A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting

In this paper, as a generalization of the Black–Scholes (BS) model, we elaborate a new closed-form solution for a uni-dimensional European option pricing model called the J-model. This closed-form solution is based on a new stochastic process, called the J-process, which is an extension of the Wiener process satisfying the martingale property. The J-process is based on a new statistical law called the J-law, which is an extension of the normal law. The J-law relies on four parameters in its general form. It has interesting asymmetry and tail properties, allowing it to fit the reality of financial markets with good accuracy, which is not the case for the normal law. Despite the use of one state variable, we find results similar to those of Heston dealing with the bi-dimensional stochastic volatility problem for pricing European calls. Inverting the BS formula, we plot the smile curve related to this closed-form solution. The J-model can also serve to determine the implied volatility by inverting the J-formula and can be used to price other kinds of options such as American options.     

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is particularly suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing the estimation of the VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.     

Analysing liquidity and absorption limits of electronic markets with volume durations

This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume duration with increasing threshold values. A modified ACD model with a Box–Tukey transformation and a flexible generalized beta distribution is proposed to capture the changing cluster structure of duration processes. The estimation results with German XETRA data reveal the market's absorption limit for high volumes of shares, expanding the time costs of illiquidity when trading these quantities.     

非正规金融与正规金融双重结构下货币政策工具比较研究

金融市场正规金融与非正规金融并存,使得货币政策工具的操作和传导具有更加复杂和非可控的微观因素。本文尝试将非正规金融纳入研究框架,建立四部门动态随机一般均衡(DSGE)模型,比较数量型和价格型货币政策工具的有效性。研究显示,价格型货币政策工具对宏观经济变量的影响大于数量型货币政策工具,且持续时间较短,导致的通货膨胀上升幅度小。在对非正规金融的影响上,价格型货币政策工具的效果更显著。     

定量结构活性预测技术在化学品安全管理中的应用

本文概述了定量结构活性预测（QSAR）技术的原理、法规要求、常用预测方法、发展现状、验证原则,对QSAR在化学品安全管理中的应用进行了展望。     

Trialling a method to quantify the ‘cultural services’ of the English landscape using Countryside Survey data

Increasing pressure on natural resources driven by population growth and higher levels of individual resource consumption have led to the need to measure and ultimately place values on the diversity of ecosystem services supported by land in order to manage it appropriately. The complexity underlying the provision of many seemingly simple ecosystem services, e.g. drinking water, make the process of identifying and making appropriate measures far from simple. Cultural services, defined as the nonmaterial benefits that people obtain from ecosystems, comprise a range of experiences of nature which enhance human well-being in a variety of ways. Measurement of the experiential benefits of ecosystems has proved difficult, despite their acknowledged importance. This paper describes a novel approach for providing measures of cultural services at national scale (England). The interdisciplinary approach described combines data from a national survey of the biophysical components of the UK countryside with data collected from regional assessments of experiential qualities of landscape in England. The paper discusses the results, merits and limitations of the datasets and approaches used.     

量化宽松政策影响中国房产泡沫传导机制研究(英文)

美联储在2010年11月4日实施了第二轮量化宽松政策,这使得中国境内货币流动性大大增加。激增的美元数量给人民币升值带来了巨大压力。本文基于对后续连锁效应的分析,探索并总结了其影响中国房价泡沫的可能传到机制。最后给出了相关政策建议。     

The quantitative turn in the history of economics: promises,perils and challenges

ABSTRACT

A quantitative turn in history of economic thought is looming. We argue that engineering it consciously is of crucial importance for historians of economics. We also highlight the limitations of quantitative techniques. Yet, the combination of qualitative and quantitative research could substantially enrich our narratives of the development of economics and its practice, of how ideas and tools disseminate and influence other spheres. A failed quantitative turn could lead our field to a house divided and, in the worst case, a civil war.     

SYBR Green Ⅰ荧光定量PCR鉴定简单异尖线虫方法的建立

根据GenBank发表的简单异尖线虫保守的ITS-2基因序列设计一对引物,用以扩增简单异尖线虫114 bp基因片段。用简单异尖线虫的重组质粒（AS-ITS-pGM）为模板建立SYBR Green I荧光定量PCR检测简单异尖线虫的方法,并用该方法对经PCR-RFLP鉴定为简单异尖线虫的样品进行鉴定。结果表明,本研究建立的简单异尖线虫SYBR Green I荧光定量PCR方法特异性强、敏感性高,稳定性好,可用于简单异尖线虫的鉴定。     

危机管理中美联储货币政策工具创新对我国的启示

为缓解本次危机对金融市场和实体经济的冲击,以美联储为代表的各主要央行推出大量以信贷宽松或数量宽松为特点的非常规货币政策,对危机中受损的常规货币政策传导渠道进行弥补,加强了各国央行的合作力度,有效缓解了危机带来的负面冲击。本文将集中研究美联储的货币政策工具的特点、效果,并总结对我国的启示,这也将有助于我国深入理解美联储即将采用的第二轮量化宽松货币政策的本质。