Option pricing with discrete time jump processes

In this paper we propose new option pricing models based on class of models with jumps contained in the Lévy-type based models (NIG-Lévy, Schoutens, 2003, Merton-jump, Merton, 1976 and Duan based model, Duan et al., 2007). By combining these different classes of models with several volatility dynamics of the GARCH type, we aim at taking into account the dynamics of financial returns in a realistic way. The associated risk neutral dynamics of the time series models is obtained through two different specifications for the pricing kernel: we provide a characterization of the change in the probability measure using the Esscher transform and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this modelling approach, using a dataset of European options based on the S&P 500 and on the CAC 40 indices. Our results show that models involving jumps and a time varying volatility provide realistic pricing and hedging results for options with different kinds of time to maturities and moneyness. These results are supportive of the idea that a realistic time series model can provide realistic option prices making the approach developed here interesting to price options when option markets are illiquid or when such markets simply do not exist.     

辽宁省城市经济系统脆弱性评价

依据2013年中国城市统计年鉴,从城市经济系统的敏感性和恢复能力两个方向选取20个指标建立脆弱性评价指标体系,利用熵值法计算指标体系中各指标的权重,建立城市经济系统脆弱性评价数学模型,根据脆弱性得分进行聚类分析得到4个脆弱性类型,从城市经济规模、产业结构、污染物处理能力等角度对辽宁省14个城市进行脆弱性评价。结果表明,辽宁省城市经济系统脆弱性差异比较明显,沈阳市脆弱性最低,阜新市脆弱性最高;辽宁省沿海城市经济系统脆弱性整体上低于其他城市,沿海城市经济系统恢复力对其脆弱性影响较大,而其他城市经济系统的脆弱性受敏感性影响显著。     

Income inequality dynamic measurement of Markov models: Application to some European countries

In this paper we present a methodology for measuring income inequality dynamically within a Markov model of income evolution. The proposed methodology requires knowledge of the evolution of the population and the averages and medians of the incomes in a country and allows the computation of dynamic inequality indices. The methodology is supported with statistics from Eurostat data applied on France, Germany, Greece and Italy.     

Optimizing forestry industrial structure based on the framework of rationalization, advancement and ecologicalization

Under the target of the sustainable development,optimization of forestry industrial structure contains rationalization and advancement of forestry industrial structure in the traditional sense,as well as ecologicalization of forestry industrial structure.The connotation of optimization of forestry industrial structure is analyzed at first,and then the paper chooses the typical evaluation indexes from the three sides of rationalization,advancement and ecologicalization to evaluate the current situation of the regional forestry industrial structure.With the aid of the theory of fuzzy mathematics and information entropy,the paper establishes a fuzzy evaluation model which is based on information entropy for optimization of forestry industrial structure,and the evaluation model is applied in the study for the current situation of forestry industrial structure from 2000 to 2006 in Hubei province.The results show that the grade of forestry industrial structure is bad basically during the research,of which the overall level of forestry industrial structure of Hubei province is poor,the degree of utilizing forest resource is lower,and ecological environment in the forest region has been damaged to some extent.On this basis,the author presents the countermeasure to promote the optimization of forestry industrial structure.     

广东海洋产业集群集聚水平测度及比较研究

海洋产业集群是海洋产业发展的重要形式,广东作为海洋经济大省,海洋产业集群发展在海洋经济发展中扮演着重要角色。采用区位熵法对广东海洋产业集群进行测度分析,通过数据整理及计算发现：广东海洋产业整体集聚水平及海洋分次产业集聚水平均大于1,海洋产业空间集聚发展趋势明显,海洋产业集群发展势头较好。进一步将其与山东海洋产业集群测度结果进行比较分析。结果发现：广东虽然在海洋经济规模方面占据优势,但在海洋产业集群发展方面并未表现出优势,相反海洋产业集群发展规模及成熟度与山东相比还有一定差距,但广东海洋产业集群发展势头更为强劲。基于此,从政策引导、产业转型升级、人才建设等方面提出了政策建议。     

国家高新区竞争力空间动态差异研究

综合利用熵值法和复合物元模型对我国2000-2009年国家高新区竞争力进行测算,基于四大经济板块深入揭示了国家高新区竞争力发展存在的空间动态差异。研究结果表明：近10年国家高新区竞争力在区域分异层面板块马太效应突出,东部地区高新区竞争力增速远高于其它地区;在空间集聚层面形成了环渤海、长三角、珠三角品字形格局的高新集群带。在此基础上,提出了弱化马太效应和建设特色高新产业集群的发展建议。     

基于粗糙集与信息熵的上市公司财务困境预警指标的确立

本文以界定因财务状况异常而被列为特别处理公司作为财务困境标志来研究中国上市公司的财务困境预警指标的确立.运用粗糙集和信息熵原理,基于沪深两市所有A股上市公司数据,我们提出了一种客观选择财务困境预警模型指标的方法.并且通过实证分析证明了财务指标作为建立财务困境预警模型基本指标的不可替代作用、分行业分资产规模建立上市公司财务困境预警模型的合理性以及现金流量指标引入预警模型的重要性.     

电网企业节能减排效果分析模型及应用——基于改进TOPSIS法

全球气候变化及能源危机是人类社会发展所面临的重要挑战,如何保障能源供给,促进经济、社会和环境的协调发展成为亟待解决的问题.电网企业作为能源消耗和污染物排放的主要产业,其节能减排效果将对我国节能减排措施的实施起着举足轻重的作用.近年来,智能电网的发展为清洁能源的接入并网与低碳用电技术的运用提供了重要支撑,它不仅能够实现发电侧的清洁生产,而且能够通过需求侧管理实现用户侧的节能减排.本文将从发电侧、供电侧及用电侧三个角度分析构建电网企业节能减排贡献效果的评价指标体系,利用熵权法修正指标权重,然后利用TOPSIS法构建了电网企业节能减排贡献效果评价模型,算例结果表明改进的TOPSIS法适用于从不同角度评价电网企业节能减排的贡献效果.     

我国区域包容性绿色增长测度与差异研究

包容性绿色增长是一种追求经济增长、社会公平、民生福利、成果共享、节能环保,以及经济、社会与资源环境全面协调的可持续发展方式。基于2001-2014年中国内地省级面板数据,从经济增长、社会公平、民生福利、绿色生产消费和生态环境保护维度构建了包容性绿色增长指标体系,并运用熵权法测算了包容性绿色增长指数。结果表明：东部地区包容性绿色增长水平明显领先,地区间呈现东部>东北部>西部>中部的阶梯型分布;发达省域包容性绿色增长水平总体领先,传统经济弱省总体落后,青海和内蒙古等少数西部欠发达省域崛起,河南、河北等少数经济强省排名垫底,省域间非均衡发展问题突出;绝大多数中西部省域包容性绿色增长呈现改善趋势,山西、河北等部分省域裹足不前,北京、天津和上海出现倒退迹象。     

基于多模型的区域科技发展水平综合评价——以西部11省区为例

本文通过科技投入、科技产出、科技支撑环境和社会经济发展四个方面构建科技发展水平评价指标体系。收集2012年西部11省区科技发展状况的相关数据,分别运用密切值法、熵值法与秩和比法三种方法对各指标数据进行处理,得出各省区科技发展水平综合排名,并将三种结果加以对比、分析评价。最后根据研究分析结果对西部地区未来科技发展提出相应的对策建议。