Essec\Faculty\Model\Profile {#2216
#_id: "B00261800"
#_source: array:40 [
"bid" => "B00261800"
"academId" => "2007"
"slug" => "xu-peng"
"fullName" => "Peng XU"
"lastName" => "XU"
"firstName" => "Peng"
"title" => array:2 [
"fr" => "Professor of Management Practice"
"en" => "Professor of Management Practice"
]
"email" => "xup@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Singapour"
"departments" => []
"phone" => null
"sites" => []
"facNumber" => "2007"
"externalCvUrl" => "https://faculty.essec.edu/en/cv/xu-peng/pdf"
"googleScholarUrl" => null
"facOrcId" => null
"career" => array:5 [
0 => Essec\Faculty\Model\CareerItem {#2221
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2009-01-01"
"endDate" => "2017-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Assistant Professor of Finance"
"en" => "Assistant Professor of Finance"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\CareerItem {#2215
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017-09-01"
"endDate" => "2022-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "External Lecturer"
"en" => "External Lecturer"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
2 => Essec\Faculty\Model\CareerItem {#2219
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Associate Academic Director of Master in Finance"
"en" => "Associate Academic Director of Master in Finance"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
3 => Essec\Faculty\Model\CareerItem {#2222
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1998-08-31"
"endDate" => "1999-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Professional appointments"
"fr" => "Positions professionnelles"
]
"label" => array:2 [
"fr" => "Trade Manager"
"en" => "Trade Manager"
]
"institution" => array:2 [
"fr" => "Shin Nihon Global"
"en" => "Shin Nihon Global"
]
"country" => array:2 [
"fr" => "Chine"
"en" => "China"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
4 => Essec\Faculty\Model\CareerItem {#2223
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2022-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professor of Management Practice"
"en" => "Professor of Management Practice"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"diplomes" => array:3 [
0 => Essec\Faculty\Model\Diplome {#2218
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2007"
"label" => array:2 [
"en" => "Ph.D.in Finance and Economics"
"fr" => "Ph.D.in Finance and Economics"
]
"institution" => array:2 [
"fr" => "Rotman School of Management"
"en" => "Rotman School of Management"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\Diplome {#2220
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1998"
"label" => array:2 [
"en" => "Bachelor's degree in International Finance"
"fr" => "Bachelor's degree in International Finance"
]
"institution" => array:2 [
"fr" => "Dongbei University of Finance and Economics"
"en" => "Dongbei University of Finance and Economics"
]
"country" => array:2 [
"fr" => "Chine"
"en" => "China"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
2 => Essec\Faculty\Model\Diplome {#2217
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2000"
"label" => array:2 [
"en" => "Master of Arts, Economics"
"fr" => "Master of Arts, Economie"
]
"institution" => array:2 [
"fr" => "University of Toronto"
"en" => "University of Toronto"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"bio" => array:2 [
"fr" => null
"en" => """
<p><b>Curriculum Vitae </b></p>\n
\n
<p> </p>\n
\n
<table border="0" cellpadding="0" cellspacing="0" style="border-collapse:collapse; border:none; width:614px">\n
\t<tbody>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Name</b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Peng Xu</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Citizenship </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Canadian</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Languages </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>English, Chinese</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Professional Experience </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2022- present</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Professor of Management Practice in Finance</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2016- present</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Associate Academic Director, Master in Finance Program, ESSEC Business School</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2009 - 2017</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Assistant Professor of Finance, ESSEC Business School</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2007</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>External Lecturer, Iowa State University Business School</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2006</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Course Instructor, Rotman School of Management, University of Toronto</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2003-2007</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Academic Don (Commerce and Economics), Trinity College, University of Toronto</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>1999-2007</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Graduate Teaching Assistant, University of Toronto</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2003</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Research Assistant, University of Toronto</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>1998-1999</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Manager of the Department of Trade, Shin Nihon Global Inc., China</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>1997</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Intern, Bank of China, China</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Education </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2008</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>PhD, Finance and Economics, Department of Economics and Rotman School of Management, University of Toronto, Canada<br />\n
\t\t\tDissertation: Non-tradable Market Index and Its Derivatives</p>\n
\n
