Pseudospectral methods for pricing options

Models with two or more risk sources have been widely applied in option pricing in order to capture volatility smiles and skews. However, the computational cost of implementing these models can be large—especially for American-style options. This paper illustrates how numerical techniques called ‘pseudospectral’ methods can be used to solve the partial differential and partial integro-differential equations that apply to these multifactor models. The method offers significant advantages over finite-difference and Monte Carlo simulation schemes in terms of accuracy and computational cost.     

The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan

Adopting the quantile regression model, this paper describes the positive relation between relative order imbalance and intraday futures returns. The positive connection is relatively stronger for lower quantiles of intraday futures returns than for higher quantiles. However, the connection vanishes within 30 minutes. The results reflect the compensation of the uncertainty and the absence of liquidity for relatively lower returns in the Taiwan futures market. Furthermore, this paper finds evidence supporting an L-shaped pattern for intraday futures returns.     

制造业出口贸易就业效应及其门限特征——以江苏为例

利用面板数据模型分析江苏制造业内各细分行业出口贸易对行业内就业的影响,并得出15个细分行业的出口贸易对相应行业内就业存在着显著正向刺激效应,并且不同行业的出口贸易就业效应存在着一定的差异性。利用门限回归模型验证发现江苏制造业出口贸易就业效应在企业单位数、资产、利润总额、企业亏损面、出口依存度这五个行业指标上存在着门限效应。最后,根据结论对江苏就业提出了一些政策建议。     

大宗交易对股票价格的影响因素分析

笔者以深圳证券交易所2012年大宗流通股交易记录为基础,从中选取日交易量在1000万股以上的股票,并以占总盘比不限、1％以下、1％以上为条件将大宗交易数据做统计分析,运用Eviews软件通过构建模型,对股票涨跌幅度的影响因素进行多元线性回归分析,结果表明折／溢价率及占总盘比对股票涨跌幅度有明显的正相关关系,以期这一结果为我国金融市场的发展提供有价值的参考,同时也为大宗交易的发展道路提供一定的借鉴。     

Market Research for the Optimization of the Consumers Response to the Recent Award of a Protected Geographical Indication to a Local Product,Beans from “La Bañeza-León” (Spain)

Abstract

In Europe several low involvement food products with reduced productions have been awarded with a PGI or PDO during the last few years. The beans from La Bañeza-León (Spain) are an example of this and received a PGI in September 2005. The general objective was to appraise the effect that the award of the PGI to such kinds of food products has in consumers, in order to optimize the managerial and public policies, and to get maximum advantage from the PGI distinction in the commercialization of them. For low involvement products with PGI, the general guidelines should be to keep the prices as low as possible, to develop intensive public information campaigns about the award of the PGI, and to offer the product in medium or high involvement restaurants, in order to reach those consumers willing to pay more for the product, that are mainly in the age range of 36 to 45 years. It is also discussed that the PGI label would have more interest than a private brand. Specifically for beans from “La Bañeza-León,” the PGI Council should urgently tackle a promotional campaign about the product and the PGI award that should reach to most of the consumers in the target markets, taking into account that as the distance from the production area increases the knowledge of the product decreases. This campaign should help the consumer to clearly identify the beans from the PGI by using an attractive logo, and to inform them that the beans from the PGI are superior than substitutive beans in taste and cooking time. Finally, public campaigns that promote the consumption of beans among youth would be necessary.     

渤海湾海岸带土地利用变化的社会经济关联因子分析

渤海湾海岸带土地利用在过去20年间经历了巨大变化,与区域社会经济发展关系密切。针对渤海湾海岸带1989~2008年土地利用变化,使用主成份-多元回归分析法、灰色关联度分别对其时间变化和空间分异与社会经济因子的联系进行分析。结果证明城市化、工业化与居民点及工矿用地、交通用地、咸水水体存在相互促进作用;而农业发展滞后和经济结构不合理等因素与耕地和未利用地的减少密切相关;主成份分析法和多元回归相结合能更好地解释土地利用变化与社会经济的宏观联系,灰色关联法能揭示它们之间的具体关联。     

退耕农户劳动力流动类型选择的影响因素分析

文章根据时间特征对退耕农户劳动力的流动类型进行分类,涉及志丹县6镇5乡的农村家庭人口1207个样本,运用多项分类Logistic回归模型,得出农村劳动力选择流动类型与其影响因素的定量关系。结果显示,个人特征、家庭特征与退耕还林补贴在家庭总收入中所占比重的差异性显著影响着退耕农户劳动力参与流动的类型。基于分析结果,文章提出后退耕还林时代,退耕地区应当适时调整退耕还林补贴政策,根据劳动力参与流动的不同类型制定促进当地城镇化进程的相关政策。     

碱性蛋白酶提取杜仲籽粕蛋白的工艺优化

采用二次通用旋转组合设计实验优化超声波辅助碱性蛋白酶提取杜仲籽粕蛋白工艺。在单因素实验基础上,选择pH值、碱性蛋白酶用量、酶解温度与酶解时间为考察因素,以杜仲籽粕蛋白提取率为响应值建立回归数学模型,对杜仲籽粕蛋白提取工艺条件进行优化。结果表明,最佳提取工艺条件为：pH10,碱性蛋白酶用量320u／g,酶解温度55℃,酶解时间115rain。在此优化条件下,杜仲籽粕蛋白提取率可迭74．28％。     

农户农地流转意愿影响因素的探讨——基于成都市实地调查及主成分改进Logistic回归分析

分析表明,影响农地流转意愿最大的三个因子依次为:非农工作所在地,非农工作人数比例以及农业人均年经营收入。结合成都统筹城乡改革的经验,本文建议采用规划民营工业园区、提高农业经营收入等方式,来促进农地的流转和整合,提高农民可支配收入,实现资源和收入的有效配置。