马成虎
Chenghu Ma
厦门大学王亚南经济研究院讲座教授
Teaching in 2005-2006
Asset Pricing
Research Methodology in Finance
Introduction to Accounting & Finance
Publications

Ma C. (2005), “Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in the Presence of Levy Jumps”, accepted for publication in Journal of Mathematical Economics.

Ma C. (2005), “Asset Pricing and Observational Equivalence in the Presence of Levy Jumps”. in Changing Models, G. Antonio Rossi, editor, Levrotto & Bella, Torino, 117-149.

Ma C. (2004), “Term Structure of Interest Rates in the Presence of Levy Jumps”, Annals of Economics and Finance 4, No.2, 401-426.

Luo X. and C. Ma (2003), “Agreeing to Disagree Type Results: A Decision-Theoretical Approach”, Journal of Mathematical Economics 39, No.8, 848-861.

Ma C. (2001), “A No-Trade Theorem under Knightian Uncertainty with General Preferences”, Theory and Decision 51, 173-181.

Luo X. and C. Ma (2001), “Stable Equilibrium in Beliefs in Extensive Games of Perfect Information”, Journal of Economic Dynamics & Control 25, 1801-1825.

Ma C. (2000a), “An Existence Theorem of Intertemporal Recursive Utility in the Presence of Levy Jumps”, Journal of Mathematical Economics 34, 509-526.

Ma C. (2000b), “Uncertainty Aversion and Rationality in Games of Perfect Information”, Journal of Economic Dynamics & Control 24, 451-482.

Luo X. and C. Ma (1999), “Recent Advancements in the Theory of Choice under Knightian Uncertainty and Their Applications in Economics”, in Current State of Economic Science, Volume 2, edited by S.B. Dahiya, Spellbound Publications Pvt., Inc., 639-656.

Ma C. (1998a), “A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility”, Mathematical Finance 8, 249-275.

Ma C. (1998b), “Attitudes Toward the Timing of Uncertainty Resolution and Existence of Recursive Utility”, Journal of Economic Dynamics & Control 23, 97-112.

Ma C. (1996), “Corrigendum: Market Equilibrium with Heterogeneous Recursive-Utility-Maximizing Agents”, Economic Theory 7, 567-570.

Ma C. (1993), “Market Equilibrium with Heterogeneous Recursive-Utility-Maximizing Agents”, Economic Theory 3, 243-266.

Ma C. and Hong H. (1986), “A Class of Adaptive Observers with Exponential Rate of Convergence and Its Noise-Resisting Properties”, Control and Decision 4, 39-47 (in Chinese).
Working Papers

Wong W.K. and C Ma (2005), “Preferences Over Meyer’s Location-Scale Family”, University of Essex and SSRN working paper series (http://ssrn.com/abstract=789144) Boyle P. and C.

Ma (2004), “Mean-Preserving-Spread-Risk-Aversion and the CAPM”, University of Essex.

Boyle P. and C. Ma (2004), “MPS-Risk-Aversion and Shadow CAPM: A Dynamic Asset Pricing Model”, University of Essex.

Ma C. (2003), “An Aggregation Theorem in Incomplete Market: A Note”, in progress.

Ma C., N. Sun and Z. Yang (2003),“Market Equilibrium with MPS-Risk-Averse Investors and Price-Dependent Returns”, in progress.

Ma C. (2002), “A Coherent Theory of Choice under Risk and Uncertainty”, University of Essex.

Ma C. (2001), “Preferences, Levy Jumps and Option Pricing”, University of Essex.

Ma C. (2000), “Uncertainty Aversion and A Theory of Incomplete Contract”, University of Essex.

Ma C. (1998), “Valuation of Derivative Securities with Mixed Poisson and Brownian Information and Recursive Utility”, McGill University.

Asea P., C. Ma and M. Ncube (1997), “Pricing Risk when Risk Aversion Matters”, UCLA.

Ma C. and K. Vetzal (1997), “Pricing Options on the Market Portfolio with Discontinuous Returns under Recursive Utility”, University of Waterloo.

Ma C. and V. Aivazian (1993), “Slack and Capital Structure in the Presence of Asymmetric Information”, McGill Working Paper Series 13-93.
Conference Presentations

"Mean-Preserving-Spread-Risk-Aversion and the CAPM", Summer School in Risk Measurement and Risk Management, University of Roma, Roma, Italy, June 9-17, 2005.

"Mean-Preserving-Spread-Risk-Aversion and the CAPM", 12th SFM Conference, Gaohsiung, Taiwan, December 17-18, 2004.