\t\t\t<p>Committee: Christian Gourieroux (supervisor), Alan White, Joann Jasiak</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2000</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>MA, Economics, University of Toronto, Canada</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>1998</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Bachelor of Economics, International Finance, Dongbei University of Finance and Economics, China</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Professional Certification </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2023</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Advanced Certificate in Learning and Performance (ACLP)</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2023</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>CFA Institute Certificate in ESG Investing</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2018</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Professional Risk Manager (PRM)</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2016</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Chartered Financial Analyst (CFA)</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2016</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Certificate of Completion, Case Writing Workshop, Harvard Business School.</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2015</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Certificate of Completion, Global Colloquium on Participant -Centered Learning (GLOCOLL), Harvard Business School.</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2006</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Certificate of Completion, Teaching Business in Colleges and Universities, Rotman Teaching Effectiveness Center, University of Toronto.</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Awards </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2014</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>“Top 10% Professors” ESSEC Foundation Teaching Awards</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2009</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>CFA Institute Society Scholarship for CFA Level II Exam</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2004-2006</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>University of Toronto Thesis Completion Grant</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2000-2005</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>University of Toronto Doctoral Fellowship</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2003-2004</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Department Research Award</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2000-2002</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>International Recruitment Award</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>1999-2000</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>University of Toronto Fellowship for MA</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Publications </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2015</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>“The Tradability Premium of the S&P 500 Index”, joint with Christian Gourieroux and Joann Jasiak, Journal of Financial Econometrics, September 2015.</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p>2014</p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>“Is the S&P 500 Index Tradable? ”, Journal of Index Investing, winter 2014.</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Research Interests </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Asset Pricing, Derivatives, Portfolio Management and Risk Management</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p> </p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t\t<tr>\n
\t\t\t<td style="vertical-align:top; width:213px">\n
\t\t\t<p><b>Teaching Interests </b></p>\n
\t\t\t</td>\n
\t\t\t<td style="vertical-align:top; width:401px">\n
\t\t\t<p>Asset Pricing, Derivatives, Portfolio Management, Risk Management, Corporate Financial Management, Investment Analysis, ESG Investing and Sustainable Finance, Firm Valuation, and International Finance</p>\n
\t\t\t</td>\n
\t\t</tr>\n
\t</tbody>\n
</table>\n
"""
]
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"fr" => "Marchés financiers et institutions financières - Finance d'entreprise - Investissements et évaluation des actifs - Mathématiques - Théorie des probabilités et statistiques - Développement durable"
"en" => "Financial Markets & Institutions - Corporate Finance - Investments & Asset Pricing - Mathematics - Probability Theory & Mathematical Statistics - Sustainable development"
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0 => Essec\Faculty\Model\Contribution {#2225
#_index: "academ_contributions"
#_id: "1425"
#_source: array:18 [
"id" => "1425"
"slug" => "is-the-sp-500-index-tradable"
"yearMonth" => "2014-12"
"year" => "2014"
"title" => "Is the S&P 500 Index Tradable?"
"description" => "XU, P. (2014). Is the S&P 500 Index Tradable? <i>Journal of Index Investing</i>, 5(3), pp. 10-20."
"authors" => array:1 [
0 => array:3 [
"name" => "XU Peng"
"bid" => "B00261800"
"slug" => "xu-peng"
]
]
"ouvrage" => ""
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"updatedAt" => "2021-07-13 14:30:23"
"publicationUrl" => "https://jii.pm-research.com/content/5/3/10"
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"pages" => "10-20"
"volume" => "5"
"number" => "3"
]
"type" => array:2 [
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"abstract" => array:2 [
"fr" => "This article analyzes why the S&P 500 Index is not a self-financed or a tradable portfolio and why it cannot be replaced with a mimicking portfolio, such as the SPDR, when applying the standard arbitrage pricing theory. In particular, we show that the nonlinear and extreme risk dynamics of the mimicking portfolio are very different from that of the S&P 500 Index. The tracking errors on the S&P 500 Index can explain the violations of the spot-futures parity and the put-call parity by the index and its derivatives, which are encountered in practice. These properties also imply that the standard pricing methods that assume the underlying asset is tradable cannot be used to evaluate derivatives written on the S&P 500 Index."
