Valuing and hedging fixed rate mortgage commitments

A fixed rate loan commitment that is binding on the lender but not on the loan applicant is equivalent to a put option. This article uses the Black-Scholes option pricing model to establish a value for fixed rate loan commitments and to derive the hedge ratio for the lending institution to hedge the interest rate risk associated with the commitments in the FHLMC forward market for mortgages. The effectiveness of the resulting hedge is tested in a simulation, where it is found that the result is a 71% reduction in the variance of the value of the lender's gain or loss associated with the commitment period.     

A STATE-SPACE PARTITIONING METHOD FOR PRICING HIGH-DIMENSIONAL AMERICAN-STYLE OPTIONS

The pricing of American-style options by simulation-based methods is an important but difficult task primarily due to the feature of early exercise, particularly for high-dimensional derivatives. In this paper, a bundling method based on quasi-Monte Carlo sequences is proposed to price high-dimensional American-style options. The proposed method substantially extends Tilley's bundling algorithm to higher-dimensional situations. By using low-discrepancy points, this approach partitions the state space and forms bundles. A dynamic programming algorithm is then applied to the bundles to estimate the continuation value of an American-style option. A convergence proof of the algorithm is provided. A variety of examples with up to 15 dimensions are investigated numerically and the algorithm is able to produce computationally efficient results with good accuracy.     

基于层级结构的企业国外进入方式研究

国外进入方式决策是企业国际化战略的关键,企业的进入方式关系到能否取得海外经营的成功,决定着企业国际化战略的命运.文章基于层级,将一个复杂的决策分解,构建进入方式的层级结构模型,而且,在此基础上提出一些可运用的方式组合,如无关的方式组合、分割的方式组合和补充的方式组合.     

跨境供应链技术性贸易壁垒应对机制探析

分析了中国面对技术性贸易壁垒现状及中国技术性贸易问题,提出了跨境供应链移除壁垒的几点政策建议。     

行业进入壁垒与中国文化产业高质量发展:保护还是抑制?

基于2000—2012年中国文化产业相关上市公司的微观数据,利用分位数回归模型研究了行业进入壁垒对文化产业全要素生产率的影响。结果表明:行业进入壁垒对文化产业全要素生产率具有较强的抑制效应,并对生产率分布两端行业的负面影响较大,呈"U"型结构;行业进入壁垒存在国有文化企业保护倾向,其对国有文化企业生产率具有不显著的负面影响,而对非国有文化企业具有显著的负面效应;以文化企业补贴渠道存在的行业进入壁垒,不利于文化产业全要素生产率的提升,而由市场自发形成的市场壁垒能够提升文化产业的全要素生产率。这些研究成果为文化体制改革在全国范围内的进一步实施推广提供了依据,同时也为地区文化产业的转型升级和区域经济平衡提供了政策启示。     

绿色壁垒对我国企业海外市场的影响

西方国家推行的绿色壁垒既赋予了我国企业海外市场营销千载难逢的历史机遇 ,同时也使其在国际市场竞争中面临更严峻的挑战。我国企业必须抓住这一历史机遇 ,并采取切实可行的措施来应对绿色壁垒 ,为我国企业海外市场营销创造有利的国内及国际环境。     

我国绿色物流发展研究

绿色物流作为新兴的服务产业,在我国尚处于起步阶段,还面临许多重大而紧迫的问题。本文通过对我国与发达国家绿色物流发展现状进行分析,找出我国绿色物流发展中存在的问题,并提出加快发展我国绿色物流的建议。     

存款保险的期权定价模型构造及实证研究

存款保险定价是存款保险制度建设中的核心内容,保险定价效率直接影响制度的功效。碍于现金流贴现估价模型的局限性,从期权的角度阐述了存款保险与期权的关系,指出存款保险合同实质上就是一份看跌期权,从理论和实证两方面论述了如何运用Black-Schole期权定价模型确定存款保险价格的问题,对实践中存款保险的合理定价和制度建设具有重要的指导意义。     

OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS

We examine the behavior of optimal mean–variance hedging strategies at high rebalancing frequencies in a model where stock prices follow a discretely sampled exponential Lévy process and one hedges a European call option to maturity. Using elementary methods we show that all the attributes of a discretely rebalanced optimal hedge, i.e., the mean value, the hedge ratio, and the expected squared hedging error, converge pointwise in the state space as the rebalancing interval goes to zero. The limiting formulae represent 1-D and 2-D generalized Fourier transforms, which can be evaluated much faster than backward recursion schemes, with the same degree of accuracy. In the special case of a compound Poisson process we demonstrate that the convergence results hold true if instead of using an infinitely divisible distribution from the outset one models log returns by multinomial approximations thereof. This result represents an important extension of Cox, Ross, and Rubinstein to markets with leptokurtic returns.