Option market making under inventory risk

We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker. The market maker’s profits come from the bid-ask spreads received over the course of a trading day, while the risk comes from uncertainty in the value of his portfolio, or inventory. Within this framework, we study the impact of liquidity and market incompleteness on the optimal bid and ask prices of the option. First, we consider a market maker in a complete market, where continuous trading in a perfectly liquid underlying stock is allowed. In this setting, the market maker may remove all risk by Delta hedging, and the optimal quotes will depend on the option’s liquidity, but not on the inventory. Second, we model a market maker who may not trade continuously in the underlying stock, but rather sets bid and ask quotes in the option and this illiquid stock. We find that the optimal stock and option quotes depend on the relative liquidity of both instruments as well as on the net Delta of the inventory. Third, we consider an incomplete market with residual risks due to stochastic volatility and large overnight moves in the stock price. In this setting, the optimal quotes depend on the liquidity of the option and on the net Vega and Gamma of the inventory.      

Housing prices and the optimal time-on-the-market decision

This paper provides a model for housing prices based on a seller solving the optimal time-on-the market problem. Given the seller’s optimal time-on-the market, analytical expressions are provided for both the expected time-on-the-market and the sales price. These expressions facilitate the computation of comparative statics. Consistent with economic intuition, we show that (i) both the expected time-on-the market and sales price decrease as interest rates increase, (ii) the expected time-on-the market increases and the expected sales price decreases as offer activity declines, and (iii) the expected time-on-the market and expected sales price both increase as the list price increases.     

基于MATLAB的多媒体辅助教学系统构建初探

通过MATLAB的程序设计功能、数值计算功能和图形界面功能来设计及实现微积分中的概念、运算和定理直观演示的相关问题.提出了通过功能设计、算法与程序设计和结构设计,实现一个多媒体辅助教学系统的构建思路.     

On hierarchical competition in oligopoly

In this paper, we consider a hierarchical oligopoly model, in which firms compete on quantities of an homogeneous product. We provide a proof and an interpretation that under the three necessary and sufficient conditions of linear aggregate demand, constant and identical marginal costs, the strategy of leaders at any stage depends neither on the number of leaders who play after nor on the number of remaining stages. So, all firms behave as Cournotian oligopolists on the residual demand. We show that these three assumptions are not only sufficient but also necessary. Any departure from any of these assumptions rules out this property.     

数码商品广告中的隐喻及其蕴含的文化价值观

在探讨隐喻的运行机制和感知的基础上,文章将数码商品广告中的常见喻体分类整理并探讨其中所蕴含的文化价值。研究结果发现:自由、生活、成功、爱情、美、梦想、智慧、世界、自然、永恒是数码商品广告中的常见喻体;数码商品广告中的隐喻与中国特定的文化传统有着紧密的联系,即使是最时尚商品的广告也折射出最传统的文化价值观。     

基于SWOT分析的"水浒"文化旅游开发的战略定位

一、文化旅游概述随着人们经济实力的增强,以及两个“黄金周”假期的设定,我国旅游市场呈现出良好的发展态势,旅游经济成为经济发展的重要支柱。现阶段,旅游市场的项目和品种日益繁多，文化旅游正成为其中的一股新热潮，吸引了众多国内外游客。但是，对于文化旅游的认识和理解还没有形成统一的概念，正处于发展阶段。概括起来有以下几种观点：     

现代物流系统综合评价方法研究

列举了物流系统中几种切实可行的评价方法,并讨论了这些方法在第三方物流系统绩效评价中的应用。物流系统评价是对物流系统的价值进行评估,其目的是为了建立有效实际的物流系统评价体系和方法,进而科学、客观地反映物流企业的运营情况。据此分析,物流系统评价应明确评价目标,理论与实际结合,综合多种评价方法,互相弥补缺陷,从而建立合理的评价模型。     

Analysis of fatal injuries in Serbian underground coal mines – 50 years review

Abstract

The study presented here analyzes mining accidents and fatal injuries in Serbian underground coal mines over a period of 50?years, in order to assess the effectiveness of legislation changes in the overall safety of work environment. Two distinct periods, prior to 2000 and after 2000 were compared. The data from the period after 2000 were further analyzed to provide better understanding of the results. In order to assess the overall state of safety in Serbian mines, the data on fatal injuries were also compared to the international data. It was found that the legislative changes are more easily accepted by the common workers than by the mine management. Consequently, the key recommendation for the safety of coal mine companies in Serbia is the investment in the new technology. Additionally, mine management should be in the focus of the mining inspection with a stronger penal policy regarding mine safety neglect.     

The impact of carbon disclosure mandates on emissions and financial operating performance

Review of Accounting Studies - We examine the impact of a disclosure mandate for greenhouse gas emissions on firms’ subsequent emission levels and financial operating performance. For...     

US HEALTH AND AGGREGATE FLUCTUATIONS

This paper aims to shed light on the importance of health considerations for business cycle fluctuations and the effect of health status on labour productivity and availability of labour input for productive use. To this end, Grossman's (2000) partial‐equilibrium framework with endogenous health is incorporated in an otherwise standard Real‐Business‐Cycle (RBC) model. Health status in this setup is modelled as a utility‐enhancing, intangible, and non‐transferrable capital stock, which depreciates over time. The household can improve their health (‘produce health') through investment using a health‐recovery technology. The main results are: (i) overall, the model compares well vis‐a‐vis data; (ii) the behaviour of the price of healthcare is adequately approximated by the shadow price of health in the model; (iii) the model‐generated health variable exhibits moderate‐ to high correlation with a large number of empirical health indicators.