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李海濤

（長江商學院學位項目副院長）

鎖定
李海濤，長江商學院金融學教授、傑出院長講席教授和學位（MBA）項目副院長，擁有耶魯大學金融學博士學位。
中文名
李海濤
國    籍
中國

目錄

  1. 1 人物履歷
  2. 2 研究領域
  3. 3 學術成就
  4. 4 學術成果

李海濤人物履歷

曾是密歇根大學Stephen M. Ross School of Business ,Jack D.Sparks Whirlpool Corporation 金融學講席教授， 並曾在康奈爾大學約漢遜管理學院任教。 [1] 
現任長江商學院學位項目副院長。 [2] 

李海濤研究領域

理論與資產定價，信用風險，期權定價，金融經濟學，對沖基金。

李海濤學術成就

  • Sanford R. Robertson Professorship, University of Michigan, 2007-2008.
  • NTT Research Fellowship, University of Michigan, 2006-2007.
  • Nomination for Ph.D. Teaching Excellence Award, University of Michigan, 2006.
  • Q-Group Research Grant, 2004.
  • Best Student Paper Award, Eastern Finance Association, 1997.
  • Trefftz Award for the Best Student Paper, Western Finance Association, 1996.
  • Sterling Prize Fellowship, Yale University, 1991-1993.
  • Yale University Fellowships, 1991-1996.

李海濤學術成果

  • Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M. Wells and L. Yu),Mathematical Financeforthcoming.
  • Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R. Zhao and X. Zhang),Journal of Financial and Quantitative Analysisforthcoming.
  • Short Rate Dynamics and Regime Shifts (with Y. Xu),International Review of Financeforthcoming.
  • Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Y. Xu and X. Zhang),Journal of Financial Economicsforthcoming.
  • Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao),Review of Financial Studiesforthcoming.
  • Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu),Journal of Financial Economicsforthcoming.
  • Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y. He, J. Wang, and C. Wu),Journal of Financeforthcoming.
  • A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates (with A. Egorov and D. Ng)Journal of Econometricsforthcoming.
  • A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L. Yu),Review of Financial Studies21, 2345-2378, 2008.
  • Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates (with Y. Hong and F. Zhao),Journal of Econometrics141, 736-776, 2007.
  • Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture Smile? (with R. Jarrow and F. Zhao),Journal of Finance62, 345-382, 2007.
  • Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong),Journal of Econometrics135, 255-284, 2006.
  • Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (with F. Zhao),Journal of Finance61, 341-378, 2006.
  • Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options (with C. Cao and F. Yu),Journal of Futures Markets25, 717-752, 2005.
  • Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong),Review of Financial Studies18, 37-84, 2005.
  • Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao),Journal of Business and Economic Statistics22, 457-473, 2004.
  • Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses (with W. Bailey, C. Mao, and R. Zhong),Journal of Finance58, 2489-2516, 2003.
  • Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu),Journal of Econometrics114, 107-139, 2003.
  • Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao),Journal of Banking and Finance27, 1511-1538, 2003.
  • Survival Bias and the Equity Premium Puzzle (with Y. Xu),Journal of Finance57, 1981-1996, 2002.
  • Pricing of Swaps with Default Risk,Review of Derivatives Research2, 231-250, 1998.
Working Papers
  • Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach (with W. Bailey and X. Zhang).
  • Estimating Liquidity Premium of Corporate Bonds Using the Spread Information in On- and Off-the-Run Treasury Bonds (with J. Shi and C. Wu). [1] 
參考資料