"Discussion on Chi-fu Lo, et al: CEV Barrier Options with Time-Varying Modeling Parameters", 12th SFM Conference, Gaohsiung, Taiwan, December 17-18, 2004.

"Discussion: Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes, by Jing-Zhi Huang and Liuren Wu", 30th Annual Conference, EFA, August 20 - 23, 2003.

"Mean-Preserving-Spread-Risk-Aversion and the CAPM", SAET 2003, Rhodes Island, Greece, June 29 - July 6, 2003.

"A Coherent Theory of Choice under Risk and Uncertainty", RUD 2002, CNRS, Paris, France, June 5-7, 2002.

“Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in the Presence of Levy Jumps”, 10th SFM Conference, Gaohsiung, Taiwan, December 15 - 16, 2001.

“Discussion on ‘An Intertemporal General Equilibrium Model of International Investment Barriers with Heterogeneous Preferences and Incomplete Market’ by Simon Yen and Yuan-Hung Hsu Ku”, 10th SFM Conference, Gaohsiung, Taiwan, December 15 - 16, 2001.

“Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in the Presence of Levy Jumps”, 28th Annual Conference, EFA, Barcelona, Spain, August 22 - 25, 2001.

“Preferences, Levy Jumps and Option Pricing”, Annual Research Conference in Financial Risk, Budapest, Hungary, July 12 - 15, 2001.

“Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in the Presence of Levy Jumps”, F.U.R.-X, Torino, Italy, May 29 - June 2, 2001.

“Discussion on Castagnoli et al: Insurance Premium Consistent with the Market ”, F.U.R.-X, Torino, Italy, May 29 - June 2, 2001.

“Pricing Risk When Risk Aversion Matters”, 1998 INFORMS International Meeting at Tel Aviv, June 28 - July 1, 1998.

“Uncertainty Aversion and Stable Belief System in Extensive Games with Perfect Information”, International Conference in Game Theory, Stony Brook, USA, July 1998.

“Discussion on Mukerjii’s Paper: Ambiguity Aversion and Incompleteness of Contractual Form”, 1996 Summer Meeting on Decision Making under Uncertainty with Non-Additive Beliefs: Economic and Game Theoretic Applications, University of Saarland, Germany, July 1996.

“Pricing Options on the Market Portfolio with Discontinuous Returns under Recursive Utility”, 1996 Summer Meeting of European Finance Association, Vienna.

“Pricing Options on the Market Portfolio with Discontinuous Returns under Recursive Utility”, 1995 Meeting of Northern Finance Association, University of Western Ontario.

“Uncertainty Aversion and Rationality in Games of Perfect Information”, International Conference in Game Theory at Stony Brook, July 1995.

“Uncertainty Aversion and Rationality in Games of Perfect Information”, International Conference in Recent Advancement in Theory of Social Situations, McGill University, July 1995.

“Uncertainty Aversion and Rationality in Games of Perfect Information”, International Conference: Trend in Economic Theory, Greece, May 1995.

“Uncertainty Aversion and Rationality in Games of Perfect Information”, Canadian Economics Association Annual Meeting, Learned Societies of Canada, UQAM, Canada, May 1995.

“Valuation of Derivative Securities with Mixed Poisson-Brownian Information and Recursive Utility”, International Conference on Mathematical Economics and Mathematical Finance, Tunis, Tunisia, June 1994.

“Valuation of Derivative Securities with Mixed Poisson-Brownian Information and Recursive Utility”, Canadian Economics Association Annual Meeting, Learned Societies of Canada, P.E.I., Canada, June 1992.
Prizes, Honours and Awards

Dec. 2001, Best paper award, 10th SFM Conference, Gauhsiung, Taiwan, Dec. 15-16, 2001

2000 – 2003, E.S.R.C., United Kingdom, £39,900

1997 – 2000, FCAR, Quebec, Canada, standard research grant, $42,000

1994 – 1997, SSHRC, Canada, standard research grant, $40,000

1993 – 1994, FCAR, Canada, joint research grant with J. Greenberg

1991 – 1992, University of Toronto Open Fellowship, Canada

1990 – 1991, Ontario Graduate Scholarship, Ontario, Canada

1987 – 1990, University of Toronto Open Fellowship, Canada
Editorial Board

Review of Mathematical Finance (Editor, in preparation)

Research in Financial Economics (Associate Editor)

Chinese Journal of Economic Theory (Associate Editor)
三木评论:
有幸听过马先生的课,讲课深入浅出,将每一个问题即使是很一般的问题都讲得让你感觉很有收获,让我这个经济学专业的人也受益匪浅。(只是刚开始感觉马老师的英文不够标准,有时候让人摸不着头脑。)
[此贴子已经被作者于2007-11-15 22:44:42编辑过]