数字技术与经济金融前沿论坛(第41期)
主讲人: | 邹逸瀚 博士 格拉斯哥大学 |
主持人: | 宗翔宇 讲师 中南财经政法大学金融学院 数字技术与现代金融学科创新引智基地 |
时间: | 2025年5月9日(周四)14:00-16:00 |
地点: | 文泉楼南408会议室 |
摘要:
We determine forest lease value and optimal harvesting strategies under model parameter uncertainty within stochastic bio-economic models that account for catastrophe risk. Catastrophic events are modeled as a Poisson point process, with a two-factor stochastic convenience yield model capturing the lumber spot price dynamics. Using lumber futures and US wildfire data, we estimate model parameters through a Kalman filter and maximum likelihood estimation and define the model parameter uncertainty set as the 95\% confidence region. We numerically determine the forest lease value under catastrophe risk and parameter uncertainty using reflected backward stochastic differential equations (RBSDEs) and establish conservative and optimistic bounds for lease values and optimal stopping boundaries for harvesting, facilitating Monte Carlo simulations. Numerical experiments further explore how parameter uncertainty, catastrophe intensity, and carbon sequestration impact the lease valuation and harvesting decision. In particular, we explore the costs arising from this form of uncertainty in the form of a reduction of the lease value. These are implicit costs that can be attributed to climate risk and will be emphasized through the importance of forestry resources in the energy transition process. We conclude that in the presence of parameter uncertainty, it is better to lean toward a conservative strategy reflecting, to some extent, the worst case than being overly optimistic. Our results also highlight the critical role of convenience yield in determining optimal harvesting strategies.
主讲人介绍:
邹逸瀚,格拉斯哥大学量化金融博士,现任职于格拉斯哥大学经济系,曾执教于西南财经大学,目前研究兴趣是衍生品,商品期货,连续时间金融,模型模糊性,倒向随机微分方程的数值分析和方法。