Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium

Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing the right to emit one tone of carbon dioxide (CO₂). We examine the spot EUA returns in BlueNext that exhibit jumps and a volatility clustering feature. We propose a regime-switching jump diffusion model (RSJM) with a hidden Markov chain to capture not only a volatility clustering feature, but also the dynamics of the spot EUA returns that are influenced by change in the CO₂ emission economic conditions. In addition, the switching jump intensities of the RSJM are shown to be affected by change in the carbon-market macroeconomic environment. We further derive the theoretical futures-option prices with a constant convenience yield under the RSJM via the generalized Esscher transform where regime-switching risk is priced with a risk premium. The empirical study shows that the derived futures-option pricing model under the RSJM with regime-switching risk is a more complete model than a jump diffusion model for pricing CO₂ options.     

Allocating Grant to the UK's Devolved Territories by Needs Assessment: Lessons from School Funding Formulae in England and Scotland

The UK's devolved governments (DGs) receive block grants to finance almost all their expenditure. The Barnett formula used to calculate these grants is often criticised because it does not consider the DGs’ spending needs. However, the feasibility of allocating block grants by needs assessment is often questioned, given the contestability of spending needs. This paper compares the formula used within England to assess the education spending needs of local authorities there with the equivalent Scottish formula, by using each formula in turn to calculate the relative spending needs of the UK territories. The rationale is to consider how similar the two formulae are in how they estimate the territories’ relative spending needs for education, a major responsibility of the DGs. The results show that the English and Scottish education allocation formulae produce similar estimates of the territories’ relative education spending needs. This suggests that it may be more feasible to allocate education resources to the UK's devolved territories based on needs assessment than some have suggested. The results also suggest some inequity in current patterns of education spending across the UK.     

中国产业内贸易状况的实证研究:1980～2006

随着新贸易理论在国际经济学中的扩展,产业内贸易(IIT)已成为当前世界贸易的一个重要现象.文章主要采用格鲁贝尔(Grubel)和劳艾德(Lloyd)提出的测量产业内贸易指数的G-L公式,利用我国的相关统计数据,具体考察我国1980～2006年初级产品与工业制成品的产业内贸易状况.实证分析表明,我国目前已呈现明显的产业内贸易趋势,但初级产品的产业内贸易不发达,且开展产业内贸易的产业分布与行业结构仍有待优化.     

我国公共项目绩效评估研究

我国近年来各种大型公共项目不断上马,小型公共项目不胜枚举.然而在取得巨大成功的同时,也引发了很多负面问题.各种"豆腐渣工程"、"形象工程"、"面子工程"不断见诸报端,最近厦门PX项目甚至差点酿成群体性事件.为了改善这种情况,就需要对公共项目进行绩效预评估、评估.但推进公共项目绩效评估工作,首先需要了解我国目前的现状.文章运用文本研究的方式,利用相对重要性矩阵确定了我国公共项目绩效评估现状的一般式为f(x)=0.012x1 0.039x2 0.009X3 0.036x4 0.904X5,并将其与国际情况进行对比,找到了我国的问题在于与工程评估的割裂和独行侠式的盲目探索,对症下药便可解决问题.     

高效液相色谱法测定婴幼儿配方乳粉中维生素C含量的FAPAS能力验证结果与分析

建立了一种高效液相色谱法测定婴幼儿配方乳粉中维生素C含量的方法,并分析采用该方法参加FAPAS婴幼儿配方乳粉中维生素C含量测定的能力验证的实验结果。样品经偏磷酸溶液提取后,采用TechMate C₁₈-ST(250 mm×4.6 mm,5μm)色谱柱分离,以甲醇-0.02 mol·L^-1磷酸二氢铵水溶液(pH=2.0)(2∶98,V∶V)为流动相,流速为0.7 mL·min^-1,柱温为25℃,检测波长为245 nm,标准曲线法定量。根据该方法及FAPAS组织方所提供的能力验证作业指导书,对能力验证样品及质控样品中的维生素C的含量进行测定,并采用“Z”评分法对结果进行判定。维生素C在5.52～88.24μg·mL^-1与峰面积呈良好线性关系,相关系数(r)为0.999 7,平均回收率为99.27%,相对标准偏差(RSD)为1.17%。采用加标回收和人员比对实验作为维生素C含量测定的准确度控制手段,能力验证结果 |Z|=0.1。该方法操作简单、准确,重复性好,可用于婴幼儿乳粉中维生素C的测定。本方法参加的...     

近红外光谱法快速检测赤芍配方颗粒 芍药苷和浸出物含量

为了直接、快速地测定赤芍配方颗粒中芍药苷和浸出物的含量,解决回流烘干法测定耗时长、操作繁琐等问题,利用近红外漫反射技术,结合偏最小二乘法(PLS),建立了测定芍药苷和浸出物含量的近红外光谱测定方法。选用积分球系统测定样品的近红外光谱,定量模型的预处理方法采用多元散射校正和一阶导数进行处理,光谱范围分别为5 492～5 103cm-1,7 428～7 201cm-1,6 942～5 322cm-1。结果表明,定量模型中芍药苷含量和浸出物含量的最佳主因子数分别为7和6,内部交叉验证均方差分别为0.082 6和0.226 0,决定系数(R2)分别为0.981 7和0.982 4,系统精密度RSD值分别为1.1%和0.9%,方法精密度RSD值分别为2.1%和1.6%,外部验证预测均方差分别为0.363和0.282。采用建立的近红外预测模型对赤芍配方颗粒进行快速测定,方法可行,分析快速、简便,结果准确,为赤芍配方颗粒的测定提供了高效方法。     

钛合金异形内螺旋线电解加工过程工艺优化

针对钛合金异形内螺旋线电解加工过程中间隙流场分布不均、工件表面易发生点蚀、加工质量差等问题,对加工工艺进行了优化。设计了一种顺流换向式新型阴极结构,通过加工间隙流场仿真对阴极过液孔直径进行了优化。开展了电解液基础试验,获得了一种适用于钛合金材料高效高质量电解加工的复合电解液配方:10%NaCl+8%NaNO3+3%Na2HPO4。并采用优化后的阴极与复合电解液完成了钛合金内螺旋线的稳定可靠加工,加工表面无点蚀现象出现,成形精度达到0.04mm,阴线表面粗糙度优于Ra0.8μm。     

The log-moment formula for implied volatility

We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that in the absence of arbitrage, if the underlying stock price at time T admits finite log-moments $\mathbb{E}[|\log S_T{|}^q]$ for some positive q, the arbitrage-free growth in the left wing of the implied volatility smile for T is less constrained than Lee's bound. The result is rationalized by a market trading discretely monitored variance swaps wherein the payoff is a function of squared log-returns, and requires no assumption for the underlying price to admit any negative moment. In this respect, the result can be derived from a model-independent setup. As a byproduct, we relax the moment assumptions on the stock price to provide a new proof of the notorious Gatheral–Fukasawa formula expressing variance swaps in terms of the implied volatility.     

HPLC法同时测定薄荷配方颗粒中6种成分的含量

为了提高薄荷配方颗粒的质量标准,建立其多指标定量评价体系,采用HPLC法同时测定薄荷配方颗粒中咖啡酸、橙皮苷、迷迭香酸、香叶木苷、香蜂草苷和蒙花苷6种成分的含量.采用Poroshell 120 EC-C18(4.6 mm×250 mm,5μm)色谱柱,以甲醇(A)-乙腈(B)-5％冰乙酸(C)为流动相,梯度洗脱,流速为...