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金融工程研究中心学术报告： Multiverse Equivalent Expectation Measures for Computing Moments of Contingent Claim Returns
- 来源：
- 学校官网
- 收录时间：
- 2025-10-18 15:46:41
- 时间：
- 2025-08-22 10:30:00
- 地点：
- 览秀楼105学术报告厅
- 报告人：
- Prof. Sanjay K. Nawalkha, University of Massachusetts Amherst
- 学校：
- -/-
- 关键词：
- MEEMs, contingent claims, higher-order moments, asset pricing, derivatives, fixed income securities, risk management
- 简介：
- This paper introduces Multiverse Equivalent Expectation Measures (MEEMs) for deriving analytical solutions to the variance, covariance, and higher-order moments and co-moments of contingent claim returns over a finite horizon. We show that the solutions for the M^th-order moment or co-moments require constructing a MEEM within an expanded probability product space of M identical marginal probability spaces, representing M-1 parallel universes in addition to the original universe. The state variables evolve identically across all universes up to the horizon date but diverge independently thereafter. Using different classes of MEEMs, we offer a comprehensive analytical framework for deriving analytical solutions of higher-order moments and co-moments of returns on financial derivatives and fixed income securities. This unified framework significantly broadens the application of econometric methods to asset pricing and portfolio management for contingent claims.
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报告介绍：
This paper introduces Multiverse Equivalent Expectation Measures (MEEMs) for deriving analytical solutions to the variance, covariance, and higher-order moments and co-moments of contingent claim returns over a finite horizon. We show that the solutions for the M^th-order moment or co-moments require constructing a MEEM within an expanded probability product space of M identical marginal probability spaces, representing M-1 parallel universes in addition to the original universe. The state variables evolve identically across all universes up to the horizon date but diverge independently thereafter. Using different classes of MEEMs, we offer a comprehensive analytical framework for deriving analytical solutions of higher-order moments and co-moments of returns on financial derivatives and fixed income securities. This unified framework significantly broadens the application of econometric methods to asset pricing and portfolio management for contingent claims.
报告人介绍：
Sanjay K. Nawalkha is a Professor of Finance at the Isenberg School of Management, University of Massachusetts Amherst. He holds a Ph.D. in Finance and an MBA from the University of Massachusetts Amherst, and a B.Sc. in Mathematics from St. Xavier’s College, Mumbai. He served as Head of the Finance Department at Isenberg from 2011 to 2018. His research spans term structure modeling, asset pricing, derivatives, and risk management. Amongst his significant contributions are a theoretical critique of the Arbitrage Pricing Theory of Ross (1976), and a generalization of the risk-neutral valuation framework of Black and Scholes (1973), Merton (1973), and Harrison and Kreps (1979) to enable risk and return analysis of financial derivatives and fixed income securities through the invention of Equivalent Expectation Measures (EEMs) and Multiverse Equivalent Expectation Measures (MEEMs). He is the author of four books and monographs on interest rate risk and term structure modeling, widely used by academics and practitioners in the field. Professor Nawalkha has also published extensively on interest rate risk, credit risk, and fixed income valuation. His work continues to influence both theoretical developments and practical applications in asset pricing and risk management.
