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.     

State‐Led Financial Regulation and Representations of Spatial Fixity: The Example of the Spanish Real Estate Sector

This article offers a bottom‐up contribution to the fixity–motion literature. It aims to unravel the apparent contradiction of real estate spatial fixity in Spain, which is portrayed both as a barrier to accumulation and as a unique source of investment by different capitalist actors. Empirically, it describes the shifts in real estate ownership and changes in profit‐making strategies that have taken place across the real estate sector during the crisis years, and the role of the state in these shifts. The article asserts that the idea of spatial fixity representing a spatial barrier for accumulation does not necessarily apply in the Spanish case. It further claims that the tensions in capital circulation through real estate are not only to be found in the action of time, but in different state strategies pursued by various actors. The opposing representations of fixity are the result of state regulation of interest rates, taxation and risk weighting. The state also increasingly promotes land rents as a source of liquidity creation.     

论股东代表诉讼之判决既判力主观范围的扩张

股东代表诉讼判决既判力主观范围的扩张，包括向公司与其他股东二者的扩张。长期以来原告股东与公司的关系存在诉讼代理与诉讼担当之争，综合立法现状、制度渊源与改革成本等因素的考量，原告股东与公司的关系应定性为法定诉讼担当，从而为判决既判力向公司扩张提供正当理论支撑。但受制于股东代表诉讼前置程序形骸化，对原告股东起诉的正当性审查无从实现，公司与其他股东对于诉讼的获悉存在信息壁垒，由此应当通过诉讼告知程序为公司或其他股东作为有独立请求权第三人进入诉讼开辟通路。同时借由不起诉理由书与统一案件受理费等程序构建，作为其他股东进入诉讼的激励机制，进而为既判力的扩张提供有理性基础。     

IPO first‐day returns: Skewness preference,investor sentiment and uncertainty underlying factors

In this paper, we investigate the initial public offering (IPO) first-day returns. Our focus is to examine the irrational component of the agent behavior towards IPO lotteries. Based on 234 French IPOs performed between 2002 and 2012, we find that IPOs with high initial returns have higher idiosyncratic skewness, turnover and momentum. This finding provides empirical evidence for investors' preference for stocks with lottery-like features and investor sentiment. In addition, we show that the skewness preference and the investor sentiment effect are stronger during periods of favorable market conditions. Our results are robust to the integration of uncertainty underlying factors.     

制度创新与广交会发展研究

广交会自1957年建成以来在各级领导关心下已经历了45年的发展壮大,取得了丰硕的成果,在国内外享有盛名。然而,由于其本身还存在不少缺陷,加之受到国内外展览业的强劲挑战,迫切要求加快广交会的改革。利用新制度经济学的基本原理,对广交会的内外环境作了详尽分析,认为广交会要保持领先地位,必须加强制度创新。     

信用担保合约的定价

随着信用担保行业的不断发展,作为高风险行业,对其担保合约的科学定价以覆盖其担保失败的损失,显得极为重要。利用信用担保合约与信用违约互换的支付函数的同构性,构建适当的信用违约互换合约及模拟信用担保公司的信用担保合约,以信用违约互换的定价方式为信用担保公司的信用担保合同进行定价,更能体现出定价模型对担保合约定价的客观性、科学性和准确性。     

发展外汇衍生类产品业务问题的思考

大力发展外汇衍生类产品业务是我国商业银行和涉外企业的战略选择。外汇衍生类产品业务在我国仍处于发展的初级阶段，存在着很多亟待解决的问题，只有采取加快人才培养、加大监管力度、完善金融市场等措施，才能实现快速发展。     

论股东派生诉讼与集团诉讼的结合

股东派生诉讼制度与集团诉讼制度有密切的联系。我国在建构股东派生诉讼制度的过程中应注意其与集团诉讼制度的结合。在股东派生诉讼中,原告股东应有广泛的代表性;公司和法院对于原告的起诉应当发布公告;公司原告的撤诉与和解应保障其他股东的知情权;派生诉讼的判决和法院批准的和解协议对全体股东均有约束力。     

电感耦合等离子体发射光谱法测定蜂蜜中7种矿物元素的含量

为了快速直接测定蜂蜜中多种矿物元素的含量,采用电感耦合等离子体发射光谱(ICP-AES)法建立了同时测定蜂蜜中钙、钾、镁、钠、锌、铁、铜7种矿物元素含量的方法,考察了方法的标准曲线线性关系、检出限、精密度和准确度,讨论了前处理方法、不同产地以及蜜源植物种类对各元素含量的影响。结果表明:线性相关系数达到0.999 9以上,方法检出限为0.003～0.030 mg/L,相对标准偏差低于2%,回收率为88.66%～105.31%;不同产地的洋槐蜜中,河北洋槐蜜的钙、钾含量明显高于其他地区,广西洋槐蜜的钠、铁含量最高;不同蜜源植物的蜂蜜中,河北枣花蜜的铁含量最高,野生蜜中各种矿物元素都较为丰富。电感耦合等离子体发射光谱法可以快速、同时测定蜂蜜中多种矿物元素含量,方法简便易行,结果准确可靠,可为蜂蜜品质鉴定以及人们对蜂蜜的合理选择提供参考。     

一种基于自适应相似矩阵的谱聚类算法

为了消除在构建谱聚类算法的相似矩阵时,高斯核函数中尺度参数的波动影响,构建了一种自适应相似矩阵,并应用到谱聚类算法中。自适应相似矩阵中数据点间的距离度量采用测地距离算法,相距较近的两点间的距离近似于欧氏距离,相距较远的两点则先根据欧氏距离得到每个数据点的k个近邻点,然后累加近邻点的测地距离,由此得到每对数据点间的最短距离。两点间的局部密度用共享近邻的定义来表示,更好地刻画了数据集的本征结构。在5个人工数据集和国际通用UCI数据库中的5个真实数据集上进行实验。实验结果表明,所提算法的聚类准确率高于对比算法的准确率,对复杂分布数据有很强的自适应能力。研究成果为数据挖掘及机器学习提供了思路和方法。