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...     

Entropy martingale optimal transport and nonlinear pricing–hedging duality

The objective of this paper is to develop a duality between a novel entropy martingale optimal transport (EMOT) problem and an associated optimisation problem. In EMOT, we follow the approach taken in the entropy optimal transport (EOT) problem developed in Liero et al. (Invent. Math. 211:969–1117, 2018), but we add the constraint, typical of martingale optimal transport (MOT) theory, that the infimum of the cost functional is taken over martingale probability measures. In the associated problem, the objective functional, related via Fenchel conjugacy to the entropic term in EMOT, is no longer linear as in (martingale) optimal transport. This leads to a novel optimisation problem which also has a clear financial interpretation as a nonlinear subhedging problem. Our theory allows us to establish a nonlinear robust pricing–hedging duality which also covers a wide range of known robust results. We also focus on Wasserstein-induced penalisations and study how the duality is affected by variations in the penalty terms, with a special focus on the convergence of EMOT to the extreme case of MOT.

     

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。     

Simple versus optimal rules as guides to policy

This paper compares the performance of different policy rules. Our comparisons focus on simple feedback rules versus rules which are optimal, given knowledge of the correct economic structure and the appropriate loss function for the policymaker. First, we compare rule performance when the correct model is not known. Second, we compare rule performance with respect to the frequency-specific behavior for variables of interest. Taken as a whole, our results indicate how the case for a model-specific optimal rule can break down when one relaxes the assumption that the true model is known as well as the assumption that the appropriate loss function is known. Links are made to the literature on monetary policy.     

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.     

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.     

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 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.     

From risk bearing to propheteering

The oil risk premium will fluctuate cyclically around zero as hedging and speculative risk absorption become more intertwined