Error analysis of finite difference and Markov chain approximations for option pricing

Mijatovi? and Pistorius proposed an efficient Markov chain approximation method for pricing European and barrier options in general one‐dimensional Markovian models. However, sharp convergence rates of this method for realistic financial payoffs, which are nonsmooth, are rarely available. In this paper, we solve this problem for general one‐dimensional diffusion models, which play a fundamental role in financial applications. For such models, the Markov chain approximation method is equivalent to the method of lines using the central difference. Our analysis is based on the spectral representation of the exact solution and the approximate solution. By establishing the convergence rate for the eigenvalues and the eigenfunctions, we obtain sharp convergence rates for the transition density and the price of options with nonsmooth payoffs. In particular, we show that for call‐/put‐type payoffs, convergence is second order, while for digital‐type payoffs, convergence is generally only first order. Furthermore, we provide theoretical justification for two well‐known smoothing techniques that can restore second‐order convergence for digital‐type payoffs and explain oscillations observed in the convergence for options with nonsmooth payoffs. As an extension, we also establish sharp convergence rates for European options for a rich class of Markovian jump models constructed from diffusions via subordination. The theoretical estimates are confirmed using numerical examples.     

跳频信号的归一化多普勒频差最大似然估计

针对双站定位涉及的跳频信号多普勒频差估计问题，提出了归一化的频差最大似然估计算法，利用两个定位站接收到的跳频脉冲串信号，构建一个关于基准跳频频率多普勒频差的似然函数，通过网格搜索得到使似然函数最大的多普勒频差估计，既解决了跳频信号在不同跳频频率上多普勒频差不一致的问题，又充分利用在不同频率的脉冲串信号提高了多普勒频差估计精度。通过仿真对算法的性能进行了评估，结果表明，与基于子空间的算法比较，在脉冲数达到240个时，所提算法执行效率提升30%以上。     

Is there a diversification “cost” of Shari’ah compliance? Empirical evidence from Malaysian equities

Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.     

基于县统筹财政分权视角下的地方义务教育公平研究 ——来自山东省的实例

由于基层政府长期存在财力事权上的不均衡,我国基层地区义务教育供给存在着差距。2001年的"以县为主"的县统筹财政制度开始实行,义务教育的负责主体变成了县级政府。借助2002年到2016年的山东省县级数据,运用泰尔指数作为分析工具,结合此期间山东省出台的教育改革措施,分析其对于缩小义务教育差异的影响。研究发现,政策制度仅仅改善了中等收入县级地区之间的差距,对于高收入和低收入地区并没有太好的效果,就目标而言,由于县级各地区上经济实力和义务教育规模的固有差距,导致无法取得理想中的效果。     

Revisiting global economic activity and crude oil prices: A wavelet analysis

Based on the wavelet analysis approach, this paper firstly examines the dynamic relationship between global economic activity (proxied by the Kilian economic index) and crude oil prices in both time- and frequency-domains. Our empirical results demonstrate significant correlation between crude oil prices and global economic activity at high frequencies (in the short run) during the entire sample period; however, the co-movement between the two at low frequencies (in the long run) is weaker and exists only during certain proportions of the sample period. We also document evidence that global economic activity and oil price are positively correlated, with dynamic lead-lag relationships across time. Our findings are robust to alternative choices of oil price indexes and controlling for other confounding factors such as geopolitical risk, armed conflicts, economic policy uncertainty and equity market uncertainty. The current study provides valuable implications for oil market investors based on the information of global economic situation and its dynamic relationships with oil prices.     

Chair-CEO generation gap and bank risk-taking

Poor bank governance has disastrous consequences for economies as the 2007–2009 financial crisis has shown. In the aftermath, board diversity is identified as an effective mechanism to enhance bank governance. Diversity, creating cognitive conflict between board members, is expected to enhance board's independence of thought to better perform monitoring and advising functions. Age is a key demographic measure and age dissimilarity between the chair and the CEO in non-financial firms leads to better economic outcomes (Goergen, Limbach, & Scholz, 2015). In this paper, we examine whether chair-CEO age dissimilarity can mitigate banks' excessive risk-taking behaviour. Using a unique sample of 100 listed banks in Europe between 2005 and 2014, we find that age difference between the chair and the CEO reduces bank risk-taking. A chair-CEO generational gap –defined as a minimum of 20 years' age difference– has a larger impact in reducing risk-taking.     

