Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic while the Y-hedge is static. Using the indifference pricing approach, we derive a Hamilton–Jacobi–Bellman equation for the value function. We solve this equation analytically (in quadrature) using an asymptotic expansion around the limit of perfect correlation between assets Y and Z. While in this paper we apply our framework to an incomplete market version of Merton’s credit-equity model, the same approach can be used for other asset classes (equity, commodity, FX, etc.), e.g. for pricing and hedging options with illiquid strikes or illiquid exotic options.     

青蒿素的研究思路与启示

青蒿素是我国科研工作者首次从青蒿中分离鉴定得出的具有高效低毒的抗疟特效药,其产生发展及在治疗疟疾方面的出色表现对我国中药事业具有深远的影响,本文对青蒿素的研究思路进行了综述,研究探讨了青蒿素未来发展方向及新药开发的启示。     

衍生金融工具的演变对公司法股东至上原则的影响及修正

传统公司法以股东至上为基本原则,并以此为轴心进行系列制度安排.衍生金融工具的应用,使股票与债券等原生金融工具蕴涵的收益与风险要素得以重新打包组合,满足投资者个性化需求.但是附着原生金融工具上的法律的权利与义务却未能完全对应地转移,使得股权与债权的界线逐渐模糊,形成公司法对除股东以外的其他类型投资者保护的缺口.公司法应该对这些新型的交易关系进行确认,对股东至上原则进行修正,调整保护对象和范围,容纳更多的与公司发展攸关的利益主体的利益诉求.     

我国上市公司金融衍生产品交易风险及其监管

论文首先分析了金融衍生产品交易的特点,指出其蕴含巨大潜在风险。然后对上市公司金融衍生产品的会计计量监管、信息披露监管以及法律制度监管三个方面进行分析,加强对金融衍生产品风险进行控制。最后针对美国金融危机以及中国部分上市公司参与金融衍生产品交易的惨痛教训,提出我国应该大力发展国际一流的信用评级机构,大力发展国际一流的金融衍生产品交易市场。     

Machine learning for quantitative finance: fast derivative pricing,hedging and fitting

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive at speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process regression. The price we have to pay for this extra speed is some loss of accuracy. However, we show that this reduced accuracy is often well within reasonable limits and hence very acceptable from a practical point of view. The concrete examples concern fitting and estimation. In the fitting context, we fit sophisticated Greek profiles and summarize implied volatility surfaces. In the estimation context, we reduce computation times for the calculation of vanilla option values under advanced models, the pricing of American options and the pricing of exotic options under models beyond the Black–Scholes setting.     

衍生品合约失败案例研究及其启示

开发新衍生品合约需要耗费大量资源,且并不是每一个新合约都会成功。本文对全球部分失败衍生品合约分析发现,现货保值需求不足、交易成本过高、合约规模太大以及交割规则不合理等因素,都可能导致合约交易量偏低甚至退市。文章最后还分析了沪深300指数可能影响交易量的潜伏缺陷。     

结构性金融衍生产品之探讨

结构性金融衍生产品是把固定收益金融产品和金融衍生品进行组合设计出的一种新型金融产品,种类繁多、结构多样。在美洲、欧洲和亚洲都有非常大的市场规模和繁多的产品种类。结构性金融衍生产品增加了资本市场的完备性、深化了市场的风险配置功能、增强了资本的流动性以及提高了金融衍生市场的信用水平。在我国结构性金融衍生产品首先以外币结构性存款的形式出现,自2003年以来得到快速发展。借鉴国际经验,应在鼓励结构性衍生产品发展的同时,着重加速金融衍生品交易所市场的发展。     

谈新会计准则下衍生金融工具的风险防范

衍生金融工具所具有的杠杆性、派生性、不确定性使其在管理风险的同时，可能又会引发一些风险．企业可以采取健全内部风险管理体系、借助会计信息系统及针对具体风险进行管理等方式对其可能带来的风险进行有效防范。     

Modelling spikes and pricing swing options in electricity markets

Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein–Uhlenbeck and an independent mean-reverting pure jump process. We derive the moment generating function as well as various approximations to the probability density function of the logarithm of the spot price process at maturity T. Hence we are able to calibrate the model to the observed forward curve and present semi-analytic formulae for premia of path-independent options as well as approximations to call and put options on forward contracts with and without a delivery period. In order to price path-dependent options with multiple exercise rights like swing contracts a grid method is utilized which in turn uses approximations to the conditional density of the spot process.