On October 23,2020, Zhuo Xiaoyang, Special Associate Research fellow, Department of International Trade and Finance, School of Management and Economics, Beijing Institute of Technology, was invited to give an academic report entitled "A theory of equivalent expectation measures for expected price of contingent claims”. The host is Professor Zhang Lingxiang, Department of International Trade and Finance, School of Management and Economics, and the organizer is the Center for Scientific Research and academic Exchange, and the Department of International Trade and Finance.

Focusing on how to solve the expected price problem of undetermined rights and interests, teacher Zhuo Xiaoyang introduced in detail a new theoretical method proposed by Professor Sanjay Nawalkha and his collaborators in the latest working paper. By extending the traditional equivalent martingale measure theory, a new probability measure —— equivalent expectation measures are proposed. The equivalent martingale measure represented by the risk neutral measure can calculate the price of the undetermined equity at the current moment, while the equivalent expectation measure can calculate the expectation of the value of any future time before the expiration of the undetermined equity at the current moment, that is, the expected price of the undetermined equity. after introducing how to systematically construct generalized equivalent expectation measures, zhuo xiaoyang indicates that three specific equivalent expectation measures ——R measures, R T1 measures, R S1 measures are sufficient to solve the expected price problem of any undetermined equity in financial markets, and shows how to apply them to solve the expected price of financial products such as options, treasury bonds, corporate bonds, interest rate derivatives. Moreover, theirwork defines a R transformation to calculate the expected prices of various broad categories of standard or singular financial products and further gives the relationship between future state price density and R measures. Finally, teacher Zhuo xiaoyang discusses the application of the equivalent expectation measure theory, and thinks that the results of the expected return of options revealed by this theory can well explain the mystery of the exponential option return found in the empirical literature, and can be applied to interest rate term structure expectation hypothesis test, corporate debt income and other fields.

After the report, the participants and teacher Zhuo Xiaoyang discussed and exchanged views on how to apply the expected price theory of undetermined rights and interests from the perspective of big data and empirical analysis. The report received a warm response and praiseby the majority of teachers and students !