Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic while the Y-hedge is static. Using the indifference pricing approach, we derive a Hamilton–Jacobi–Bellman equation for the value function. We solve this equation analytically (in quadrature) using an asymptotic expansion around the limit of perfect correlation between assets Y and Z. While in this paper we apply our framework to an incomplete market version of Merton’s credit-equity model, the same approach can be used for other asset classes (equity, commodity, FX, etc.), e.g. for pricing and hedging options with illiquid strikes or illiquid exotic options.     

Topical modelling issues in Solvency II

The main reasons for giving European insurance companies the option to apply internal models for calculating the main solvency requirement within the Solvency II framework is to enhance better risk management in the firms, and to provide the opportunity to derive a more accurate risk-oriented capital requirement than the standard Solvency Capital Requirement (SCR) could provide. The possibility to use internal models within pillar 1 basically means freedom to calculate the solvency requirement using some other formula and even principles than those given by the standard formula. This freedom is more limited with partial models.

This paper gives a brief introduction and update to the Solvency II project, reviews and discusses some topical aspects of internal models from the supervisory point of view, and points out some relating results of the Quantitative Impact Studies carried out, thus far, in the EU by CEIOPS.     

湖南省物流产业与经济协调发展的定量分析

文章以湖南省为例,选取物流货运量、GDP等指标建立时间序列和一元线性回归方程,通过建立Logistic模型,运用计量经济学方法,分析了货运量与区域GDP的相关关系,并揭示了物流业对湖南省区域经济增长的影响,提出了促进物流业发展的对策建议。     

公共支出结构变动影响经济增长的定量分析

基于公共支出增长理论,具体研究了改革开放以来,我国公共财政支出的总量、比重及结构变化对经济增长的定量影响,揭示了各项公共支出比重的变化导致了公共支出产出弹性的变化,从而对经济增长的作用大小也发生变化.     

2000～2010年中国农业剩余劳动力的数量分析

本文通过农业技术需求法和中国农业生产实际估算了2000～2010年农业剩余劳动力数量。结果表明,2000～2010年中国农村有待转移的剩余劳动力数量呈上升、后逐年快速下降的趋势,到2010年,下降至6820.92万。此外,本文将从年龄结构和文化结构两个角度就待转移农业剩余劳动力素质进行了分析。最后,本文对如何更加有效地转移和利用农业剩余劳动力提出了政策建议。     

反相高效液相色谱“蓝色素”快速检测方法研究

本研究采用反相高效液相色谱法,系统研究了蓝色素的分离提取方法,确定了蓝色素测定的色谱条件,在此基础上进行了色谱测定的方法学研究,明确了蓝色素的线性范围、精密度及回收率,建立了最佳的定量方法。     

中国工业生产力“数量革命”的经验解释

1978年以来,中国经济结构发生巨大变化的基本原因是工业生产力革命,工业产品的数量增加超过了任何国家。制造业的市场规模每隔7年翻一番,其中劳动生产率的成倍增长是制造业产出成倍增长的最根本原因。对工业制成品的实际需求是随着人均收入的提高而增长的,那么以人均产出数和消费数来衡量工业产品增长的前景时,工业生产力将进一步扩大,中国也将成为全球最大的工业化国家。     

“定量宽松”政策的实质及对中国的影响

在当前的国际经济与金融危机环境下,美国等西方国家通过扩大货币的发行量大规模增加时资本市场货币的供应,货币政策的重心向"定量宽松"政策倾斜.关于"定量宽松"货币政策的实质以及对中国的影响,我国经济学界已经展开了广泛的热议.本文认为,对这一问题应据据中国人民银行行长周小川提出的构建"超主权国际储备货币"的建议进行更深入探讨,本文在现有研究基础上,对此进行了进一步分析.     

A Tutorial on Reversible Jump MCMC with a View toward Applications in QTL-mapping

A tutorial derivation of the reversible jump Markov chain Monte Carlo (MCMC) algorithm is given. Various examples illustrate how reversible jump MCMC is a general framework for Metropolis-Hastings algorithms where the proposal and the target distribution may have densities on spaces of varying dimension. It is finally discussed how reversible jump MCMC can be applied in genetics to compute the posterior distribution of the number, locations, effects, and genotypes of putative quantitative trait loci.     

基于量价关系原理改进RSI指标的量化投资策略研究--以震荡行情的A股市场证券为例

要掌握市场先机,投资者可以采用数学建模和计算机编程相结合的投资策略,以量价关系原理改进的 RSI 指标的量化投资策略,是投资者可以加以借鉴的一种。在改进后的双指标策略的指引下,加上合适的资金管理和风险控制,投资者有望在较低的风险下获得较平稳的收益。