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Chenghu Ma

WISE, Xiamen University, Xiamen, Fujian, China


Address

　　　 E-mail： chmauk@yahoo.ca


　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　
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Ph.D. (1992), Economics, University of Toronto, Canada
B.Sc. (1983), M.Sc. (1985), Control Theory, Shandong Univ., China


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2006.9 to present WISE Chair Professor of Economics
Wang Yanan Institute for Studies in Economics (WISE),
Xiamen University, China
2004.1-2004.5 Visiting Associate Professor
Department of Mathematics, NUS, Singapore
2001.10 - 2006.1
1999.9 - 2001.9 Reader of Finance
Senior Lecturer
Department of Accounting, Finance & Management, University of Essex, United Kingdom
1992.7 - 1999.5 Assistant Professor, Economics
Department of Economics, McGill University, Canada
1985.11 - 1987.8 Assistant Lecturer, Mathematics
Department of Mathematics, Shandong University, China

2000-2003 Economics and Socio-science Research Council (ESRC, Ref: R000223337), United Kingdom, ￡39,919
‘‘Theory of Choice under Uncertainty and its Applications in Economics and Finance’’
1997-2000 Fonds pour les Chercheurs et L’Aide à la Recherche (FCAR, Ref: 98-NC-1042), Quebec, Canada, standard research grant, Can $42,000
‘‘Short-selling and Market Equilibrium’’
1994-1997 Social Science and Humanity Research Council (SSHRC, Ref: 410-94-0757), Canada, standard research grant,
Can $41,000
‘‘Equilibrium in Economies with Incomplete Capital Market’’
1993-1996 FCAR, Canada, joint research grant with J. Greenberg;
‘‘Theory of Social Situations’’



Best paper award

"Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Levy jumps’’
presented in the 10th Annual Conference on Theories and Practices of Securities and Financial Market, Gaohsiung, Taiwan (December 2001).

journal papers

Wong W.K. and C. Ma (2007), ‘‘Preferences over Meyer’s Location-Scale Family’’, WISE, Xiamen University, and SSRN working paper series (http://ssrn.com/abstract=789144). Forthcoming at Economic Theory.

Ma C. (2006), “Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in the Presence of Levy Jumps”, Journal of Mathematical Economics 42, 131-160.

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 Towards 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).


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Huang L. and C. Ma (2007), “MPS Risk Aversion and the Shadow-CAPM: Empirical Test”, University of Essex, memo.

Ma C. (2007), “MPS Risk Aversion and Continuous Time MV Analysis in Presence of Levy Jumps’’, WISE working paper, Xiamen University.

Ma C. and W.K. Wong (2007), ‘‘Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR ’’, National University of Singapore, and SSRN working paper series
(http://ssrn.com/abstract=907272)

Chen J., X. Liu and C. Ma （2007）, “Risk Neutral and Physical Jumps in Option Pricing”, University of Essex, memo.

Haven E., X. Liu, C. Ma and L. Shen (2007), ‘’Revealing the Implied Risk-Neutral MGF with the Wavelet Method’’, University of Essex, and SSRN working paper series （http://ssrn.com/abstract=965427）

Boyle P. and C. Ma (2006), ‘‘Mean-Preserving-Spread-Risk-Aversion and the CAPM’’, WISE, Xiamen University, China.
(http://www.essex.ac.uk/afm/research/working_papers )

Boyle P. and C. Ma (2004), ‘‘MPS-Risk-Aversion and Shadow CAPM: A Dynamic Asset Pricing Model’’, WISE, Xiamen University.

Ma C. (2003), “An Aggregation Theorem in Incomplete Market: A Note’’, University of Essex.

Ma C. (2002), “A Coherent Theory of Choice under Risk and Uncertainty’’, University of Essex.
(http://www.essex.ac.uk/afm/research/working_papers )

Ma C. (2001), “Preferences, Levy Jumps and Option Pricing’’, University of Essex.
(http://www.essex.ac.uk/afm/research/working_papers)

Ma C. (2000), “Uncertainty Aversion and A Theory of Incomplete Contract”, University of Essex.
(http://www.essex.ac.uk/afm/research/working_papers )

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.


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BOOK

ADVANCED Asset PricinG THeory (in progress)


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CONFERENCE presentations

"MPS-Risk-Aversion and Continuous Time MV Analysis in Presence of Levy Jumps’’, Humboldt-Princeton Conference: Semi-Parametrics Meets Mathematical Finance, Humboldt University at Berlin, Germany, October 27-28, 2007.

"MPS-Risk-Aversion and the CAPM’’, GETA2007, National University of Singapore, August 18-19, 2007.

"Discuss: `Heterogeneous Impatience in a Continuous-Time Model’ by Chiaki Hara”, GETA2007, National University of Singapore, August 18-19, 2007.

"MPS-Risk-Aversion and Continuous Time MV Analysis in Presence of Levy Jumps’’, Daiwa Workshop in Financial Engineering, Kyoto University, Japan, August 6-7, 2007.

