Understanding the Implied Volatility Surface for Options on a Diversified Index

This paper describes a two-factor model for a diversified index that attempts to explain both the leverage effect and the implied volatility skews that are characteristic of index options. Our formulation is based on an analysis of the growth optimal portfolio and a corresponding random market activity time where the discounted growth optimal portfolio is expressed as a time transformed squared Bessel process of dimension four. It turns out that for this index model an equivalent risk neutral martingale measure does not exist because the corresponding Radon-Nikodym derivative process is a strict local martingale. However, a consistent pricing and hedging framework is established by using the benchmark approach. The proposed model, which includes a random initial condition for market activity, generates implied volatility surfaces for European call and put options that are typically observed in real markets. The paper also examines the price differences of binary options for the proposed model and their Black-Scholes counterparts. Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: G10, G13     

流动性充溢 紧缩政策仍将继续——宏观经济和货币政策回顾及其走势分析

2006年我国国民经济保持了较快的增长速度，央行从年初起就连续出台一系列宏观调控政箍，抑制国内过热的经济，经济增长呈现出中间高、两端略低的弓背型走势。目前，宏观调控效果已经初步得到显现，货币供应和贷款增速均出现下降，预计短期内经济运行将维持增速略有下降的态势，全年经济增长率将超过10％。近期，贷币市场方面将呈现出三个方面的特征。一是人民币汇率继续小幅上升。二是货币供应量增长压力较大。三是赁币市场利率总体保持平穗。在这种市场环境中，继续回收银行体系过剩的流动性，仍是央行货币政策调控的首要任务。2007年上半年，紧缩性货币政策仍是央行调控的主旋律，在继续加大公开市场对冲操作力度的同时，可能再次出台调整准备金政策，但短期内加息的可能性不大。     

3G能否成为手机银行发展的里程碑

2009年初,工业和信息化部向中国移动、中国电信和中国联通发放了三张第三代移动通信（3G）牌照。3G是支持高速数据传输的蜂窝移动通信技术,能同时传送声音及数据信息等,其主要特征就是可以提供高速的数据业务,如实时视频、高速多媒体和移动互联网访问等。随着3G的大力发展,手机银行这一高度依赖移动通信技术的金融服务渠道再度成为人们关注的焦点,3G能否成为手机银行发展的里程碑呢？     

从创新角度理解新的《资产评估收费管理办法》

随着国家发展改革委、财政部发布《资产评估收费管理办法》,已实施17年之久的原《资产评估收费管理暂行办法》（[1992]价费字625号）终于被废止。本文谈谈新的《资产评估收费管理办法》的主要创新与发展之处。     

In search of the liquidity effect in a modern monetary model

This paper examines the impact of a monetary policy shock in a dynamic stochastic general equilibrium model with sticky prices and financial market frictions. First, we examine the shortcomings of monetary models emphasizing these frictions individually. The model then is specified to limit the response of prices and savings to a current period monetary disturbance. Our results show that this model can account for the following key responses to an expansionary monetary policy shock: a fall in the nominal interest rate; a rise in output, consumption, and investment; and a gradual increase in the price level. Finally, a detailed sensitivity analysis shows the model's results depend on the parameters assigned to critical structural features.     

Further critical reflections on a contribution to the methodological issues debate in accounting

Laughlin's (1995) contribution to the methodological issues debate in accounting (Laughlin R. Empirical research in accounting: alternative approaches and a case for “middle-range” thinking. Accounting, Auditing & Accountability Journal 1995;8(1):53–87.) is often cited. Here, we assess and clarify the contribution, including in reflecting upon some critical reception. We initially provide an overview of Laughlin (1995), enhancing appreciation of this by relating it to prior work. We then appraise some previous critical assessments of Laughlin (1995) and take into consideration Laughlin's interaction therewith. We go on to elaborate our own critical appreciation. We conclude that Laughlin (1995) substantively provides for a number of insights that continue to be positive for the development of research into accounting and related practices. Developing our analysis, we indicate the continuing strengths of a German critical theoretical orientation in researching and developing theoretical appreciation of accounting and related practices today.     

对年终奖新纳税办法理解的质疑

对《国家税务总局关于调整个人取得全年一次性奖金等计算征收个人所得税方法问题的通知》(国税发[ 2 0 0 5 ] 9 号)中新的计算方法如何理解,在社会各界引起了广泛关注。敦吉电子物流中心(上海)有限公司财务部的万鹏飞作者针对其中的计算公式,尤其是速算扣除数的确定问题,提出的看法与建议具有启示性。     

Understanding the ideological roots of our global crises: a pre-requisite for radical change

Even though the unfolding global financial crisis has shaken the world, it has been accompanied in the background by slowly unfolding environment and development crises. While action is being taken to keep the financial crisis from getting worse, negotiations for next steps in the climate change treaty are ongoing, and efforts are being made to implement the millennium development goals to improve the lives of people globally. Herein, the author advocates the argument that the reason the solutions have not been very effective, and that the financial crises unfolded anyway, is because the roots of the crises have not been fully understood. In the absence of this understanding, the very mode of progress has ultimately worsened the problems. After a brief historical review, this paper puts forth and analyzes five major ideological root causes, and provides supporting arguments to show how these have led to a worsening situation for the long-term prospects for progress. Understanding the root causes better points to solutions and directions for progress that are for the long-term benefit of all.     

