A multivariate Lévy process model with linear correlation

In this paper, we develop a multivariate risk-neutral Lévy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Lévy processes and can easily be calibrated to a set of one-dimensional marginal distributions and a given linear correlation matrix. We derive conditions for our formulation and the associated calibration procedure to be well-defined and provide some examples associated with particular Lévy processes permitting a closed-form characteristic function. Numerical results of the option premiums on three currencies are presented to illustrate the effectiveness of our formulation with different linear correlation structures.     

CEV模型下有交易成本和随机波动率的亚式期权定价问题的文献综述

随着金融衍生品的发展,对其进行定价成为理论和实务操作中的重点。亚式期权作为一种强依赖路径的衍生品,在金融市场中有套期保值作用,在管理中有经理股票期权激励作用。因此,设计出更加切合市场实际的定价模型非常重要。本文选取了相比较B-S模型更加实际的CEV模型作为标底资产的路径过程,加入随机波波动率服从有限Markov链的情况下有交易成本的亚式期权定价公式。在已有的相关文献参考下,可以得出其偏微分方程。并且通过二叉树算法,实现定价计算。     

Do contagion effects exist in capital flow volatility?

The cross-border transmission of a financial shock has been a subject of rich literature. While a large number of studies have focused on the phenomenon of strong co-movements of asset prices and capital flows in the event of financial stress, very few discussed the contagion or spillover effects in terms of capital flow volatility. This paper is one of the first attempts to assess, empirically, whether or not there is a global and regional spillover effect in the volatility of capital flows to emerging and developing countries. Based on the sample of 49 emerging and developing countries for the period 1980–2009, the empirical results suggest strong and significant contagion effects in the volatility of capital flows to individual economies. The magnitudes of contagion vary depending on the type of capital flows, whether it is foreign direct investment (FDI) or portfolio and other investment (mostly bank lending). The findings also suggest the volatility dynamics of gross flows is different from that of net flows. The volatility of net inflows is more exposed to intra-regional contagion compared to that of gross inflows.     

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the USA and in the EURO area. This paper investigates whether the use of models which allow for negative interest rates can improve option pricing and implied volatility forecasting. This is done with special attention to foreign exchange and index options. To this end, we carried out an empirical analysis on the prices of call and put options on the US S&P 500 index and Eurodollar futures using a generalization of the Heston model in the stochastic interest rate framework. Specifically, the dynamics of the option’s underlying asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be negative, but the interest rate is. Explicit formulas for the transition probability density function and moments are derived. These formulas are used to estimate the model parameters efficiently. Three empirical analyses are illustrated. The first two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and forecast option prices (i.e. S&P index and foreign exchange options). The last studies how the US three-month government bond yield affects the US S&P 500 index.     

The cyclical behaviour of fiscal policy: evidence from the OECD

This paper addresses the topic of cyclicality in fiscal policy. In particular, we show that the level of cyclicality varies across spending categories and across OECD countries. In line with leading theories of fiscal cyclicality, we show that countries with volatile output and dispersed political power are the most likely to run procyclical fiscal policies. Wage government consumption is highlighted as the most important channel by which these variables affect fiscal cyclicality.     

资产组合风险度量与选择之文献述评

根据资产组合理论的本质，理解和掌握资产组合理论具有重要的意义。本文主要从风险度量方法比较、现实金融资产收益的实际分布与相关性、以及金融资产收益的动态变化特征等角度：对资产组合风险度量与选择的相关文献进行回顾与评述。     

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

This paper investigates volatility spillover in the Nigerian sovereign bond market arising from oil price shocks, using Vector Autoregressive Moving Average ‐ Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (VARMA‐AGARCH) model. The paper covers the period March 22, 2011 to April 14, 2016 and makes use of the daily data of the Nigerian Sovereign Bond, Brent oil and West Texas Intermediate (WTI), respectively. We endogenously and sequentially detect structural break points using the test of Bai and Perron (2003) framework. In order to accurately estimate the model, we modify it by incorporating the break points into the VARMA‐AGARCH model, a process which if ignored would lead to model misspecification. The results obtained demonstrate a significant cross‐market volatility transmission between oil and sovereign bond market with ample sensitivity to structural breaks. The study also computes optimum weight portfolio and hedge ratio both with and without structural breaks and results equally indicate sensitivity to structural breaks.     

中、美、日实际均衡汇率模型的构建及实证研究

本文基于BEKK-MGARCH模型建立了中、美、日三国的实际均衡汇率方程和方差方程,对1994年以来中国、美国和日本的实际均衡汇率及其波动溢出效应进行了深入细致的分析。结果表明:三个国家的实际均衡汇率受其经济基本面因素的影响不同,人民币实际均衡汇率还受到了美元和日元实际汇率的影响;中美、中日、美日之间的联动关系存在显著的ARCH和GARCH效应。     

The influence of intraday seasonality on volatility transmission pattern

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations.