Efficient and accurate quadratic approximation methods for pricing Asian strike options

This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known quadratic approximation methods used in the literature for pricing Asian strike options are special cases of our model, with the numerical results demonstrating that our method significantly outperforms the other quadratic approximation methods examined here. Using our method for the calculation of hundreds of Asian strike options, the pricing errors (in terms of the root mean square errors) are reasonably small. Compared with the Monte Carlo benchmark method, our method is shown to be rapid and accurate. We further extend our method to the valuing of quanto forward-starting Asian strike options, with the pricing accuracy of these options being largely the same as the pricing of plain vanilla Asian strike options.     

The effects of the Paris climate agreement on stock markets: evidence from the German stock market

We investigate the effects of the 2016 Paris Climate Agreement on the German stock market by considering the impact of 20 announcements pertaining to the Agreement on 17 industries. The event study methodology is used for this purpose, together with several robustness tests, such as the nonparametric rank test and non-parametric conditional distribution approach. The change in systematic risk following the announcements is captured by using various risk models. In general, we find that the Paris Climate Agreement is achieving its objectives in the short run. Our results show that the announcements affected polluting industries in terms of risk and return. Furthermore, we observe two distinct diamond risk structures when (1) Conference of the Parties (COP) 21 took place, and (2) the Agreement came into force.     

Risk premium,macroeconomic shocks,and information technology: an empirical analysis

This study empirically identifies the impact of various macroeconomic factors on the default risk premium. Using monthly data for the period 1970–2010 for the US, our estimations indicate that the monetary policy aggregates, risk-free interest rate, term structure of interest rates, inflation, and the state of the business cycle influence the risk premium. The results also provide some evidence in support of the hypothesis that the development of information technology has had a decreasing impact on the risk premium. As expected, various financial crises have had substantial and long-lasting effects on the premium. The results suggest that the direct impact of the subprime crisis and Lehman’s collapse on the risk premium was as large as two and a half percentage-points for a sustainable period. Foreign financial crises, in turn, have lowered the risk premium in the US market, suggesting a flight-to-safety phenomenon.     

税务认定的探析

现行的税务认定由于认定事项不全面、认定信息不对称、认定管理服务不规范,易引发税务机关及其工作人员的执法风险和廉政风险,本文提出税务认定应遵循法定主义、管理与服务并重、谨慎性三大原则,进一步完善税务认定的法制体系,规范税务认定管理与服务,保障纳税人合法权益,规避和减少税务认定的执法风险与廉政风险。     

Harlow下偏矩证券组合优化模型实证研究

风险的度量是投资决策的核心问题。与经典的资产组合理论利用投资品收益率方差度量风险的方法相比,下偏矩方法更为科学。下偏矩方法能够有效反映投资者的心理特征,而且具有较高的资源配置效率,是非常理想的风险度量指标。本文以Harlow下偏矩证券组合优化模型为理论基础,选取我国A股股票作为研究对象,利用MATLAB的非线性规划函数进行求解,快捷高效地建立了有效证券投资组合,验证了利用下偏矩进行风险度量构造有效投资组合的高效性与优越性。     

The impact of changes to the human resources function in Australia

With the rapid development of information technology (IT) in the late twentieth century, a 'real-time' global economy is now taking shape. The social costs of being networked in the global economy vary across nations and regions. Some report job losses and fragmented working conditions, and in general social structure is endangered. The idea of maintaining a nation's social safety net and the traditional concept of the welfare state is now challenged. In this article, we deal with three issues. First, we point out that new social risks are formed by the structural change in the labour market. Second, the interaction of the nation-state and global economy is addressed; in facing new social risks, we argue, the role of nation-state is still important. However, the traditional paradigm of the welfare state needs to be re-conceptualized. Third, with the expanding view of the welfare state, this paper examines the developments of constructive welfare policies and discusses the social transformation processes in Singapore, especially in the face of the new social risks caused by globalization.     

Adolescents' perceptions of the costs and benefits of food additives and their presence in different foods

A questionnaire concerning the use of additives in foods was completed by 572 high school students aged 12-15 years. Participants recorded how often they ate each of 16 common foods, and rated the relative levels of colourings, flavourings, preservatives and traces of pesticides that each of these foods contained. They also rated the relative importance of eight reasons (e.g. taste, health) in their own food choices, and provided comparative evaluations of the concepts 'food with additives' and 'food without additives' in terms of these same eight attributes. Participants discriminated between the 16 foods in terms of the chemicals they believed they contained, but these estimates were unaffected by age or sex. When these estimates were weighted by participants' own reports of consumption, girls scored lower than boys on a measure of the assumed additive content of their own diet. Own additive consumption was significantly associated with ratings of reasons for food choice and comparisons of food with/without additives. However, the form of this association did not support standard expectancy-value formulations of attitude-behaviour relationships. Food with additives was seen overall as preferable in terms of ease of preparation and duration of freshness, but more problematic in terms of health and safety.     

Forms of talk in policy dialogue: distinguishing between adversarial and collaborative discourse

Uncertainty, the precautionary principle and scenario are three important concepts in current regulatory debates concerned with risk management. In this paper, each concept is described in relation to its regulatory context and a linkage between the three concepts is established. Three scenarios relating to increasing scientific and technical uncertainty are presented. The most obvious regulatory approach to uncertainty is to ban a product, process or substance under the aegis of the precautionary principle. However, this may not be appropriate in all cases and a range of other possible policy responses to uncertainty are discussed and avenues for further research suggested.     

Ireland: contested precaution and challenged institutions

Irish policy on GMOs has generally cited precaution as its basis, although the official responses to marketing applications demonstrate a generally favourable attitude towards the technology. The official policy assumes that the current safety regulation can ensure that products reaching the market are safe, and that consumers can make their own ethical and political choices regarding GMOs, facilitated by full labelling of such products and ingredients. This view has been made more explicit with recent official statements. A national consultation process resulted in a report which strongly favours GM technology, but the whole process has been questioned by critics of GM crops. Many disagreements remain, particularly around the range of issues open to discussion. Many actors and organisations opposed to GMOs argue that the debate has been too narrowly focused on scientific aspects of health and environmental protection; they attempt to widen the scope to include other aspects, such as political and ethical concerns. This effort challenges the mediating institutions and their capacity to regulate an issue which involves uncertainty.     

Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets

Based on a new daily data set for 20 emerging markets over the period 1992–2006, we examine the reactions of foreign exchange markets, domestic stock markets, and sovereign bond spreads to central bank governor changes. We find that the replacement of a central bank governor negatively affects financial markets on the announcement day, which is in line with the hypothesis that newly appointed central bank governors suffer from a systematic credibility problem at the beginning of their tenure. We also find some evidence that changes in perceived central bank independence affect markets.