《一般均衡期權(quán)定價方法(理論與實證研究)》主要介紹基于扇形偏好的一般均衡定價方法，闡述扇形偏好對期權(quán)定價的主要影響。與傳統(tǒng)的預(yù)期效用理論相區(qū)別，扇形偏好認為人們對于極端事件（如金融危機導(dǎo)致的股票暴跌）的風(fēng)險厭惡程度要大于普通的市場波動風(fēng)險。從而該理論可以更加準確地描述市場中投資者的行為，并且成功解釋期權(quán)市場的“波動率微笑”現(xiàn)象。
陳堅，畢業(yè)于英國埃塞克斯大學(xué)商學(xué)院，獲得金融學(xué)博士學(xué)位。畢業(yè)后曾在北京大公國際資信評估有限公司工作，擔(dān)任金融分析師，主要從事債券評級與結(jié)構(gòu)融資產(chǎn)品風(fēng)險分析，曾負責(zé)不良資產(chǎn)回收率建模等項目。2009年9月加入廈門大學(xué)經(jīng)濟學(xué)院金融系，任助理教授，主要研究領(lǐng)域包括：資產(chǎn)定價的理論與實證分析、金融衍生產(chǎn)品定價、信用風(fēng)險研究等。目前，作者已在國內(nèi)外頂級學(xué)術(shù)期刊發(fā)表論文若干篇，主持國家級和省部級課題各一項，參與國家級和省部級科研項目若干項。并且，曾多次在國內(nèi)外學(xué)術(shù)研討會上報告論文。2012年，其論文獲得第十屆系統(tǒng)工程與風(fēng)險管理國際年會的最佳論文獎。
Introduction
1.1 Motivation for the Book
1.2 Overview and Structure for the Book
2 General Equilibrium Option Pricing Models
2.1 The Economy and Utility Functions
2.2 Market Risk Premium
2.3 Option Pricing Model
3 Simulation Comparison
3.1 Introduction
3.2 Methodology
3.3 Simulations
3.3.1 Risk-neutral and Physical Jumps
3.3.2 Recursive and Expected Utility Functions .
3.3.3 Lognormal and Uniform Jump Size Distribu
tions Introduction
1.1 Motivation for the Book
1.2 Overview and Structure for the Book
2 General Equilibrium Option Pricing Models
2.1 The Economy and Utility Functions
2.2 Market Risk Premium
2.3 Option Pricing Model
3 Simulation Comparison
3.1 Introduction
3.2 Methodology
3.3 Simulations
3.3.1 Risk-neutral and Physical Jumps
3.3.2 Recursive and Expected Utility Functions .
3.3.3 Lognormal and Uniform Jump Size Distribu
tions
3.4 Conclusions
4 Empirical Comparison
4.1 Introduction
4.2 Option Pricing Models
4.3 Data and Methodology
4.4 Empirical Results
4.4.1 Parameter Estimates and In-sample Fit
4.4.2 Out-of-sample Performance
4.4.3 Jump Risk Premium
4.5 Conclusions
5 Fanning Out Preference and Option Pricing
5.1 Introduction
5.2 Mcdel Setup
5.3 Numerical Studies
5.4 Empirical Analysis
5.4.1 Data and Methodology
5.4.2 Estimation
5.4.3 Implied Risk Premiums
5.4.4 Model Fit and Volatility Smirks
5.5 Concluding Remarks
6 Jump Size Distributions and Option Pricing
6.1 Introduction
6.2 Model Setup
6.3 Empirical Investigation
6.3.1 Data and Methodology
6.3.2 Empirical Results
6.4 Concluding Remarks
7 Risk Aversion Estimated from Volatility Spread
7.1 Introduction
7.2 Methodology
7.2.1 Realized Volatility
7.2.2 Model-free Implied Volatility
7.2.3 Volatility Spread
7.3 Data and Empirical Results
7.3.1 Risk Aversion Estimate
7.4 Conclusions
8 Predictability of VRP: Hongkong Evidence
8.1 Introduction
8.2 Model
8.2.1 Realized Volatility
8.2.2 Model-free Implied Volatility
8.2.3 Variance Risk Premium
8.2.4 Predictability of Stock Return
8.3 Data and Empirical Results
8.3.1 Data
8.3.2 Summary Statistics of Volatility Measures
8.3.3 Variance Risk Premium
8.3.4 Predictability of Stock Return
8.3.5 Evidences during the Financial Crisis Period
8.4 Conclusions
9 Predictability of VRP: Other International Evidence
9.1 Introduction
9.2 Empirical Methodology
9.2.1 Variance Risk Premium
9.2.2 In-sample Predictability Regression
9.3 Data and Summary Statistics
9.4 In-sample Predictability Results
9.5 Concluding Remarks
10 Predictability of VRP: A Comparison Study
10.1 Introduction
10.2 Methodology
10.2.1 Construction of Variance Risk Premium
10.2.2 Stock Return Predictability Regression
10.3 Data and Empirical Results
10.3.1 Data and Summary Statistics
10.3.2 Empirical Results from International Markets
10.4 Concluding Remarks
11 Conclusions
ll.1 Summary
11.2 Future Research
Appendix
A. Non-expected Recursive Utility
B. Jump Risk Premium
C. Variance Risk Premium
D. Covariance Risk Premium
E. Observational Non-equivalence
E Risk-neutral MGF
G. Jump Size Distribution
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