谢沛霖

副教授

美国康奈尔大学经济学博士


电话:

电子邮件:ph77@cornell.edu

办公室:经济楼D316

个人主页:http://ph7795.wix.com/peilinhsieh

个人简介 研究成果 研究项目

FIELDS OF CONCENTRATION
Primary Fields: Financial Economics, Financial Econometrics
Secondary Fields: Market Microstructure, Behavior Finance

EDUCATION
Ph.D., Economics, Cornell University, 2013
DISSERTATION TITLE: “Essays on Volatility”
Committee Chairmen: Professor Robert Jarrow (co-chair) and Professor Yongmiao Hong (co-chair)

M.S., Finance, University of Maryland, College Park (January, 2003)
B.S., Management Science, National Chiao Tung University, TW (May, 1999 with Phi-Tau-Phi Scholastic Honor)

Publication 

1. “Volatility Uncertainty, Time Decay, and Options Bid-Ask Spreads in an Incomplete Market” with Robert Jarrow. (Management Science, forthcoming, 2019 ) [Australian Securities Exchange Prize, for the best paper on derivatives/quantitative finance presented  at Australasian Finance & Banking Conference, 2012]

2. "Crash Risk and Risk Neutral Densities", Journal of Empirical Finance, 2018, 47, 162-189.  (with Ren-Raw Chen and Jeffrey Huang)

3. "It Is Time to Shift Log-normal", Journal of Derivatives, 2018, 25(3), 89-103. (with Ren-Raw Chen and Jeffrey Huang)

4. "Jump Risk and Option Liquidity in an Incomplete Market", Journal of Futures Market, 2018, 38(11), 1334-1369. (with YaJun Wang and QinQin Zhang)

5. "A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR", Journal of Fixed Income, 2019, 28(3), 68-87. (with Ren-Raw Chen, Jeffrey Huang and Joe Huang)

6. "知情交易、信息不确定性与股票风险溢价", 作者: 陈国进、谢沛霖、 张润泽 、赵向琴 (接受2019, 管理科學學報) [第十四届金融系统工程与风险管理国际年会(FSERM'2016)金融风险管理优秀论文]

7. "已实现跳跃风险与中国股市横截面收益关系", 陈国进、刘晓群、谢沛霖、赵向琴, 管理科學學報, 2016, 19(6):98-113. [第十二届金融系统工程与风险管理国际年会(FSERM'2014)金融风险管理优秀论文]

 1. "Contagion Behavior of High-frequency Trading in Future and Option Markets" with Yuqiang Guo and Hongbiao Zhao

2. "我国银行业的流动性折价", 作者: 谢沛霖、赵宏飙、王音童、李志文