金融工程研究中心学术报告：Pricing commodity derivatives in a regime-switching economy with financialization

In this paper, we propose a novel FRS model for the pricing of commodity derivatives, which incorporates a financialization discount factor and a regime-switching mechanism to assess the effects of commodity financialization and macroeconomic changes, respectively. Mathematically, in additional to many correlated stochastic factors, this newly proposed model also has a hidden Markov chain, making pricing a challenging task both numerically and analytically. Closed-form analytical solutions for the prices of commodity derivatives are derived, facilitating rapid model calibration with real-market data, despite the inherent mathematical difficulties. Numerical results demonstrate the effectiveness of the current solutions and quantify the impact of commodity financialization and changing economic conditions on the prices of commodity derivatives. A preliminary empirical study finally confirms the practical applicability of this model to the commodity futures market. 陈文婷，女，博士研究生，金融系教授。陈文婷博士本科硕士分别毕业于东南大学与复旦大学，博士就读于世界排名前200位的University of Wollongong并获得全额奖学金资助。