Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed form formula for integration. Moreover, these two methods solve the backward dynamic programing problem considering a Bermudan approximation of the American option. On the exercise dates, the value of the option is first computed as the maximum between the exercise value and the continuation value and then approximated by means of Gaussian Process Regression. The two methods mainly differ in the approach used to compute the continuation value: a single step of the binomial tree or integration according to the probability density of the process. Numerical results show that these two methods are accurate and reliable in handling American options on very large baskets of assets. Moreover we also consider the rough Bergomi model, which provides stochastic volatility with memory. Despite that this model is only bidimensional, the whole history of the process impacts on the price, and how to handle all this information is not obvious at all. To this aim, we present how to adapt the GPR-Tree and GPR-EI methods and we focus on pricing American options in this non-Markovian framework.     

后金融危机时代股票超额收益率影响因素的探索

运用判别分析法和决策树模型对上证180的成分股是否可以获得超额收益率及其影响因素进行了分析,并将两种方法的分析结果进行了对比。结果表明：两种方法都可以对上市公司是否可以获得超额收益进行分辨,并且可以找出影响因素。但是从两种模型的结果来看,决策树模型要明显优于判别分析法。从我们的分析样本来看,对企业是否可以获得超额收益率的影响因素主要有：市盈率、市净率、息税折旧摊销前利润/营业总收入等。在实际中,通过这两种方法,投资者可以寻找出那些具有超额收益率的股票进行投资,从而使得自身的投资结果优于大盘。     

“后危机时代”我国对外工程承包行业的“危”与“机”

美国金融危机对全球经济影响深远,这给国际工程承包市场的尽早复苏蒙上了一层阴影。受其影响,我国对外工程承包行业市场扩张潜力受挫,但我国对外工程承包行业的比较优势尚存,＂核心市场＂依然充满活力,加之国际环境总体缓和,也给我国对外工程承包行业经营全球化提供了契机。不论是政府还是企业,都要利用经济危机后的＂大变动、大调整＂的良好机遇,创造良好的市场环境,加快产业升级,提升我国对外工程承包行业的整体竞争力。     

一个实物期权例子求解方法的辨析

对注会教材《财务成本管理》关于时机选择期权例子中计算报酬率方法的错误进行了讨论,指出了应该采用的正确方法,并对该例进行了重新计算与分析。     

境内人民币银行卡清算市场的结构政策选择——“封堵”威胁引发的思考

Visa的“封堵”威胁源于两点：一是其境内市场战略遭遇严重挫折,二是中国银联境外受理网络不断扩张侵蚀了其境外清算收益。但本文的分析表明,在境内人民币银行卡清算市场准入终将放开这一假设预期基础上,“封堵”威胁是不可置信的。渐进式的结构重构应是境内人民币银行卡清算市场的结构政策选择。具体来说,短期内应维持中国银联在境内人民币银行卡清算市场的垄断地位,同时强化对中国银联的政府监管,使其基本具备应对国际银行卡组织竞争的能力,为准入的放开创造条件;尽早明确境内人民币银行卡清算市场准入放开的时间,最终放开市场准入,培育有效竞争的市场结构。     

Prioritising land to be preserved for agriculture: A context-specific value tree

In Belgium as in many other countries, agricultural land is under pressure for development of other land uses. This paper presents a method for setting priorities for preservation of land for agriculture. The method is based on a participatory approach through which a value tree is formulated. This results in a list of criteria to define farmland value, which is explicitly linked to the objectives for farmland preservation. The value tree allows the list of criteria to be determined in a structured and consistent way. The participatory process contributes to the development of a shared vision on farmland preservation. The approach also incorporates context specificity, as shown by its application for farmland preservation in Flanders.     

How family influence,socioemotional wealth,and competitive conditions shape new technology adoption

Research summary : In family businesses, investment decisions often involve both socioemotional wealth and economic considerations. Focusing on new technology adoption, we argue that multiple dimensions of socioemotional wealth contribute to complex effects within different types of family firms—depending on the level of family control—as well as in contrast to non‐family firms. Results based on cable TV operators from 1983 to 1987 confirm that family ownership correlates negatively with technology adoption, especially when family owners hold a minority rather than majority position. We also show contingencies based on performance improvements and competitive threats. Our arguments contribute new insights about the tensions between economic and socioemotional factors within minority family ownership that are absent from non‐family firms and more pronounced than in majority family firms. Managerial summary : We find evidence of greater reluctance toward new technology adoption among firms with minority family influence than majority family influence. This suggests that goals related to socioemotional wealth only partly explain the cautious decision‐making observed in family firms, with further caution arising from conflicting priorities between family and non‐family owners. Recent performance improvements help offset the reluctance to adopt new technology, albeit to a lesser degree among firms with minority family ownership. High levels of competitive threats also offset the reduction in new technology adoption, and contrary to expectations, to a greater extent among minority family firms. Copyright © 2016 John Wiley & Sons, Ltd.     

Export Motives,Psychological Distance,and the EPRG Framework

The EPRG framework is usually discussed on a conceptual level. Relatively few empirical examinations of the framework have been reported in the literature to date. This paper takes the required first step by placing the framework in a nomological network. This network includes export motives, psychological distance between home and host markets, and transference versus adaptation of international marketing strategies and activities. The findings lend support to the proposed nomological network.     

试论城市化发展对水资源的胁迫作用——以河北省为例

水资源是人类社会赖以存在的物质基础，也是经济发展不可缺少的重要资源。随着城市化进程的加快，工业化的飞速发展，一方面，对水资源的需求量越来越大，对水资源的质量要求越来越高；另一方面，由于城市化发展对水资源造成的负面影响使得可用的水资源有减少的趋势。论文以河北省的实际情况出发，研究城市化的迅速发展对水资源的胁迫效应。最后指出，在城市化进程中，必须把生态建设，特别是水生态建设作为“可持续发展”的重点，坚持“人水相亲、自然和谐”的水生态安全理念，以水生态安全与水资源的可持续利用来保障与促进城市乃至整个国家的可持续发展。     

MULTIDIMENSIONAL DISTANCE‐TO‐COLLAPSE POINT AND SOVEREIGN DEFAULT PREDICTION

By focusing on sovereign defaults, this paper introduces a multidimensional distance‐to‐collapse point based on a two‐step procedure. The first step is nonparametric and provides an early warning system that signals a potential crisis whenever preselected leading indicators exceed specific thresholds. The second is parametric and incorporates the first‐step country default predictors within a probit specification. Such a two‐step procedure generalizes the distance‐to‐default à la Merton within a multidimensional setting, wherein we care about the distance of each indicator from its threshold. Empirical evidence about debt crises of emerging markets over the period 1975–2002 proves that our methodology predicts 80% of the total defaults and non‐defaults in and out of sample. Copyright © 2012 John Wiley & Sons, Ltd.