Title: An optimalarbitrage strategy in futures

Speaker: Prof Min DAI, National University of Singapore

Date: 2018/06/11, Monday, 4:00-5:00 pm

Venue: 览秀楼205

Abstract:

Based on the pioneering work of Brennan andSchwartz (1990), we develop an optimal arbitrage model  with futures described by a system ofvariational inequality equations. The model yields the optimal threshold valuesof the arbitrage basis at which an arbitrageur should optimally close anexisting position or open a new arbitrage position.

报告人简介:

Dai Min教授现任新加坡国立大学数量金融中心主任、风险管理研究所副所长。在金融衍生产品定价与对冲、动态投资策略、缺乏流动性的投资组合设计等领域做了很多深入的工作。文章发表在Journal of Economic Theory，Management Science，Mathematical Finance，Review of FinancialStudies等国际一流期刊。目前担任SIAM Journal on Financial Mathematics，Journal ofEconomic Dynamics & Control等期刊编委。