→中心概况-研究团队

李海涛 教授
现任职务
University of Michigan, Sparks Whirlpool Corporation Professor
上海交通大学安泰经济与管理学院特聘教授;
教育背景
1987-1991中国科技大学;
1995年获耶鲁大学管理学院哲学硕士学位;
1998年获耶鲁大学管理学院金融学博士学位。
工作经历
2011-至今 密西根大学 Sparks Whirlpool Corporation Professor;
2011-至今 长江商学院金融学访问教授;
2011-至今 上海交通大学安泰经济与管理学院特聘教授;
2009-至今 密西根大学Ross商学院金融学正教授;
2008-2009 密西根大学Ross商学院金融学副教授;
2005-2008 密西根大学Ross商学院金融学助理教授;
1997-2005 康奈尔大学Johnson管理学院金融学助理教授
荣誉称号
2007-2008 密西根大学Sanford Robertson Professorship;
2006-2007密西根大学NTT研究奖
2006 密西根大学博士生优秀教学奖;
2004 Q-Group研究奖;
1997 Eastern Finance Association最佳博士论文奖;
1996 Western Finance Association 博士论文Trefftz奖;
1991-1993 耶鲁大学Sterling Prize奖学金;
1991-1996 耶鲁大学奖学金。
研究方向
理论与实证资产定价,连续时间金融,期限结构,信用风险,期权定价,金融计量,对冲基金
科研项目
暂无
研究成果
著作:
暂无.
已发表(录用)论文:
1. Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M.Wells and L. Yu), Mathematical Finance forthcoming.
2. Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R.Zhao and X. Zhang), Journal of Financial and Quantitative Analysis forthcoming.
3. Short Rate Dynamics and Regime Shifts (with Y. Xu), International Review of Finance forthcoming.
4. Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance(with Y. Xu and X. Zhang), Journal of Financial Economics forthcoming.
5. Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao), Review of Financial Studies forthcoming.
6. Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu), Journal of Financial Economics forthcoming.
7. Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y.He, J. Wang, and C. Wu), Journal of Finance forthcoming.
8. 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 Econometrics forthcoming.
9. A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L.Yu), Review of Financial Studies 21, 2345-2378, 2008.
10. 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 Econometrics 141, 736-776, 2007.
11. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture Smile?(with R. Jarrow and F. Zhao), Journal of Finance 62, 345-382, 2007.
12. Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong), Journal of Econometrics 135, 255-284, 2006.
13. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives(with F. Zhao), Journal of Finance 61, 341-378, 2006.
14. 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 Markets 25, 717-752, 2005.
15. Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong), Review of Financial Studies 18,37-84, 2005.
16. Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao), Journal of Business and Economic Statistics 22, 457-473, 2004.
17. Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses(with W. Bailey, C. Mao, and R. Zhong), Journal of Finance 58, 2489-2516, 2003.
18. Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu), Journal of Econometrics 114, 107-139, 2003.
19. Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao), Journal of Banking and Finance 27, 1511-1538, 2003.
20. Survival Bias and the Equity Premium Puzzle (with Y. Xu), Journal of Finance 57,1981-1996, 2002.
21. Pricing of Swaps with Default Risk, Review of Derivatives Research 2, 231-250,1998.
工作论文:
1. Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach (with W. Bailey and X. Zhang).
2. Estimating Liquidity Premium of Corporate Bonds Using the Spread
获奖情况
2007-2008 密西根大学Sanford Robertson Professorship;
2006-2007密西根大学NTT研究奖
2004 Q-Group研究奖;
1997 Eastern Finance Association最佳博士论文奖;
1996 Western Finance Association 博士论文Trefftz奖;
1991-1993 耶鲁大学Sterling Prize奖学金;
1991-1996 耶鲁大学奖学金。
开设课程
PhD: Continuous-Time Finance, MBA: Derivatives, Investments, Fixed-Income Markets, Hedge Funds
教学奖励
 
学术兼职
2009-至今 Management Science (the Department of Finance), 副主编;
2009-至今 International Review of Finance, 副主编;
如下杂志的匿名审稿人:
Journal of Finance, Review of Financial Studies, Econometrica, Quarterly Journal of Economics, Journal of Econometrics, Annals of Statistics, Journal of Financial and Quantitative Analysis, Journal of Business and Economic Statistics, Mathematical Finance, Management Science, Journal of Financial Intermediation, Journal of Financial Econometrics, Journal of Empirical Finance, Journal of Banking and Finance, Review of Derivatives Research, Finance Research Letters, and Pacific Basin Finance Journal.
社会兼职
American Finance Association, Western Finance Association成员
Email
通信地址
Stephen M. Ross School of Business
University of Michigan
701 Tappan St.
Ann Arbor, MI 48109-1234
邮编
 
电话
Phone: (734) 615-5475
Fax: (734) 936-0282
合作
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