我們在無偏好設定的情況下引入風險糾纏的概念,以一併解釋數據中的匯率波動性、週期性和貨幣風險溢價。風險糾纏對應了一部分不完備市場模型,當中對匯率的非擴散或非對數正態衝擊並未能完全被資產回報所解釋。當風險糾纏時,會出現多種定價一致的匯率,但它們都不等於隨機貼現因數(SDFs)的比率或其預測。將匯率與SDF脫鉤能讓我們解釋在國際金融中令人費解的主要外匯市場規律。

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PhD in Finance, London School of Economics, 2012
MSc in Finance and Economics, London School of Economics, 2008
BA in Economics, University of St Gallen, 2006
Thomas Andreas Maurer is an Associate Professor of Finance at the HKU Business School, The University of Hong Kong. Before joining HKU in 2019, he was an Assistant Professor of Finance at the Olin Business School, Washington University in St. Louis from 2012 to 2019. Thomas earned his London School of Economics MSc in Finance and Economics degree in 2008 and his LSE PhD in Finance degree in 2012. During his PhD studies he has spent one year as a visiting scholar at the University of Chicago Booth School of Business.
His research contributions are in the area of theoretical and empirical asset pricing, international finance and household finance. He regularly serves as a committee member for academic conferences and as an academic referee for many major economics and finance journals.
At HKU, Thomas is teaching classes on derivative securities to undergraduate students. In 2017, the graduating Master of Finance class at Wash U has chosen him as the best teacher and he was awarded the Reid teaching prize for the professor “whose enthusiasm and exceptional teaching most inspire, energize, and transform students”.
FINA2322 Derivatives
Asset pricing
International Finance
Household Finance
- “Market Timing and Predictability in FX Markets,” (with Thuy-Duong Tô and Ngoc-Khanh Tran), Review of Finance, forthcoming.
- “Pricing Implications of Covariances and Spreads in Currency Markets,” (with Thuy-Duong Tô and Ngoc-Khanh Tran), The Review of Asset Pricing Studies, 2022, 12(1), 336-388.
- “Entangled Risks in Incomplete FX Markets,” (with Ngoc-Khanh Tran), Journal of Financial Economics, 2021, 142(1), 146-165.
- “Pricing Risks Across Currency Denominations,” (with Thuy-Duong Tô and Ngoc-Khanh Tran), Management Science, 2019, 65(11), 5308-5336.
從業界轉投學界,毛雷爾博士是一個興趣使然的浪漫主義者。他熱衷於共享知識,更希望能為學生帶來正面積極的影響。