大型数据中心主机查询下移技术研究

<正>上世纪90年代,为了满足业务信息化建设需求,国内主要大型商业银行陆续采用了数据和应用大集中的管理模式,即核心应用和数据全部放在IBM大型主机上进行统一管理。随着银行业务的快速发展,集中式核心业务系统对IBM大型主机依赖性越来越强,使得IBM大型主机在银行核心系统中逐渐处于垄断地位。除了高额的软硬件成本及服务费用外,在信息安全方面,国外软硬件屡屡爆出后门,信息系统的安全问题也日益     

评惠誉“中国将爆发银行业危机”预言

据彭博社报道,国际信用评级机构惠誉(Fitch Ratings)近日声称中国在2013年中期前有60%的可能性将爆发银行业危机。该论断的主要依据是惠誉的研究证明当信贷增长连续两     

Understanding the police response to fraud: the challenges in configuring a response to a low-priority crime on the rise

ABSTRACT

Previous research has demonstrated the comparative lack of priority fraud receives from government and law enforcement in the UK compared to other serious offences, as well as shortcomings in the overall approach to investigation. This paper examines the current state of affairs in the light of changes aimed at addressing these limitations. It incorporates findings from a national survey of police forces, as well as a local survey of police personnel in three forces supplemented by interviews. The findings suggest that the situation has become more complicated. Many police officers interviewed did not feel that the police response in their own area was effective, and that their colleagues often lacked the appropriate skill sets needed. Moreover, forces were not confident they were recruiting the right people to tackle fraud. The paper has important lessons for policing internationally.     

Analytical approximations for the critical stock prices of American options: a performance comparison

Many efficient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the quadratic approximation. We compare our methods with existing analytical methods including the quadratic approximations in Barone-Adesi and Whaley (J Finance 42:301–320, 1987) and Barone-Adesi and Elliott (Stoch Anal Appl 9(2):115–131, 1991), the lower bound approximation in Broadie and Detemple (Rev Financial Stud 9:1211–1250, 1996), the tangent approximation in Bunch and Johnson (J Finance 55(5):2333–2356, 2000), the Laplace inversion method in Zhu (Int J Theor Appl Finance 9(7):1141–1177, 2006b), and the interpolation method in Li (Working paper, 2008). Both of our methods give much more accurate critical stock prices than all the existing methods above.     

Business models in the search for efficiency: the case of public financial intermediaries

This paper presents an optimal business model configuration for public financial intermediaries (PFIs). Using nonparametric techniques on Italian public financial corporations, the most efficient business models combined asset diversification and income specialization. These business models were unaffected by external financial turmoil, due to weak connections between PFIs and the traditional financial circuit; and public–private ownership is more efficient than purely public ownership, regardless of the business model adopted.     

民间金融利率本质的认识分析

关于民间金融利率本质的认识,一直是个争论不休的问题。由于专家学者研究视角的不同,得出的结果迥异。事实上如果从民间金融自身的角度来分析这个问题,关于民间金融利率水平的认识应该是一致的,它和正规金融利率的本质是相同的,利率水平也应该趋同。     

民间金融利率本质的认识分析

关于民间金融利率本质的认识,一直是个争论不休的问题。由于专家学者研究视角的不同,得出的结果迥异。事实上如果从民间金融自身的角度来分析这个问题,关于民间金融利率水平的认识应该是一致的,它和正规金融利率的本质是相同的,利率水平也应该趋同。     

Identification of critical operational performance measures— a research note on a benchmarking study in the transportation and distribution sector

In this paper the results presented are of an empirical benchmarking study investigating which operational performance measures in the transportation and distribution sector are the most important for financial performance. In the existing literature, the selection of operational performance measures is mostly derived from strategy, using interviews and discussions with management. The main contribution of this paper is to show how an application of benchmarking can identify the relative importance of different operational performance measures and to set standards for those measures.$g0     

烟台市全力推进基金管理服务专项改革创新北大核心

近年来,烟台市立足本地基础和特点,着力打造山东省区域性基金管理中心。2016年2月,《山东省区域性基金管理中心建设方案》正式获批,并作为重要区域发展战略先后纳入《山东省国民经济和社会发展第十三个五年规划纲要》《山东省金融业发展第十三个五年规划纲要》和《山东省地方金融条例》。2018年初,国务院批复的《山东新旧动能转换综合试验区建设总体方案》提出支持烟台开展基金管理服务专项改革创新。区域性基金管理中心获批以来,经过两年多的培育发展,各项工作已初见成效,截至目前,全市     

中注协将检查考核地方协会贯彻落实《中国注册会计师继续教育制度》情况

为全面提升行业人才培养工作水平,切实贯彻落实《中国注册会计师继续教育制度》,近日中注协向各地注协下发通知,将于2007年下半年对地方协会贯彻落实《制度》的情况进行检查考核。检查考核分为书面材料考核和实地检查。书面考核需要报送以下材料:地方注协结合本地区实际,制定的《制度》实施细则;地方注协2007年度的培     

解读元杂剧中的鬼魂托梦情节

元杂剧中鬼魂托梦情节出现频率较多,这种独特的艺术现象不仅使戏曲情节妙趣横生,还使作品的思想意义得到深化。总的来说,元杂剧中的鬼魂托梦情节大都是因为生前的种种情感纠葛,主要包括冤情、亲情、友情、爱情和君臣之情。