Epistemic logics and their game theoretic applications: Introduction

Summary. This paper is written as an introduction to epistemic logics and their game theoretic applications. It starts with both semantics and syntax of classical logic, and goes to the Hilbert-style proof-theory and Kripke-style model theory of epistemic logics. In these theories, we discuss individual decision making in some simple game examples. In particular, we will discuss the distinction between beliefs and knowledge, and how false beliefs play roles in game theoretic decision making. Finally, we discuss extensions of epistemic logics to incorporate common knowledge. In the extension, we discuss also false beliefs on common knowledge. Received: July 1, 2000; revised version: April 19, 2001     

蒙特卡罗模拟方法在实物期权定价中的应用

在引进布莱克-斯科尔公式进行实物期权定价的基础上,考虑了因素的不确定性对实物期权定价的影响。为了消除这些影响,采用概率分布法处理不确定性因素。先直接利用随机数考虑离散情况下的期权定价,再使用蒙特卡罗模拟方法进行反复计算,减少误差,这样得到的结果更加稳定且贴近实际,从而有利于做出更精确的决策。     

Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium

Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing the right to emit one tone of carbon dioxide (CO₂). We examine the spot EUA returns in BlueNext that exhibit jumps and a volatility clustering feature. We propose a regime-switching jump diffusion model (RSJM) with a hidden Markov chain to capture not only a volatility clustering feature, but also the dynamics of the spot EUA returns that are influenced by change in the CO₂ emission economic conditions. In addition, the switching jump intensities of the RSJM are shown to be affected by change in the carbon-market macroeconomic environment. We further derive the theoretical futures-option prices with a constant convenience yield under the RSJM via the generalized Esscher transform where regime-switching risk is priced with a risk premium. The empirical study shows that the derived futures-option pricing model under the RSJM with regime-switching risk is a more complete model than a jump diffusion model for pricing CO₂ options.     

Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

We empirically compare Libor and Swap Market Models for the pricing of interest rate derivatives, using panel data on prices of US caplets and swaptions. A Libor Market Model can directly be calibrated to observed prices of caplets, whereas a Swap Market Model is calibrated to a certain set of swaption prices. For both models we analyze how well they price caplets and swaptions that were not used for calibration. We show that the Libor Market Model in general leads to better prediction of derivative prices that were not used for calibration than the Swap Market Model. Also, we find that Market Models with a declining volatility function give much better pricing results than a specification with a constant volatility function. Finally, we find that models that are chosen to exactly match certain derivative prices are overfitted; more parsimonious models lead to better predictions for derivative prices that were not used for calibration.     

静电场能量公式的另一种推导

本文运用电势能公式和带电导体的一些性质,推导出了静电场的能量公式,从而进一步证明了静电场能量公式的一般性。     

A Benchmark Approach to Portfolio Optimization under Partial Information

This paper proposes a filtering methodology for portfolio optimization when some factors of the underlying model are only partially observed. The level of information is given by the observed quantities that are here supposed to be the primary securities and empirical log-price covariations. For a given level of information we determine the growth optimal portfolio, identify locally optimal portfolios that are located on a corresponding Markowitz efficient frontier and present an approach for expected utility maximization. We also present an expected utility indifference pricing approach under partial information for the pricing of nonreplicable contracts. This results in a real world pricing formula under partial information that turns out to be independent of the subjective utility of the investor and for which an equivalent risk neutral probability measure need not exist.      

On the Validity of the Wiener Process Assumption in Option Pricing Models: Contradictory Evidence from Taiwan

This study tests the validity of the critical assumption underlying the option pricing model that the log form of the stock price movements follows the Wiener process, i.e., stock price movements follow a geometric Brownian motion. Using data compiled from the Taiwan Stock Exchange (TSE), this study's major empirical findings are as follows: first, the null hypothesis that the log of the stock prices is normally distributed is rejected; second, the null hypothesis that the stock price in log form has mean [ln P _s + (µ- ²)_t] and variance t is rejected; third, the null hypothesis that successive non-overlapping increments of the log of the stock price are independent from each other is also rejected. These empirical findings undermine the validity of the Wiener process assumption which is fundamental to many option pricing models.     

对随机性复合标底法投标报价策略的研究

基于博弈论中的混合战略纳什均衡,采用概率理论和数值分析理论研究随机性复合标底法中最优投标报价,利用二次多项式等效非线性函数,给出连续型随机性复合标底法下最优报价的解析计算式,对于离散型随机性复合标底法可采用连续型等效,也可采用枚举法结合Matlab编程求解,通过工程实际竞标案例,验证该理论具有极好的工程实际应用价值。     

An investigation into the perceptions of Chinese consumers towards the country‐of‐origin of dairy products

The dairy incident in 2008 influenced Chinese residents’ attitudes towards domestic and foreign brands in the market. This paper highlights the strong consumer perceptions existing in the Chinese dairy market towards the country of origin of dairy products. Chinese residents generally believe dairy products from foreign countries are superior than those from China. A new theoretical framework is developed to explore the driving factors of country‐of‐effects and its corresponding impacts. Consumers’ image of different countries and national stereotypes, consumer ethnocentrism and animosity, product familiarity and experience, product involvement and some cultural value differences were found to drive country‐of‐origin effects. These effects directly impact on consumer's perceived quality, brand awareness, brand association and loyalty towards the related goods in the market, then influence the brand equity of products from different countries. This study provides a better understanding of country‐of‐origin effects on consumer behaviour, and will help relevant domestic and foreign firms improve their business strategies in China.     

支付方式选择倾向对传统金融影响的预测分析

随着互联网的快速发展,互联网已经融入传统金融,它改变着传统金融的支付方式,并形成了多种多样的支付方法。研究人们在购物中对移动支付的选择倾向成为金融业的一个重要内容。通过调查购物中对移动支付的选择倾向获得样本数据,利用结构方程实证研究线下购物中人们在传统移动支付方式和依托第三方支付平台的新兴移动支付方式之间的选择,并进一步探索影响这两种选择的因素。研究发现,线下零售消费过程中移动支付方式的心理选择受到消费者的个性特征、系统因素,以及社会因素通过感知收益和感知风险的间接影响,而感知收益和感知风险在影响移动支付方式的选择过程中又受到支付经历和使用经验的调节。