HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS

The short‐time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In this work, a novel second‐order approximation for at‐the‐money (ATM) option prices is derived for a large class of exponential Lévy models with or without Brownian component. The results hereafter shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of ATM option prices near expiration. In the presence of a Brownian component, the second‐order term, in time‐t, is of the form , with d₂ only depending on Y, the degree of jump activity, on σ, the volatility of the continuous component, and on an additional parameter controlling the intensity of the “small” jumps (regardless of their signs). This extends the well‐known result that the leading first‐order term is . In contrast, under a pure‐jump model, the dependence on Y and on the separate intensities of negative and positive small jumps are already reflected in the leading term, which is of the form . The second‐order term is shown to be of the form and, therefore, its order of decay turns out to be independent of Y. The asymptotic behavior of the corresponding Black–Scholes implied volatilities is also addressed. Our method of proof is based on an integral representation of the option price involving the tail probability of the log‐return process under the share measure and a suitable change of probability measure under which the pure‐jump component of the log‐return process becomes a Y‐stable process. Our approach is sufficiently general to cover a wide class of Lévy processes, which satisfy the latter property and whose Lévy density can be closely approximated by a stable density near the origin. Our numerical results show that the first‐order term typically exhibits rather poor performance and that the second‐order term can significantly improve the approximation's accuracy, particularly in the absence of a Brownian component.     

2012年优秀青年科学基金女性获得者特征状况计量分析

以2012年优秀青年科学基金女性获得者为研究样本,通过对其当选年龄、工作地域、工作单位、留学状况、所在学部等要素进行计量研究,归纳、总结了该群体特征状况,并以此为基础对新时代中国女性科学家群体进行了深入剖析。     

关于注册会计师行业协会框架体系的构想

现行《注册会计师法》第四条规定:“注册会计师协会是由注册会计师组成的社会团体。中国注册会计师协会是注册会计师的全国组织,省、自治区、直辖市注册会计师协会是注册会计师的地方组织。”但《注册会计师法》并没有对注册会计师协会的属性进行准确的界定,没有对注册会计师协会全国组织和地方组织的关系作出规定,因此该法实施十年来现行的注册会计师行业协会的框架体系已显露出种种问题。本文拟就如何建立我国科学的注册会计师行业协会框架体系提出一些个人的观点,以起到抛砖引玉的作用。法律必须明确注册会计师协会的法律属性注册会计师…     

基于回归分析法的南京市耕地面积变化影响因素分析

首先主要运用Excel预测南京市耕地面积减少的趋势;其次,通过文献阅读确定影响南京市耕地面积变化的影响因素,进而利用统计学方法建立了耕地面积与各个影响因素之间的回归分析模型;然后对模型所得结果的相关性进行统计性分析,剔除可能具有相关性的影响因素;最后把对各影响因素在南京市耕地面积变化的过程中按所起的正、负相关影响进行归类分析。旨在为南京市在抑制耕地面积锐减现象对相关因素的控制上提供相关的参考依据。     

食品质量与安全专业与本地食品产业协同发展研究

近年来,多个院校都新设了食品质量与安全专业。在当前食品行业发展形势下,高校与食品产业紧密结合,采取多种形式全面合作,双方共建实践教学基地、食品行业培训基地和产学研平台。常州大学食品质量与安全专业多年来进行与本地食品产业协同发展的探索和实践,取得了较好的成果。     

Hook vs. hope: How to enhance customer engagement through gamification

Many digital service providers have adopted gamification to promote customer engagement. Critical questions, however, remain about the most effective way to enhance customer engagement and increase sales by applying gamification. With a research design that combines qualitative and quantitative methods, including the use of objective sales data from a large field study and replication of the findings across different contexts, this study explores how gamification fosters customer engagement. Both field study results and a simulation study reveal gamification principles (i.e., social interaction, sense of control, goals, progress tracking, rewards, and prompts) that promote hope and consequently increase customer engagement and digital sales. Furthermore, we find that hope is more strongly associated with customer engagement than the psychological condition of compulsion, which even exerts a negative impact. This research thus explores how gamification creates value for customers and provides actionable insights for managers to foster hope through gamification as opposed to get customers hooked.     

Volatility of volatility is (also) rough

Using high-frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets. The results confirm that the volatility of volatility is a rough process and it possesses the long memory property. We also show that the correlation between the volatility and the volatility of volatility is positive, consistent with observations in the volatility option market. Lastly, a robustness check using volatility futures confirms the findings.     

Who should sell stocks?

Never selling stocks is optimal for investors with a long horizon and a realistic range of preference and market parameters, if relative risk aversion, investment opportunities, proportional transaction costs, and dividend yields are constant. Such investors should buy stocks when their portfolio weight is too low and otherwise hold them, letting dividends rebalance to cash over time rather than selling. With capital gains taxes, this policy outperforms both static buy‐and‐hold and dynamic rebalancing strategies that account for transaction costs. Selling stocks becomes optimal if either their target weight is low or intermediate consumption is substantial.     

天然气管道工程技术发展水平及推广应用

介绍了国内外天然气管道工碍技术发展水平，针对我国天然气管网建设的实际，提出了天然气管网系统分析、数字化管道、自动焊、全自动超声波检测、干空气管道干燥、新管道智能检测等6项值得推广应用的新技术。     

完善灵活就业人员社会保险制度研究

随着就业形式的多样化,我国城镇灵活就业人员日益增多,现有的社会保险格局难以适应城镇灵活就业人员的社会保险需求.灵活就业人员社会保险制度应体现灵活的特色.如何对灵活就业人员的社会保险政策做出必要的调整,使其更具操作性和实用性,成为我国建设和谐社会中亟待研究解决的问题之一.