Finance Salon [5] “State Dependent Hedging”

Release date:2023/02/21
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To further help the teachers and students of the Faculty of Finance, City University of Macau, to explore research problems and share research experiences, Professor Michael T. Chng from the International Business School Suzhou at Xian-Jiaotong Liverpool University was invited to the first Finance Salon of this semester to share the cutting-edge research results of financial derivatives.


Professor Chng shared the research on hedging. He first pointed out the debate between static hedging and dynamic hedging. To be specific, there is no consensus on static hedging and dynamic hedging in the academic circle at present. The papers on hedging rate estimation are carried out in three dimensions (i.e., no. of assets involved, selection of econometric models, and in vs out of sample testing), respectively. In view of the increase in model selectivity, this uncertainty relationship becomes more and more obvious. On this basis, the contribution of Professor Chng's work is to use the SDH framework to unify static and dynamic hedging, and carry out a deeper study and extension of this debate.


The Finance Salon was conducted online and offline simultaneously. Under a warm atmosphere, participants spoke freely, and teachers and students of the Faculty shared and communicated with Professor Chng on the research in a more in-depth way. Dr. Bo Yu put forward two specific suggestions for Professor Chng's working paper. Lastly, Professor Chng pointed out the direction of how to conduct cutting-edge research for PhD students.


The Finance Salon of the Faculty of Finance is a useful attempt to investigate the needs of teachers and students, and help them actively explore the academic direction and gather wisdom. Finance Salons not only provide targeted guidance for graduate students, but also deepen understanding and communication between teachers and students, laying a good foundation for further expanding resources and sharing information. The Faculty will continue to explore the needs of teachers and students, and relevant work will be carried out in an orderly manner. The Finance Salon will continue to be held, and will further invite scholars inside and outside the university to share more widely in future activities, so as to build this Finance Salon into a brand activity of the Faculty.