A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

Valuing high-dimensional options has many important applications in finance but when the true distributions are unknown or complex, numerical approximations must be used. Approximation methods based on Monte-Carlo simulation show a steep trade-off between estimation accuracy and computational efficiency. This article presents an alternative semi-analytic approximation method for pricing options on the maximum or minimum of multiple assets with unknown distributions. Computational efficiency is shown to improve significantly without sacrificing estimation accuracy. The method is illustrated with applications to options on underlying assets with mean-reverting prices, time-dependent correlations, and stochastic volatility The authors would like to thank the two anonymous referees, the associate editor, and Dr. Jess H. Chua at the University of Calgary for valuable comments and insights on this research. This research was partly supported by NUS grant R-146-000-059-112     

A multilateral approach to examining the comovements among major world equity markets

This study investigates the comovement in stock indices among major developed markets, where Morgan Stanley Capital International (MSCI) indices are employed for the purposes of the study. We employ a model that accommodates multilateral international impacts on equity index movements. The empirical results reveal the existence of significant international transmission effects among these major world markets, both in terms of returns and volatility, and mostly in a positive direction. The U.S. market, as expected, is the leading market in the sense that it has the most pervasive and significant impact on all markets across continents. However, the U.S. market exhibits a different relationship with European markets from that with Asia-Pacific markets. The evidence also suggests that strong regional transmission effects exist. A further investigation using the extended model reveals that the linkages between U.S. and European markets are driven by positive global common forces and by negative international competitive effects. On the other hand, the U.S. and Asian markets are linked through positive global common forces and positive international contagion effects. The United States, Canada, and the U.K. are the three markets that still demonstrate contagion influence over countries outside its own region. The Asia-Pacific markets are more susceptible to contagion effects. Finally, it is interesting to find that Japanese market performance became more contagious toward other markets during the Asian financial crisis period.     

On the estimation of stock-market reaction to corporate layoff announcements

This study investigates the stock-market reaction to layoff announcements where more than 1000 workers are affected. We employ a dummy variable regression (DVR) version of the market model and compare the results obtained using ordinary least squares (OLS) versus exponential GARCH (EGARCH), and value-weighted (VW) versus equally weighted (EW) market index. We find that the stock market responds negatively to layoffs attributed to low demand. We also find that contrary to prior research, the market reacts positively to restructuring-related layoffs on the announcement date. This pattern of market reaction is observed regardless of the market index used or the parameter estimation methods employed, although the empirical results indicate that using EGARCH/VW market index tends to generate fewer statistically significant test results and smaller (in the absolute size of the cumulative) abnormal returns (ARs). Taken together, our study provides additional support for the claim that studies of stock-market reaction to corporate events must account for the time variation in return volatility. Ignoring these could result in erroneous inferences.     

数字技术融合对企业创新数量与质量的影响

以268家医疗装备企业为研究对象,从Himmpat专利数据库获取2002—2022年的15 446条专利数据,构建“数字-医疗”技术融合网络,基于量与质的视角实证分析数字技术融合对企业创新绩效的影响。采用负二项固定效应回归模型进行实证研究。结果表明,互补性数字技术融合和替代性数字技术融合均对企业创新质量和数量具有正向影响,融合波动性负向调节上述关系。     

信息不对称条件下经济组织监管方式的分析:对我国公立医院改革模式的讨论

随着我国由计划经济体制向社会主义市场经济体制的过渡,仍然会有一定数量的国有医院要由国家直接控制经营。并需要相应的治理结构来规范其运行。本文的结果表明,在经济学理论上,公立医院的经营目的决定了产权改革既不是提高其经营绩效的充分条件,也不是必要条件。我们的理论分析否定了“产权优先”的改革观点,而为进一步完善公立医院治理结构的改革步骤提供了理论支持,并给出一定改革措施建议。另外,本文在理论上首次提出了非对称信息企业内部的“信息悖论”问题。这个广泛的结论不仅对于医院的改革是成立的,对于其他具有相同信息特征的企业都有理论意义。     

投资者结构与股价波动关系——基于理论的思考

长期以来,人们认为机构投资者可以稳定股市。本文从更广的视角研究了投资者结构与股价波动的关系。本文结论如下：（1）在市场产品机构、交易制度和规则体系等要素给定的情况下,股价波动是投资者结构参数的函数。（2）机构投资者与稳定股市没有必然的联系。即使在市场的产品结构和交易制度等要素给定的情况下．不同的投资者结构中机构投资者比例的增加既可以增加股价波动,也可以减少股价波动。（3）在一些投资者结构中,股价波动反而随着理性机构投资者比例的增加而增加。即使在投资者结构中其他参数相同的情况下,理,比机构投资者的比例过多或过少均有可能增加波动。（4）即使在上市公司不分红且没有重大利好消息支持股价的情况下,在一定的投资者结构中,机构投资者仍能通过买入来制造股价波动。并从中获利。但这种策略能够成功依赖于市场中其他类型投资者的结构。（5）适度的羊群行为会使股价波动最小,而过强或者过弱的羊群行为都使股价波动增加。     

应用现场总线技术设计远程供水系统

针对远程供水控制要求,提出采用PROFIBUS现场总线技术,组成分布式测控网络的设计方法,本系统可以实现对井群的远程控制和供水的智能调度,各个控制站之间可以方便地进行信息传输,能够提高水泵的运行效率,具有操作方便,可靠性强,监控及时准确等优点,大大提高了远程供水的自动化程度和供水质量,实现了城市供水的智能监控和科学管理。     

Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies

This paper provides an investigation into the spillover effects of exchange rate returns and volatility for developed and emerging market currencies, using data from 1997 to 2011. The results suggest that spillovers in exchange rate returns have increased steadily over time, in moderate reaction to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) react more strongly to economic events, and this transmission has remained at a relatively high level since the global financial crisis. Furthermore, over the course of time, global shocks would appear to account for a larger proportion of aggregate exchange rate volatility (and the relative importance of domestic shocks has declined). The paper also considers whether the increase in volatility spillover is due to sudden shocks, or whether it is due to changes in the stochastic trend of the underlying volatility process. The results suggests that in most cases, this increase is due to sudden shocks, however, in certain instances country‐specific events may perpetuate changes to the trend of the underlying volatility spillover.     

试析新闻发言人制度在中国升温原因及实践的基本准则

新闻发言人制度有其历史溯源与理论渊源,它在信息传播过程中在一定程度上具有对信息筛选、过滤的“守门人”品质。该制度在中国大陆重新升温主要因为：一、满足公众知情权的需要;二、应对海量信息、匡正视听的需要;三、SARS等突发事件的催化。客观真实、迅速及时、切中热点是新闻发言人制度在实践中必须遵循的基本准则。     

观众求真心理对影视视听创作的影响

文章分析总结了一些影视作品的市场成败,从逼真性是影像的本性之一的观点以及当代受众的求真心理对当代影视作品创作的重要性角度指出在影视传播在创造过程中应充分考虑到受众心理,尤其是受众的求真心理。