The characteristic function of rough Heston models

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non‐Markovian nature of the fractional Brownian motion, they raise new issues when it comes to derivatives pricing. Using an original link between nearly unstable Hawkes processes and fractional volatility models, we compute the characteristic function of the log‐price in rough Heston models. In the classical Heston model, the characteristic function is expressed in terms of the solution of a Riccati equation. Here, we show that rough Heston models exhibit quite a similar structure, the Riccati equation being replaced by a fractional Riccati equation.     

Finite lifetimes,long-term debt and the fiscal limit

The U.S. faces exponentially rising entitlement obligations. I introduce a fiscal limit—a point where higher taxes are no longer a feasible financing mechanism—into a Perpetual Youth model to examine how intergenerational redistributions of wealth, the average duration of government debt, and entitlement reform impact the consequences of explosive government transfers. Three key findings emerge: (1) Growing government transfers cause more severe and more persistent stagflation than in representative agent models that do not capture intergenerational transfers of wealth; (2) A longer average duration of government debt pushes the financing of government liabilities into the future and reduces the short-run impacts of explosive transfers; (3) The time it takes the economy to rebound from a period of growing transfers increases exponentially with the number of years it takes to pass entitlement reform.     

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets

We consider a robust consumption‐investment problem under constant relative risk aversion and constant absolute risk aversion utilities. The time‐varying confidence sets are specified by Θ, a correspondence from [0, T] to the space of the Lévy triplets, and describe a priori drift, volatility, and jump information. For each possible measure, the log‐price processes of stocks are semimartingales, and the triplet of their differential characteristics is almost surely a measurable selector from the correspondence Θ. By proposing and investigating the global kernel, an optimal policy and a worst‐case measure are generated from a saddle point of the global kernel, and they constitute a saddle point of the objective function.     

Comparative performances of measures of consumer and economic sentiment in forecasting consumption: a multi-country analysis

ABSTRACT

This paper seeks to compare the capabilities of assorted measures of consumer and economic sentiment in predicting the growth of household expenditure. An analysis of quarterly data on five European countries shows that for none of these can the model which incorporates the EU’s headline consumer confidence indicator be deemed to be significantly inferior to any of its seven rivals. However, the rankings of the sentiment variables are seen to be influenced by: the proportion of total spending by households that is devoted to durable goods; and the nature of the behaviour of consumption over the forecast interval.     

Police culture,tourists and destinations: A study of Uttarakhand,India

The present study examines the quality of service provided by police officials at tourist sites in the Uttarakhand region, India and its impact on the level of tourists' confidence in the police. The study also investigates the role that police culture plays in determining quality of service and the effect of leader behavior in moderating the relationship between them. A survey method was used for data collection from the police officials and the onsite tourists. Data analysis was carried out using CFA and an SPSS macro named PROCESS. Results showed that police organizational culture has a direct influence on tourists' confidence in the police and police service quality partially mediates the relationship between the two; also leader behavior positively moderates between police culture and service quality. This study adds to the literature on tourists' confidence in the policing of tourist sites, police culture, leader behavior, and police service quality.     

强化档案保密专业知识,提高档案保密效果

结合档案保密专业士官教学实践,从专业未来发展的方向,就院校教员如何提高档案保密专业士官学员学习动力做了一点探讨。     

对新《保险法》理赔程序与时限法律规制的研究

新《保险法》关于理赔程序和时限的法律规制，体现了公平理赔、尽速理赔的价值目标，对解决理赔难问题发挥了重要作用，但仍存在与保险理赔实践不够契合、法律责任设置不完善等问题。本文从分析新《保险法》理赔程序与时限的相关规定人手，将其与保险理赔实践进行对比，并研究违反程序与时限的法律后果，最后对如何进一步完善相关规定、增强法律的执行效果提出了建议。     

中国和印度规范荷载组合的对比

改革开放三十年来,中国经济发生翻天覆地的变化,各行各业也得到了蓬勃发展,工程建设行业纷纷走向国际市场。印度是一个巨大的市场,基础设施的建设存在很大发展空间。在国内各大公司进军印度市场的设计市场时,不免会遇到印度规范的问题。本人参与多年的印度电厂的设计工作,对印度结构规范有了一些了解,本文就中印两国规范的荷载组合进行对比分析,希望对大家在进军印度设计市场时有点帮助。     

Inflation and the fiscal limit

We use a rational expectations framework to assess the implications of rising debt in an environment with a “fiscal limit”. The fiscal limit is defined as the point where the government no longer has the ability to finance higher debt levels by increasing taxes, so either an adjustment to fiscal spending or monetary policy must occur to stabilize debt. We give households a joint probability distribution over the various policy adjustments that may occur, as well as over the timing of when the fiscal limit is hit. One policy option that stabilizes debt is a passive monetary policy, which generates a burst of inflation that devalues the existing nominal debt stock. The probability of this outcome places upward pressure on inflation expectations and poses a substantial challenge to a central bank pursuing an inflation target. The distribution of outcomes for the path of future inflation has a fat right tail, revealing that only a small set of outcomes imply dire inflationary scenarios. Avoiding these scenarios, however, requires the fiscal authority to renege on some share of future promised transfers.     

管理者信心与公司治理的有效性——基于我国上市公司管理者变更的经验证据

及时更换不称职的管理者是公司治理制度有效的重要标志。文章以2006-2008年沪深两市上市公司为研究对象,采用实证研究方法检验了公司治理参与主体的心理因素,管理者信心对其职位变更的影响。研究发现:管理者自信程度与因公司业绩欠佳导致的离职显著负相关,但在国有上市公司中,二者之间的关系并不显著;当公司所在地外部治理环境较差时,自信程度愈高的管理者愈可规避因业绩欠佳带来的离职风险。