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朱英姿,1997年獲美國紐約大學博士,2002年獲紐約大學Stern商學院工商管理碩士,2003年加入清華大學經(jīng)濟管理學院,任金融學副教授至今。
加入清華之前,在美國花旗集團(紐約)工作六年,歷任風險管理和定量研究主管。
曾在《Journal of Financial Economics》,《Journal of Financial and Quantitative Analysis》,《Journal of Futures Markets》, 《Financial Analysts Journal》,《International Journal of Theoretical and Applied Finance》,《 Applied Mathematical Finance》等國際期刊,以及《金融研究》,《投資研究》等中文核心期刊發(fā)表十余篇論文,著有《創(chuàng)建競爭優(yōu)勢》(經(jīng)濟管理出版社),并任《投資研究》編委。
在清華大學經(jīng)濟管理學院為本科生、研究生、MBA和EDP講授《投資學》,《固定收益市場與工具》,《金融工程》、《全球資產(chǎn)配置》等課程,多次獲得清華大學經(jīng)濟管理學院教學成果獎;
主要領域包括金融機構(gòu)風險管理與競爭優(yōu)勢、金融發(fā)展及監(jiān)管改革、金融創(chuàng)新、金融危機、資產(chǎn)配置及投資策略等。
發(fā)表成果:
國際期刊論文包括:
1. Zhu Y.Z. (with Zhou G.F.), “Volatility Trading: What is the Role of the Long-Run Volatility Component?”, Journal of Financial and Quantitative Analysis, accepted, 2010.
2. Zhu Y.Z, (with Zhou G.F.), "Is the Recent Financial Crisis Really a “Once-in-a-Century” Event?", Financial Analysts Journal, 66(1), 24-27(2010).
3. Zhu Y.Z., (with Lu Z.J.), “Volatility Component: the Term Structure of VIX Futures" (with Zhongjin Lu), Journal of Futures Markets, 30(3), 230-256(2010).
4. Zhu Y.Z, (with Zhou G.F.), "Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages", Journal of Financial Economics , No.92, Vol.3, pp. 519-544, 2009.
5. Zhu Y.Z., (with Zhang J.E.), "Variance Term Structure and VIX Futures Pricing", International Journal of Theoretical and Applied Finance , , Vol.10, pp. 111-127, 2007.
6. Zhu Y.Z., (with Zhang J.E.), "VIX Futures", Journal of Futures Markets , No.2, Vol.26, pp. 521-531, 2006.
7. Zhu Y. Z. , (with Avellaneda M.), A risk-neutral volatility model, International Journal of Theoretical and Applied Finance, Vol 1, No. 2, 289-310 (1998).
8. Zhu Y. Z. , (with Avellaneda M.), An E-ARCH model for the term structure of implied volatility of FX options, Applied Mathematical Finance, 4, 81-100 (1997).
國內(nèi)期刊論文包括:
1、朱英姿 (合作者王茵田),中國股票市場風險溢價研究,《金融研究》,已接收,2011。
2、朱英姿 (合作者楊斌、劉小波),房地產(chǎn)價格指數(shù)周期的宏觀分析,《投資研究》,已接收,2011。
專著包括:
1、朱英姿 (合作者盧強),創(chuàng)建競爭優(yōu)勢,經(jīng)濟管理出版社(2005)
會議論文包括:
1. 房地產(chǎn)價格指數(shù)周期的宏觀分析,(與楊斌,劉小波),“中國政府債務管理與資產(chǎn)價格風險”國際研討會2011年年會,北京,2011.
2. A Long-run Risks Model with Long-and Short-run Volatilities:Explaining Predictability and Volatility Risk Premium, (with Guofu Zhou), European Finance Association(歐洲金融年會) 2010,德國.
3. A Long-run Risks Model with Long-and Short-run Volatilities:Explaining Predictability and Volatility Risk Premium, (with Guofu Zhou),CICF (中國國際金融年會),北京,2010.
4. A Long-run Risks Model with Long-and Short-run Volatilities:Explaining Predictability and Volatility Risk Premium, (with Guofu Zhou), CKGSB 2009 summmer workshop , 2009.
5. Volatility Trading and the Elasticity of Intertemporal Substitution, (with Guofu Zhou), CICF (中國國際金融年會),大連,2009
6. Technical Analysis and Theory of Finance, (with Guofu Zhou) European Finance Association Annual Conference, 歐洲金融年會,2007.
7. Dynamic Volatility Strategy with Recursive Utility, China International Conference in Finance (中國國際金融年會)西安, 2006.