德国基尔大学.doc

PAGE 1 经济与管理学院-智能决策与风险分析研究所与国际交流处联合举办 Discounting and Funding Value Adjustments For Financial Derivatives 金融衍生品的贴现与资金估值调整 报告时间：9月29日下午2： 报告地点：将军路校区东区1号楼112教室（D1112) 报告人：张虎（德国基尔大学计算机科学博士 加拿大皇家银行模型风险管理部门高级经理 HYPERLINK mailto:Zhangzhanghu@mcmaster.caZhangzhanghu@mcmaster.ca） ABSTRACT The seminal work on equity option pricing by Black and Scholes earned the 1997 Nobel Prize in Economics, while the key idea of their model is to construct a hedging portfolio of the underlying asset and a borrowing position. The replication and self-financing features of this hedging portfolio, together with the as