Stochastic flow approach to Dupire’s formula

The equivalent probabilistic formulation of Dupire’s PDE is the put-call duality equality. In local volatility models including exponential Lévy jumps, we give a direct probabilistic proof for this result based on stochastic flow arguments. This approach also enables us to check the equivalent probabilistic formulation of various generalizations of Dupire’s PDE recently obtained by Pironneau [C. R. Acad. Sci. Paris Ser. I 344(2) 127–133 (2007)] by the adjoint equation technique in the case of complex options.      

On modifications of the Bachelier model

Annals of Finance - Mathematically, stock prices described by a classical Bachelier model are sums of a Brownian motion and an absolute continuous drift. Hence, stock prices can take negative...     

A constraint-free approach to optimal reinsurance

Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment. The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed-form formulas for the optimal reinsurance are given. If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem, that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset.     

从CD到ATM

此CD非彼CD如果要问CD是什么,估计最多的答案是:光盘(ComputerDisk)。不过,本文的CD,指的却是我们很少提及的事物:CashDispenser———一台银行在早期为客户提供现金出纳服务的设备、ATM的雏形———中文名字叫“现金取款机”。     

从学习中来到工作中去——赴杭院参加小企业信贷业务培训体会

关于信贷,我是门外汉。从事县支行管理工作之后,耳闻目睹亲身经历了针对不同客户的信贷产品销售工作,全部的体会用一个字概括：“累”。累在大客户的不屑,累在上级行的严审,累在小企业无押品的无奈,累在信贷产品与地方经济无法对接的忧虑。我一直在思考,信贷的目的是什么？风险的关键点在哪里？县支行发展的路径如何走？面对大量千差万别的基层,高层在做怎样的考量？终于有了一次机会,省分行派县支行行长赴杭州金融研修学院参加小企业信贷业务培训。4月22日,带着问题,带着疑惑,带着渴求和希望,我登上了南下的列车。     

从长期信用银行到新生银行

日本长期信用银行作为一家政策性银行,在战后日本经济的发展中起了重要的作用。但是,随着时间的推移,其原有的工作模式已经不再适应变化了的经济环境。1998年,长期信用银行宣布破产,随后,被美国瑞波伍德基金投资公司收购,改名为“新生银行”,通过一系列业务改革和文化创新,新生银行实现了新生,成为日本商业银行成功的典范。     

Building a structure to support optimal revenue integrity

Intermountain Healthcare has effectively executed a strategy to improve revenue integrity comprising five parts: Building a multidisciplinary team to support revenue integrity. Developing department-specific charge capture teams. Providing ongoing education and training on best practices for charge capture and coding. Leveraging new technology and business support services. Establishing a proactive approach to managing audits and compliance.     

营改增影响

营改增试点范围的扩大,对我国相关行业发展、结构调整乃至税制改革都具有特殊意义,而在改革的推进中也不可避免会面临一些新问题、新挑战。正如中立诚集团董事长、中立信永税务师事务所主任曹丰良所说:"这是继会计电算化后又一次会计核算革命,但它对企业的影响不仅仅体现在核算层面,而是要渗透到生产经营管理层面,进而上升到对外战略层面。3个层面都要跟得上。"     

From growth to basic needs

Despite growing hostility and basic misconceptions, the concept of "basic human needs" has superseded former approaches, including concentration on growth, creation of employment, and redistribution of benefits to the poor, as the approach by which mass deprivation may be reduced. The new approach can be defined briefly as one which is designed to improve, first, the income earning opportunities for the poor; second, the public services that reach the poor; third, the flow of goods and services to meet the needs of all members of the household; and fourth, participation of the poor in the ways in which their needs are met. All four pillars must be built on a sustainable basis. In addition, basic needs must be met in a shorter period and at a lower level of earned income per capita than has generally been true in the past, or than would have been achieved via the income expansion associated with growth alone. The basic needs approach is concerned with particular goods and services directed at particular, identified human beings. Another advantage of the basic needs approach is that it is a more positive concept than the double negatives of eliminating or reducing unemployment, alleviating poverty, or reducing inequality. The basic needs approach spells out in considerable detail human needs in terms of health, food, education, water, shelter, transport, simple household goods, as well as non-material needs like participation, cultural identity, and a sense of purpose in life and work, which interact with the material needs.     

From implied to spot volatilities

This paper is concerned with the relation between spot and implied volatilities. The main result is the derivation of a new equation which gives the dynamics of the spot volatility in terms of the shape and the dynamics of the implied volatility surface. This equation is a consequence of no-arbitrage constraints on the implied volatility surface right before expiry. We first observe that the spot volatility can be recovered from the limit, as the expiry tends to zero, of at-the-money implied volatilities. Then, we derive the semimartingale decomposition of implied volatilities at any expiry and strike from the no-arbitrage condition. Finally the spot volatility dynamics is found by performing an asymptotic analysis of these dynamics as the expiry tends to zero. As a consequence of this equation, we give general formulas to compute the shape of the implied volatility surface around the at-the-money strike and for short expiries in general spot volatility models.     

A generalized approach to optimal hedging with option contracts

In this paper, we develop a theoretical model in which a firm hedges a spot position using options in the presence of both quantity (production) and basis risks. Our optimal hedge ratio is fairly general, in that the dependence structure is modeled through a copula function representing the quantiles of the hedged position, and hence any quantile risk measure can be employed. We study the sensitivity of the exercise price which minimizes the risk of the hedged portfolio to the relevant parameters, and we find that the subjective risk aversion of the firm does not play any role. The only trade-off is between the effectiveness and cost of the hedging strategy.     

从简单报销到有效控制——中远物流E报销上路

2011年3月的一个普通工作日,中国远洋物流有限公司(以下简称中远物流)的办公大楼里,员工们都在按部就班地工作,这一天看似与平常没有什么不同,一位经常出差的员工刚刚从外地回来,当他准备像往常     

From Minority Games to real markets

We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behaviour close to what is observed in real markets. In particular we find that (i) fat tails and clustered volatility arise at the phase transition point and that (ii) the crossover to random walk behaviour of prices is a finite-size effect. This, on one hand, suggests that markets operate close to criticality, where the market is marginally efficient. On the other it allows one to measure the distance from criticality of real markets, using cross-over times. The artificial market described by the MG is then studied as an ecosystem with different species of traders. This clarifies the nature of the interaction and the particular role played by the various populations.     

从创业者到创业板

2010年3月,全部58家创业板上市公司披露了2009年度业绩快报或年报.统计显示,58家公司2009年共实现营业收入179.06亿元,创造净利润33.79亿元,同比增幅分别为33.61%和47.49%. 创业板上市公司已经显示了良好的发展态势,这促使更多的创业企业向创业板的方向努力,而资本市场是他们成长的重要外部环境."在与资本市场对接的过程中,有三个重要人物:第一是董事长,他代表了决策机构,促使董事会领导企业发展;第二是CEO,他代表管理层,其工作重心倾向于业务;第三就是CFO,他是解决问题、具体执行的第一责任人."