University, TW (May, 1999 with Phi-Tau-Phi Scholastic Honor)
學術成果
論文
1. “Volatility Uncertainty, Time Decay, and Options Bid-Ask Spreads in an Incomplete Market” with Robert Jarrow. (Management Science, forthcoming, 2019 ) [Australian Securities Exchange Prize, for the best paper on derivatives/quantitative finance presented at Australasian Finance & Banking Conference, 2012]
2. "Crash Risk and Risk Neutral Densities", Journal of Empirical Finance, 2018 (with Ren-Raw Chen and Jeffrey Huang)
3. "It Is Time to Shift Log-normal", Journal of Derivatives, 2018(with Ren-Raw Chen and Jeffrey Huang)
4. "Jump Risk and Option Liquidity in an Incomplete Market", Journal of Futures Market, 2018(with YaJun Wang and QinQin Zhang)
5. "A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR", Journal of Fixed Income, 2019(with Ren-Raw Chen, Jeffrey Huang and Joe Huang)
6. "知情交易、信息不確定性與股票風險溢價", 作者: 陳國進、謝沛霖、 張潤澤 、趙向琴 (接受2019, 管理科學學報) [第十四屆金融系統工程與風險管理國際年會(FSERM'2016)金融風險管理優秀論文]
7. "已實現跳躍風險與中國股市橫截面收益關係", 陳國進、劉曉群、謝沛霖、趙向琴, 管理科學學報, 2016 [第十二屆金融系統工程與風險管理國際年會(FSERM'2014)金融風險管理優秀論文]
項目
1. "Contagion Behavior of High-frequency Trading in Future and Option Markets" with Yuqiang Guo and Hongbiao Zhao
2. "我國銀行業的流動性折價", 作者: 謝沛霖、趙宏飆、王音童、李志文