“We are all so different that it is just … normal.” Normalization practices in an academic hospital in the Netherlands

Internationally, academic hospitals are giving increasing attention to diversity management. This paper sheds light on the actual praxis of cultural diversity management by professionals in workplace interactions. An ethnographic study in a Dutch academic hospital showed that normalization practices were obscuring diversity issues and obstructing inclusion of cultural minority professionals. The normalization of professionalism-as-neutral and equality-as-sameness informed the unequal distribution of privilege and disadvantage among professionals and left no room to question this distribution. Majority and minority professionals disciplined themselves and each other in (re)producing an ideal worker norm, essentialized difference and sameness, and explained away the structural hierarchy involved. To create space for cultural diversity in healthcare organizations in the Netherlands and beyond, we need to challenge normalization practices.     

Optimal investment with vintage capital: Equilibrium distributions

The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with vintage capital, namely, systems where all key variables (capitals, investments, prices) are indexed not only by time but also by age. Capital accumulation is hence described as a partial differential equation (briefly, PDE), and equilibrium points are in fact equilibrium distributions in the variable of ages. A general method is developed to compute and study equilibrium points of a wide range of infinite dimensional, infinite horizon, optimal control problems. We apply the method to optimal investment with vintage capital, for a variety of data, deriving existence and uniqueness of equilibrium distribution, as well as analytic formulas for optimal controls and trajectories in the long run. The examples suggest that the same method can be applied to other economic problems displaying heterogeneity. This shows how effective the theoretical machinery of optimal control in infinite dimension is in computing explicitly equilibrium distributions. To this extent, the results of this work constitute a first crucial step towards a thorough understanding of the behavior of optimal paths in the long run.     

江苏省农田保护经济补偿政策绩效评价与空间差异研究

［目的］分析评价江苏省现有农田保护经济补偿政策绩效与空间差异对建立完善长效的农业生态补偿机制和推动我国农业生态环境的可持续发展具有重要意义。［方法］以江苏省为研究区域，运用熵权-TOPSIS法，选取2010—2017年全省及苏北、苏中、苏南三个区域内11个指标，计算江苏省及三大区域农田保护经济补偿政策综合绩效值与经济、生态和社会效益单项绩效值，进行比较分析。［结果］（1）江苏省农田保护经济补偿政策在2010—2017年8年综合绩效值由0189波动增长到0841，效果初现且具有较强推广价值。（2）经济效益绩效值以年均257%的增长率由0增长到1，效果最为显著，社会效益次之，生态效益自2013年后为绩效值中最低值，与前两项最大差距在05左右，反映出环境改善、农田质量提高效应远低于农户创收、社会公平效应，政策拟合度不高。（3）江苏省农田保护经济补偿政策效果存在空间差异，综合来看政策效果表现为苏南>苏中>苏北，苏南凭借经济优势在2016年和2017年的综合绩效值上比苏中苏北高出01、在经济与社会绩效值以002的差距领先且生态绩效值没有下降拐点，具有长效可持续性。［结论］现阶段农田保护经济补偿政策效果依赖地方政府经济实力，尚未形成良性长效机制，需从制度体系、环境经济手段、差别化补偿措施、农业补贴结构和宣传等5方面着手，推进农田保护经济补偿政策更好地服务生态环境。     

A train of thought in product experientiality: Working memory,distraction, and inconsistencies in cue order effects

The sequence of informational cues and the level of distraction have an impact on the judgment of a product’s quality and preference. Two quasi-experimental studies (N_total = 340) investigate the influence of the force behind the processing of these cues – working memory (WM). Previous research found that, in the presence of a distractor, high WM individuals are more able to recall the initial cue, and thus derive their product judgment from the initial strong cue. Study 1 contradicts these findings and raises important methodological questions regarding the conceptualization of strong and weak cues. Specifically, commonly accepted strong cues (e.g., product reputation) might not influence consumers as expected. Additionally, in a sequence of product evaluation with high vs. low degree of experientiality, study 2 reveals that consumers tend to show a primacy effect that is stronger for higher levels of WM capacity. Moreover, in a sequence of assessing low vs. high degree of experientiality products, consumers reveal stronger recency effects, thus showing that WM reinforces this recency effect. Our findings have important implications for marketers by suggesting that consumers with high WMC are more able to process complex stimuli and retrieve previously presented information on a product quality. These consumers also have a higher tendency to retrieve more information from product scenarios with a high degree of experientiality.