معرفی
Tie Su serves as an Associate Professor in the Finance department at the Miami Herbert Business School, University of Miami, where they maintain an active research program focused on financial markets and quantitative analysis. With scholarly contributions spanning two decades, Dr. Su has established expertise in options pricing models, market volatility dynamics, and mortgage market analysis.
Dr. Su's research program centers on several critical areas within financial economics:
- Advanced options pricing models, particularly Black-Scholes framework extensions and applications
- Market volatility behavior around macroeconomic announcements and other information events
- Mortgage market dynamics, including prepayment and default options valuation
- Warrant pricing mechanisms and exercise strategies
- Liquidity effects in stock and ETF markets, particularly under unusual market constraints
Analysis of Dr. Su's publication record from 2003-2022 reveals a consistent focus on market microstructure and derivative securities valuation. The research employs sophisticated quantitative methodologies to address practical financial problems, with recent work examining China's unique one-day selling lockup constraint and its implications for asset pricing efficiency. Earlier contributions established foundational insights into mortgage prepayment options and Treasury market volatility dynamics around news announcements.
