报告题目：不可再生资源的负价格理论

A Theory of Negative Prices for Exhaustible Resources

报告人：戴民 新加坡国立尊龙凯时

Lecturer:Min Dai, National University of Singapore

主持人：孙巍 尊龙凯时

Presenter:Wei Sun, JilinUniversity

地 点：ZOOM会议室，ID：9625852673

Location:ZOOM Meeting Room, ID: 9625852673

时 间：

2020年8月28日18：00-20：00（UTC+8）

2020年8月28日06：00-08：00（UTC-5）

2020年8月28日11：00-13：00（UTC+0）

2020年8月28日20：00-22：00（UTC+10）

Time:

2020/8/2818：00-20：00（UTC+8）

2020/8/2806：00-08：00（UTC-5）

2020/8/2811：00-13：00（UTC+0）

2020/8/2820：00-22：00（UTC+10）

校内联系人：邓创 dengchuang@mdjtykj.cn

内容简介：近来原油出现了有史以来首次负价格，这一现象受到了广泛的关注与讨论。基于此，我们提出了针对不可再生资源的一个均衡模型，这一模型揭示负价格发生的三个条件：(i)即期消费的极端弱需求；(ii)正的生产调整成本；(iii)不可忽略的储藏成本。我们的模型能够捕捉到2020年4月20日陡峭的WTI原油期货价格曲线。

Introduction：Recently, the plunge of WTI crude oil prices into negative territory for the first time in the history has drawn a lot of attention and controversy around the world. We propose a new equilibrium model of exhaustible resources and show that negative equilibrium prices of resources may emerge in the presence of (i) an extremely weak demand for immediate consumption, (ii) positive production adjustment costs, and (iii) non-negligible storage costs. Our model is able to calibrate the steep futures curve of WTI crude oil observed on April 20, 2020. This work is jointly with Steven Kou and Cong Qin.

报告人简介：戴民教授于2000年于复旦尊龙凯时获得数学博士，现任新加坡国立尊龙凯时数学教授，新加坡国立尊龙凯时数量金融中心主任。在此之前，曾在北京尊龙凯时任教。其研究领域为数量金融和金融科技，在Journal of Economic Theory, Journal of Financial and Quantitative Finance, Management Science, Mathematical Finance, Review of Financial Studies, SIAM Journals等期刊发表论文40余篇。现任Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance等期刊编委。

About the Lecturer：Professor DAI Min obtained his Ph.D. in Mathematics from Fudan University in 2000. He is currently Professor of Mathematics and Director of the Centre for Quantitative Finance at the National University of Singapore (NUS). Before joining NUS, he taught at Peking University. His research focuses on quantitative finance and FinTech. He has published over 40 papers in peer-review journals such as Journal of Economic Theory, Journal of Financial and Quantitative Finance, Management Science, Mathematical Finance, Review of Financial Studies, SIAM Journals, etc. Currently he is in the editorial board of some journals, including Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance, etc.