Application of Statistics and Econometrics in Options and Futures Research
- 2002-06-10 (Mon.), 10:30 AM
- Recreation Hall, 2F, Institute of Statistical Science
- Prof. Cheng-Few Lee
- Institute of Finance, National Chiao Tung University
Abstract
A. Introduction B. Background needed to do Options and Futures Research 1. Finance 2. Statistics 3. Mathematics 4. Computer Programming Techniques 5. Operation Research C. Two Research Papers as Examples 1. The Constant Elasticity of Variance Models: New Evidence from S&P 500 Index Options. 2. Futures Hedge Ratios: A Review. D. Summary and Concluding Remarks 1. Taiwan's Financial Engineering Research Needs to Be Upgraded. 2. Center for Advanced Financial Research needs to be established. 3. Brief Discussion on the Review Process of Review of Quantitative Finance and Accounting
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