"en" => "This article analyzes why the S&P 500 Index is not a self-financed or a tradable portfolio and why it cannot be replaced with a mimicking portfolio, such as the SPDR, when applying the standard arbitrage pricing theory. In particular, we show that the nonlinear and extreme risk dynamics of the mimicking portfolio are very different from that of the S&P 500 Index. The tracking errors on the S&P 500 Index can explain the violations of the spot-futures parity and the put-call parity by the index and its derivatives, which are encountered in practice. These properties also imply that the standard pricing methods that assume the underlying asset is tradable cannot be used to evaluate derivatives written on the S&P 500 Index."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T13:21:44.000Z"
]
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}
1 => Essec\Faculty\Model\Contribution {#2227
#_index: "academ_contributions"
#_id: "6752"
#_source: array:18 [
"id" => "6752"
"slug" => "non-tradable-sp-index-and-the-pricing-of-its-derivatives"
"yearMonth" => "2013-06"
"year" => "2013"
"title" => "Non-tradable S&P Index and the Pricing of its Derivatives"
"description" => "XU, P. (2013). Non-tradable S&P Index and the Pricing of its Derivatives. Dans: 6th Annual SoFie Conference 2013."
"authors" => array:1 [
0 => array:3 [
"name" => "XU Peng"
"bid" => "B00261800"
"slug" => "xu-peng"
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]
"ouvrage" => "6th Annual SoFie Conference 2013"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
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"pages" => null
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]
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"en" => null
]
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"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T13:21:44.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.498558
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2229
#_index: "academ_contributions"
#_id: "2727"
#_source: array:18 [
"id" => "2727"
"slug" => "the-tradability-premium-on-thte-sp-500-index"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "The Tradability Premium on thte S&P 500 Index"
"description" => "GOURIEROUX, C., JASIAK, J. et XU, P. (2016). The Tradability Premium on thte S&P 500 Index. <i>Journal of Financial Econometrics</i>, 14(3), pp. 461-495."
"authors" => array:3 [
0 => array:3 [
"name" => "XU Peng"
"bid" => "B00261800"
"slug" => "xu-peng"
]
1 => array:1 [
"name" => "GOURIEROUX C."
]
2 => array:1 [
"name" => "JASIAK J."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.researchgate.net/publication/283187808_The_Tradability_Premium_on_the_SP_500_Index"
"publicationInfo" => array:3 [
"pages" => "461-495"
"volume" => "14"
"number" => "3"
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"fr" => "Articles"
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"en" => "Scientific journal"
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"countries" => array:2 [
"fr" => null
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]
"abstract" => array:2 [
"fr" => "We derive a coherent multi-factor model for pricing various derivatives written on the same underlying (potentially non-tradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an additional arbitrage condition must be introduced, which implies nontrivial parameter restrictions. These restrictions can be empirically tested to check whether the derivatives are priced as if the underlying were self-financed and tradable. This methodology allows us to define the tradability premium. As an illustration, we compute a daily tradability premium for the S&P 500."
"en" => "We derive a coherent multi-factor model for pricing various derivatives written on the same underlying (potentially non-tradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an additional arbitrage condition must be introduced, which implies nontrivial parameter restrictions. These restrictions can be empirically tested to check whether the derivatives are priced as if the underlying were self-financed and tradable. This methodology allows us to define the tradability premium. As an illustration, we compute a daily tradability premium for the S&P 500."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T13:21:44.000Z"
]
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+"_type": "_doc"
+"_score": 8.498558
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2226
#_index: "academ_contributions"
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"slug" => "the-tradability-premium-on-the-sp-500-index"
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"year" => "2014"
"title" => "The Tradability Premium on the S&P 500 Index"
"description" => "GOURIEROUX, C., JASIAK, J. et XU, P. (2014). The Tradability Premium on the S&P 500 Index. Dans: 27th Australasian Finance and Banking Conference."
"authors" => array:3 [
0 => array:3 [
"name" => "XU Peng"
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1 => array:1 [
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2 => array:1 [
"name" => "JASIAK J."
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]
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"updatedAt" => "2023-08-17 10:15:29"
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"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T13:21:44.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.498558
+"parent": null
}
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"docTitle" => "Peng XU"
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"docDescription" => "Department: Finance<br>Campus de Singapour"
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"docPreview" => "<img src="https://faculty.essec.edu/wp-content/uploads/avatars/B00261800.jpg"><span><span>Peng XU</span><span>B00261800</span></span>"
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]
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