嘉宾介绍
胡建强，复旦大学特聘教授、管理学院弘毅讲席教授，博士生导师。复旦大学数学系本科毕业，美国哈佛大学(Harvard University)应用数学博士。曾任美国波士顿大学(Boston University)终身副教授，现任复旦大学特聘教授、弘毅讲席教授、博士导师。担任过上海运筹学会副理事长，中国运筹学会常务理事，中国运筹学会金融工程及金融风险管理分会会长，多本管理科学领域国际期刊的编委，以及数家国内外公司咨询顾问。主要科研方向是运筹管理学中各种随机系统的分析、优化和控制，研究内容包括仿真模拟、金融市场及衍生产物、健康医疗、供应链管理等，共发表100多篇专业论文和一部专著。1998年和2019年两次获得美国INFORMS Simulation Society 最佳论文奖，2020年获中国运筹学会运筹研究奖。
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讲座介绍
Stock index futures in Chinese market have consistently diverged from their theoretical values. In this work, we try to provide some explanations by proposing an equilibrium model. Although the model itself does not provide analytical solutions, it enables us to conduct extensive numerical studies and?compare them with our empirical results on two major Chinese market indices, CSI300 and SSE50. Our results show that the divergence of stock index futures prices from their theoretical values may be due to various trading and regulatory constraints, such as position limits and margin requirements, which play significant roles in Chinese market.
