时 间：2025年4月21日（周一）15：30-16：30
地 点：普陀校区理科大楼A614室
报告人：沈之一博士摩根士丹利固定收益部
主持人：刘玉坤
摘 要：The landscape of the USD interest rate options market has changed dramatically following the introduction of the new benchmark rate, the Secured Overnight Financing Rate (SOFR). This talk provides an overview of the prevailing SOFR-based options in the USD market and highlights efforts by academics and practitioners to address the related technical and business challenges.
Disclaimer: The views and opinions expressed in this talk are solely those of the speaker and do not represent those of Morgan Stanley or its affiliates.
报告人简介：
沈之一博士目前就职于摩根士丹利固定收益部。2019年，他在加拿大滑铁卢大学获得精算学博士学位，主要研究方向包括变额年金、蒙特卡洛模拟及利率衍生品建模。他的部分研究成果已发表于《Quantitative Finance》和《North American Actuarial Journal》等国际知名期刊。