Implied Binomial Trees

This article develops a new method for inferring risk-neutral probabilities (or state-contingent prices) from the simultaneously observed prices of European options. These probabilities are then used to infer a unique fully specified recombining binomial tree that is consistent with these probabilities (and, hence, consistent with all the observed option prices). A simple backwards recursive procedure solves for the entire tree. From the standpoint of the standard binomial option pricing model, which implies a limiting risk-neutral lognormal distribution for the underlying asset, the approach here provides the natural (and probably the simplest) way to generalize to arbitrary ending risk-neutral probability distributions.     

Mortgage Default: Classification Trees Analysis

We apply the powerful, flexible, and computationally efficient nonparametric Classification and Regression Trees (CART) algorithm to analyze real estate mortgage data. CART is particularly appropriate for our data set because of its strengths in dealing with large data sets, high dimensionality, mixed data types, missing data, different relationships between variables in different parts of the measurement space, and outliers. Moreover, CART is intuitive and easy to interpret and implement. We discuss the pros and cons of CART in relation to traditional methods such as linear logistic regression, nonparametric additive logistic regression, discriminant analysis, partial least squares classification, and neural networks, with particular emphasis on real estate. We use CART to produce the first academic study of Israeli mortgage default data. We find that borrowers features, rather than mortgage contract features, are the strongest predictors of default if accepting icbadli borrowers is more costly than rejecting good ones. If the costs are equal, mortgage features are used as well. The higher (lower) the ratio of misclassification costs of bad risks versus good ones, the lower (higher) are the resulting misclassification rates of bad risks and the higher (lower) are the misclassification rates of good ones. This is consistent with real-world rejection of good risks in an attempt to avoid bad ones.     

谈果树补偿价值的评估

为使农村土地拆迁评估中涉及的果树补偿更加合理,本文认为,应当在合理确定各项评估指标基础上,根据果树不同生长年限,分析各自的成本费用和预期收益,采用不同的评估方法和程序,并应注意有关的事项.     

古树名木损失补偿价值评估探讨

本文阐述了古树名木的特性及其损失补偿价值评估的两种适用的方法,提出了古树名木价值评估应注意的几个问题.     

基于分类回归树算法的上市公司会计信息失真识别研究

利用26个财务变量建立分类回归树模型对会计信息失真进行识别研究,结果表明所建模型对会计信息失真企业的正确识别率达到80%以上,能将第二类错误率控制在20%以下.实证还发现留存收益在总资产中的比率小于2%的公司很容易出现会计信息失真,最后作者利用8年数据对该结果进行检验,表明其识别能力非常出色.     

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

In this paper we propose a computationally efficient implementation of general one factor short rate models with a trinomial tree. We improve the Hull–Whites procedure to calibrate the tree to bond prices by circumventing the forward rate induction and numerical root search algorithms. Our calibration procedure is based on forward measure changes and is as general as the Hull–White procedure, but it offers a more efficient and flexible method of constructing a trinomial term structure model. It can be easily implemented and calibrated to both prices and volatilities. JEL classification G13, C6     

一板两制与一制两板

中小企业板块与主板的关系从形式上表现为“一板两制”,但究其实质,在中小企业板块设立初期表现为“一制两板”。     

时下杂文两篇

别把《弟子规》误读成儒家经典一直听闻《弟子规》在民间很有市场,不仅读儒的人会读,一些人把它视为经典,甚至还有企业把它当做培训教材。我想,《弟子规》之所以大受欢迎,是因为它的简明易行。顾名思义,《弟子     

Double Two*

Double Two is a privately owned clothing manufacturer based in the United Kingdom. The case portrays the historical development of the company, with specific emphasis on the last 20 years. The case outlines the structural and strategic management accounting issues confronting the company particularly over the last 20 years. Students are exposed to issues associated with balanced scorecard construction and implementation and the use of return on investment to measure divisional performance.     

两个倒霉蛋

<商业周刊>近期评选出2002年度全球15位最佳经理人和10位最差经理人.安然事件所揭示的投资银行和关联公司分析员的内部交易问题使得银行业经理们的身影出现于最差经理人名单中.     

两个小时的等候

此时已是晚上七点,距下班时间已经整整过去了两个小时。工行浙江省开化支行的营业大厅依然灯火通明,在寒冷的冬夜里给过往的行人带去了阵阵暖意,可是客户经理小叶那颗悬着的心始终不能放下,时不时的向门口探望,期待那熟悉身影的出现。     

“记忆”的随笔

记忆是基于个人的生命体验 生物学意义的记忆,注重生理方面的微观解剖;而哲学所关注的记忆往往又侧重于纯粹抽象的理性概括.     

Two Axes-Two Strips-Multiple Centers

"Two Axes" mean the crisscross axes composed by Beijing's traditional Middle Axis and Chang An Street, which is the backbone of Beijing City. Primarily give prominence to the functions of political, cultural and the Capital's economic development, and build "Eastern Development Strip" and "Western Ecological Strip" in the peripheral areas.     

Two counters of jumps

This paper introduces a class of two counters of jumps option pricing models. The stock price follows a jump-diffusion process with price jumps up and price jumps down, where each type of jumps can have different means and standard deviations. Price jumps can be negatively autocorrelated as it has been observed in practice. We investigate the volatility surfaces generated by this class of two counters of jumps option pricing models. Our formulae, like the jump-diffusion models with a single counter of jumps, are able to generate smiles, and skews   with similar shapes to those observed in the options markets. More importantly, unlike the jump-diffusion models with a single counter of jumps, our formulae are able to generate term structures of implied volatilities of at-the-money options with ∩$\cap$-shaped patterns similar to those observed in the marketplace.     

Examining the Information Content of Residuals from Hedonic and Spatial Models Using Trees and Forests

The Journal of Real Estate Finance and Economics - Machine learning algorithms such as neural nets, support vector machines, and tree-based techniques (classification and regression trees) have...     

Decision Trees Versus Decision Tables for Audit Test Data Design: An Experimental Study*

Use of test data is an important evidence collection method that auditors can employ to evaluate the authenticity, accuracy, and completeness of program processing. Nevertheless, test data design is a time-consuming and error-prone process. To facilitate design, two approaches advocated are the decision-tree approach and the decision-table approach. An experiment conducted to examine the quality of test data designs produced using both approaches showed some support for the superiority of the decision-table approach over the decision-tree approach. Insofar as the results obtained are problematical, however, the research needs to be replicated and extended.