“Advancement in Asset Pricing Theory”, Summer School of Econometrics and Finance at WISE, Xiamen University, July 19-24, 2007.

"MPS-Risk-Aversion and Mean-Variance Analysis in Presence of Levy Jumps”, 2007 CICF, Chengdu, July 9-13, 2007.

"Discuss: The Make Up of Hong Kong’s Derivative Warrant Market, by Chow Y.F. et al”,? 2007 CICF, Chengdu, July 9-13, 2007.

"Uncertainty Aversion and A Theory of Incomplete Contract”, The 3rd Pan-Pacific Game Theory Conference, UIBE, Beijing, October 20-23, 2006.

"MPS-Risk-Aversion and Asset Pricing: Re-examination of CAPM’’, RUD’06, University of Paris VI, France, June 28-30, 2006.

"MPS-Risk-Aversion and Asset Pricing: Reexamination of CAPM’’, International Conference on Financial Booms and Economics Growth, Shandong University, Jinan, China, April 21-23, 2006.

"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.


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Professional Activities

Conference Chairs

§Session chair, The 14th Panel Data Conference, Xiamen, July 15-18, 2007.
§Session chair, The 3rd Pan-Pacific Game Theory Conference, October 20-23, 2006, UIBE, Beijing, China
§ Session chair, 12th Annual Conference on Securities and Financial Market, December 17-18, 2004, Gaohsiung, Taiwan
§Session chair, 2001 Annual Research Conference in Financial Risk, Budapest, Hungary
§ Session chair, 1999 Northern America Econometric Society Summer Meeting, Montreal, Canada
§Co-organizer, 1995 Canadian Economic Theory Annual Conference


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editorial board

·Annals of Financial Economics (Associate Editor)
· Finanmetrica (Associate Editor)


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Book Reviews
· Blackwell Publishing
·Addison-Wesley Publishers

Research Councils
·Economics and Social-Science Research Council (ESRC), UK, 2002 and 2003
·Social Science and Humanity Research Council (SSHRC), Canada, 1995

Journals
·Econometrica
· Economic Theory
· European Finance Review
·Journal of Applied Mathematics and Decision Science
· Journal of Economic Dynamics & Control
· Journal of Economic Theory
· Journal of Mathematical Economics
· Management Science
· Mathematical Finance
· Quantitative Finance


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43 invited seminars at universities and research institutes in Canada, China, Hong Kong, Singapore, Taiwan, UK and USA since 1992. These include
Academia Sinica, China (2); Beijing University (3); Carlton University, Canada; CIRANO, Montreal; City University of Hong Kong; Fudan University; Hong Kong University of Science and Technology; Imperial College, UK; Kellogg Business School, Northwestern University, USA; King’s College, University of London, UK; McGill University, Canada (3); National University of Singapore (2); Academic Sinica, Taiwan; National Chengchi University, Taiwan; National Taiwan University (2); Queen’s University, Canada (2); Queen and Mary, University of London, UK; State University of New York at Buffalo, USA; University of Essex, UK (5); University of Toronto, Canada (2); University of Waterloo, Canada (2); University of Western Ontario, Canada; Shandong University, China (2); Tongji University, China; Xiamen University, China (3); Qingdao University, China; Leicester University, UK.


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Invited lectures

Asset Pricing Theory”, a three-hr lecture at Summer School of Econometrics and Finance, WISE, Xiamen University, July 2007.

"Equilibrium Asset Pricing Theory’’, 4 three-hrs lectures, National Taiwan University, Department of Economics, Taiwan, December 09-16, 2001.

"Applied Stochastic Processes: Stochastic Modeling in Finance’’, 13 three-hrs lectures, Department of Mathematics, National University of Singapore, January 1 – April 31, 2004.


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University of Essex
AC111, Introduction to Accounting and Finance, 2004-05 (half term, repeat)
AC202/322, Financial Management (lecturing and classes), 1999-02
AC329, Pricing Securities from the Financial Market, 2000-03, 04-05
AC331, Options and Futures Markets, 1999-00
AC912/911B, Research Methods in Finance, 1999-01, 02-03
AC916, Asset Pricing, 2000-05

McGill University
154-338B, Econometrics, 1992-93
154-420A, Selected Topics in Economic Theory, 1993-94
154-480A, Research Methods in Economics, 1995-97
154-577A, Mathematical Economics, 1992-93
154-577B, Mathematics for Economists, 1993-99
154-610A, Microeconomics, 1997-98
154-611B, Microeconomics, 1994-97
154-633, Mathematics Review, 1994-99
154-705A, Readings in Continuous-Time Finance, 1996-97
154-750A, Advanced Microeconomic Theory, 1993-95, 96-97
154-753A, Advanced Mathematical Economics, 1995-96, 97-98
274-706A, Foundations of Financial Economics, 1995-96
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