EXACT FORMULAS FOR PRICING BONDS AND OPTIONS WHEN INTEREST RATE DIFFUSIONS CONTAIN JUMPS

I develop Heath‐Jarrow‐Morton extensions of the Vasicek and Jamshidian pure‐diffusion models, extend these models to incorporate Poisson‐Gaussian interest rate jumps, and obtain closed‐form models for valuing default‐free, zero‐coupon bonds and European call and put options on default‐free, zero‐coupon bonds in a market where interest rates can experience discontinuous information shocks. The jump‐diffusion pricing models value the instrument as the probability‐weighted average of the pure‐diffusion model prices, each conditional on a specific number of jumps occurring during the life of the instrument. I extend the models to coupon‐bearing instruments by applying Jamshidian's serial‐decomposition technique.     

INTEREST RATE HEDGING: AN EMPIRICAL TEST OF ALTERNATIVE STRATEGIES

For hedging, financial and agricultural futures contracts differ in their usefulness. This paper presents a new hedging approach uniquely appropriate to financial futures that better fits the typical hedging situation confronted by those wishing to hedge interest rate risk. The superiority of this new hedging strategy is demonstrated empirically by comparing the strategy with several other methods currently in use.     

AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY

This paper provides an ex-post analysis of a multifactor return-generating model using the factor scores obtained from a common factor analysis of industry-based portfolios. For the 1975–1980 time period, the correlations among common stock returns can be adequately explained by a three-factor model. Furthermore, ex post, at least three factors are priced in the stock market. A brief economic interpretation of the proposed common factor is also presented.     

AN EMPIRICAL TEST OF THE COMMODITY OPTION PRICING MODEL USING GINNIE MAE CALL OPTIONS

This paper tests the ability of Black's commodity option pricing model to provide prices for over-the-counter Ginnie Mae call options, which are not significantly different from actual market prices. The test is applied to a unique data set on option prices and Ginnie Mae forward contracts, furnished by a brokerage house specializing in trading government-backed securities. The model generates prices close to those actually available when trading is reasonably active.     

我国民间金融的利率分析

本文从垄断和风险等若干视角探析了我国民间金融利率稳定在较高水平的原因,并给出了民间金融利率具有内在稳定性的特殊主义解释.分析表明:民间信贷市场的贷方垄断结构以及市场的分割决定了民间金融的高利率.相对于官方正式金融的低效率,民间金融高利率与高效率相伴随.基于互助共济的特殊主义关系和对特殊路径的依赖,人们愿意接受、维持这种高利率.由于缺少产权保护,民间金融普遍而系统性地承担了较高的制度或产权风险,这种风险内在地体现在稳定的高利率当中;特殊主义使高利率更为稳定.农村中的民间金融最为典型,因此本文的分析视角主要定位于农村的民间金融.     

BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES

We extend existing pricing models and develop a bivariate binomial option pricing technique that accommodates correlated state variables. This technique offers the ability to price American-style options, thereby accommodating early exercise, despite the existence of two correlated underlying state variables. Our technique is computationally efficient and can be further generalized for multiple-state variables, albeit with an accompanying rise in computational expense.