Pricing equity options everywhere

Finite difference methods are a popular technique for pricing American options. Since their introduction to finance by Brennan and Schwartz their use has spread from vanilla calls and puts on one stock to path-dependent and exotic options on multiple assets. Despite the breadth of the problems they have been applied to, and the increased sophistication of some of the newer techniques, most approaches to pricing equity options have not adequately addressed the issues of unbounded computational domains and divergent diffusion coefficients. In this article it is shown that these two problems are related and can be overcome using multiple grids. This new technique allows options to be priced for all values of the underlying, and is illustrated using standard put options and the call on the maximum of two stocks. For the latter contract, I also derive a characterization of the asymptotic continuation region in terms of a one-dimensional option pricing problem, and give analytic formulae for the perpetual case.     

翻译功能研究

经济和文化全球化进程的加快,进一步彰显翻译的重要性,而对翻译功能的讨论也成为人们关注的焦点之一。翻译研究的不断深化,使得翻译不断被赋予新的内容,越发凸显其复杂性和丰富性。本文通过系统研究,从语言、交际、文化、社会发展等几个方面具体探讨了翻译功能。     

Supply constraints and housing market dynamics

Although the volatility of house prices is often ascribed to demand-side factors, constraints on housing supply have important and little-studied implications for housing dynamics. I illustrate the strong relationship between the volatility of house prices and the regulation of new housing supply. I then employ a dynamic structural model of housing investment to investigate the mechanisms underlying this relationship. I find that supply constraints increase volatility through two channels: First, regulation lowers the elasticity of new housing supply by increasing lags in the permit process and adding to the cost of supplying new houses on the margin. Second, geographic limitations on the area available for building houses, such as steep slopes and water bodies, lead to less investment on average relative to the size of the existing housing stock, leaving less scope for the supply response to attenuate the effects of a demand shock. My estimates and simulations confirm that regulation and geographic constraints play critical and complementary roles in decreasing the responsiveness of investment to demand shocks, which in turn amplifies house price volatility.     

Do contagion effects exist in capital flow volatility?

The cross-border transmission of a financial shock has been a subject of rich literature. While a large number of studies have focused on the phenomenon of strong co-movements of asset prices and capital flows in the event of financial stress, very few discussed the contagion or spillover effects in terms of capital flow volatility. This paper is one of the first attempts to assess, empirically, whether or not there is a global and regional spillover effect in the volatility of capital flows to emerging and developing countries. Based on the sample of 49 emerging and developing countries for the period 1980–2009, the empirical results suggest strong and significant contagion effects in the volatility of capital flows to individual economies. The magnitudes of contagion vary depending on the type of capital flows, whether it is foreign direct investment (FDI) or portfolio and other investment (mostly bank lending). The findings also suggest the volatility dynamics of gross flows is different from that of net flows. The volatility of net inflows is more exposed to intra-regional contagion compared to that of gross inflows.     

小议分部积分法分类教学法

主要讨论了当被积函数为幂函数与三角函数的乘积、被积函数是幂函数与反三角函数乘积、被积函数是幂函数与对数函数、被积函数是幂函数与指数函数乘积、被积函数是指数函数与三角函数乘积时四种情况下,如何具体的应用分部积分法,使学生更好的接受分部积分法的思想。     

隐性教育资源特点及其在高校思政教育中的功能分析

运用传统教学资源——显性教育资源(教材、教参、时事政策、报告等)进行高校思想政治理论教育已严重影响教育效果。面对这种情况,笔者通过探讨隐性教育资源的特点及其在高校思政教育中的功能,以促使广大思政教育者在高校实际教育工作中能重视隐性教育资源的教育功能,从而积极主动开发和运用隐性教育资源达到提高高校思政教育的实效性。     

滇越铁路与滇南经济带的形成与发展

1910年滇越铁路全线通车,对云南社会经济产生了深远影响,地处滇南的红河地区首当其冲。蒙自、个旧、开远等城市经济迅速增长,铁路沿线各城镇的兴起繁荣,为滇南经济带的形成与发展奠定了重要的历史基础。     

Time-varying risk in the German stock market

This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize the driving factors of variances and covariances of returns. In addition to a variety of diagnostic tests we evaluate the validity of the one-factor restriction in the CAPM. The main findings are that risk is time dependent and very variable and also that more than one factor is needed to fit the data set.