Financial Math——No Asset Is an Island: A Real Options Framework for Valuing Interdependent Projects
报告人：赵朝熠 (MIT)
时间：2025-09-18 9:00
地点：线上-腾讯会议
Abstract: We introduce CAIRO, a theoretically grounded and computationally tractable framework for valuing interdependent projects under uncertainty. We begin with a single-step binomial tree model that captures cross-project dependencies and provides a closed-form solution for project valuation. Building on this foundation, we propose an algorithmic Monte Carlo approach for multi-step investment settings. Through numerical experiments and empirical examples—including actual historical investment decisions in the pharmaceutical industry—we demonstrate the practical relevance of our CAIRO framework. CAIRO is broadly applicable to industries such as pharmaceuticals, energy, infrastructure, and technology innovation, where sequential investments and interdependencies play a crucial role.
This is a joint work with Shomesh E. Chaudhuri and Andrew W. Lo.
Bio: Chaoyi Zhao is a Postdoctoral Associate at the MIT Sloan School of Management and the MIT Laboratory for Financial Engineering. His research lies at the intersection of statistics and finance, focusing on the application of high-dimensional statistics and machine learning to portfolio theory, healthcare investments, and actuarial science. Chaoyi obtained his Ph.D. in Statistics from Peking University School of Mathematical Sciences in January 2024, and received his B.S. in Mathematics and Applied Mathematics and B.S. in Computer Science and Technology (double degree) from Peking University in 2019. Chaoyi is also a Fellow of the Society of Actuaries (FSA).
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