Valuation of VIX and target volatility options with affine GARCH models

In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte–Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.     

内蒙古财经学院国际贸易专业全面实施双语教学分析

内蒙古财经学院国际贸易专业推行双语教学是顺应我区高等教育与国际接轨和改革发展和培养国际化高级人才的需要。本文从国际贸易专业的性质出发,分析了该专业实施双语教学的必要性。同时,对该专业实施双语教学中存在的问题进行探讨并有针对性地提出了发展双语教学的策略。     

Determinants of the Method of Payment in Asset Sell‐Off Transactions

Using a sample of asset sell‐off transactions from January 1990 to April 2010, we find that the method of payment used in asset sell‐off transactions is associated with several characteristics cited in the acquisitions research that reflect cash constraints of the bidder. Specifically, bidders facing more stringent cash constraints are more likely to use equity when purchasing assets, while sellers subjected to cash constraints prefer cash when selling assets. Second, we find that the variation in method of payment among asset sell‐off transactions also is partially explained by variables representing asymmetric information. Third, we apply our model to an expanded sample that includes non‐U.S. sellers of assets and find that an equity payment is more likely when sellers are based in countries that have relatively high country risk (more government restrictions), weak shareholder rights, and a weak legal system. Thus, it appears that bidders prefer that sellers share in the risk of the transaction under these conditions.     

城市风道规划建设创新对策研究——以西安城市风道景区为例

根据生态城市建设要求,针对近年来凸显的城市气候与环境问题,以我国北方典型平地城市——西安为对象,通过实地风象数据监测,结合城市自然基底、历史格局、建设现状与发展趋势,构建城市风道分级体系,提出并阐释"风道+景区"规划建设模式;对城市主风口、各级风道、风级与风向转换地带、末端渗风区与高频静风区等进行统一规划布局,同时拟定"风道景区"具体规划建设方案。最终提出相关规划对策与保障措施,为我国城市风道规划建设提供创新实践积累。     

当前高校辅导员队伍建设问题刍议

高校辅导员是大学生思想政治教育工作队伍主体之一，负有组织、协调、实施大学生思想政治教育的重要职责，是大学生思想政治教育的骨干力量。他们按照学校党委的部署对大学生有针对性地开展思想政治教育活动．在思想、学习和生活等方面给大学生以指导，是大学生健康成长的指导者和引路人，是校园秩序稳定的直接维护者，     

The information content of option-implied volatility for credit default swap valuation

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both CDS and options data, we find that individual firms’ put option-implied volatility dominates historical volatility in explaining the time-series variation in CDS spreads. To understand this result, we show that implied volatility is a more efficient forecast for future realized volatility than historical volatility. More importantly, the volatility risk premium embedded in option prices covaries with the CDS spread. These findings complement existing empirical evidence based on market-level data.     

基于教务管理平台的专业分流应用系统的设计与实现

专业分流是高校教务管理工作中一项重要的、具有复杂性的工作,随着高校招生规模的不断扩大,依靠传统手工的方式完成分流工作已不能够适应新形势下对专业分流的要求,设计开发一套基于教务管理平台的专业分流系统软件是非常有必要的。本系统采用分层设计思想、应用struts2开发框架,实现网上专业志愿填报、成绩计算、志愿成绩排名、专业分流录取等功能。本文给出了专业分流系统的设计和关键代码实现。     

The synchronization club: classification of global economic groups by inequality

We find that, from 1970 to 2006, the GDPs of 181 countries are described by a log-normal with a power law tail before 1992, but by a kinked power law distribution after 1992. In the 15 years from 1992 to 2006, there are two obvious scale-free zones for annual GDPs, ranked from the largest to smallest. If the countries in each scaling region are regarded as a group, the world is divided into two groups, each with a roughly stable number of members. The power exponents of the two groups are different and hence lead to different inequalities. Therefore, the basis for classification is the macro-consistent inequality within each group. The wealth grows in a synchronous nonlinear manner within groups that have a stable wealth distribution and rank structure. If each group is considered as a club, we name it a ‘synchronization club’.     

文化产业大有作为——解读《国家级滨海新区文化产业示范园区》

2008年3月13日国务院批复的《天津滨海新区综合配套改革试验总体方案》中提出，要在滨海新区“建设国家级滨海新区文化产业示范园区，整合、开发天津市乃至环渤海地区文化资源，使之成为新兴文化产业发展的策源地和示范区”。国家对滨海新区的文化产业发展寄予厚望，天津有得天独厚的条件，可以成为新兴文化产业发展的策源地和示范区。