同步码分多址技术在宽带互联网中的运用

本文阐述了第三代通信中的同步码分多址技术原理以及利用此技术在HFC宽带互联网络中的应用。     

Pricing Commodity Spread Options with Stochastic Term Structure of Convenience Yields and Interest Rates

The purpose of this research is to provide a valuation formula for commodity spread options. Commodity spread options are options written on the difference of the prices (spread) of two commodities. From the aspect of commodity contingent claims, it is considered that commodity spread options are difficult to evaluate with accuracy because of the existence of the convenience yield. Hence, the model of the convenience yield is the key factor to price commodity spread options. We use the concept of future convenience yields to develop the model that enriches the stochastic behavior of convenience yield. We also introduce Heath-Jarrow-Morton interest rate model to the valuation framework. This general model not only captures the mean reverting feature of the convenience yield, but also allows us to handle a very wide range of shape that the term structure of convenience yield can take. Therefore our model provides various types of models. The numerical analysis presented in this paper provides some unique features of commodity spread options in contrast to normal options. These characteristics have never been addressed in previous studies. Moreover, it suggests that the existing model overprice commodity spread options through neglecting the effect of interest rates.     

我国住房抵押贷款证券定价研究

在我国房地产业的迅猛发展下,住房抵押贷款规模不断扩大,住房抵押贷款证券化也随着“建元2005-1”的上市而破局,住房抵押贷款证券的定价问题研究也成为我国资本市场证券化领域的热点。本文在总结了国外定价方法和国内相关研究的基础上,从分析影响我国住房抵押贷款证券价格的主要因素入手,阐述了借款人可支配收入和房款这两个主要因素决定的借款人提前还款的模型,并根据我国住房抵押贷款证券的特点建立了住房抵押贷款转付证券的静态利差定价框架。采用此定价框架,本文对“建元2005-1”资产池进行了定价分析,结果显示,相对于建元发行说明书里假设的CPR,在基于收入和房款的提前还款模型下,资产池的提前还款风险更大,对利率变动更加敏感,要求的收益率也更高。     

信息性交易概率分解与买卖价差研究

本文首先将信息性交易概率（PIN）分解为个股信息性交易概率（PINID）和市场信息性交易概率（PINM）：利用2003年7月至2004年6月高频分笔数据，计算出上证50样本股的周PINID．发现PINID在PIN中占有大部分的比重，得到样本股的平均PINID为0．1052。其次，本文运用非参数检验验证了随着成交量增加，PINID显著减小。最后，在考虑PIN和PINID下，对买卖价差的影响因素进行研究。研究表明，虽然PIN对买卖价差有着显著的正向影响，但仅其中的PINID部分才是决定因素。这也验证了PIN分解的意义。此外，波动率和流通股比例均对买卖价差有着显著的正向影响，而股票价格、成交量和换手率的影响则不显著。     

Information asymmetry around operational risk announcements

Operational risk incidences are likely to increase the degree of information asymmetry between firms and investors. We analyze operational risk disclosures by US financial firms during 1995–2009 and their impact on different measures of information asymmetry in the firms’ equity markets. Effective spreads and the price impact of trades are shown to increase around the first announcements of such events and to revert after the announcement of their settlement. This is especially pronounced for internal fraud and business practices related events. Market makers respond to higher information risk around the first press cutting date by increasing the quoted depth to accommodate an increase in trading volumes.The degree of information asymmetry around operational risk events may be influenced by the bank’s risk management function and the bank’s governance structure. We indeed find that information asymmetry increases more strongly after events’ first announcements when firms have weaker governance structures—lower board independence ratios, lower equity incentives of executive directors, and lower levels of institutional ownership. In contrast, the firms’ risk management function has little to no impact on information asymmetry. We interpret this as evidence that the risk management function is primarily driven by regulatory compliance needs. The results of this study contribute to our understanding of information asymmetry around operational risk announcements. They help to shed light on the role that regulation and corporate governance can play in order to establish effective disclosure practices and to promote a liquid and transparent securities market.     

Performance and informed trading. Comparing foreigners,institutions and individuals in an emerging stock market

Do local institutions, local individuals or foreigners perform better in a small emerging market? We seek answers to this question by examining the investment performance of each group of investors using two unique databases of Colombian stocks. Our analysis serves as an out-of-sample test of previous findings. We find that local institutions have better outcomes than foreigners and local individuals on all performance measures. Furthermore, local individuals perform better than foreigners on trading execution, while foreigners generate better long-term returns. Using a bid-ask spread decomposition, we provide additional evidence that the better performance of institutions is consistent with informational advantages. Our findings reconcile contradictory statements from previous studies.     

浮动利率债券久期和凸性的研究

本文首先推导了浮动利率债券的利差久期、利率久期、利差凸性和利率凸性的封闭式计算公式,适用于任意结算日。随后对久期的敏感性研究发现,浮动利率债券的利差久期总体上大于利率久期,且二者都是距离下一付息日时间的递增函数;利差久期是剩余付息次数的递增函数;在贴现利差大于（等于、小于）基本利差时,利率久期是剩余付息次数的递减（不变、递增）函数;利率久期和利差久期都是贴现利差的递减函数。最后使用封闭式公式计算四支浮动利率债券的久期和凸性,同时计算有效久期和有效凸性来检验,发现两种计算方法的结果很接近。     

Bankruptcy regime and the banking system

Banks’ behavior as creditors relies heavily on the content of legal rights granted by the national bankruptcy laws. Using a sample of 87 countries over the period 2005–2016, this paper investigates whether the degree of such legal rights influences the following banking indicators: (1) private credit, (2) bank lending-deposit spread, and (3) foreign banks’ presence. Robust dynamic panel estimates indicate a significant and positive impact only on foreign banks’ presence in countries with a high level of creditors’ protection and bankruptcy systems that encourage the survival of financially distressed firms.     

Long term spread option valuation and hedging

This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are in dynamic equilibrium (i.e., cointegrated). The spread exhibits properties different from its two underlying commodity prices and should therefore be modelled directly. This approach offers significant advantages relative to the traditional two price methods since the correlation between two asset returns is notoriously hard to model. In this paper, we propose a two factor model for the spot spread and develop pricing and hedging formulae for options on spot and futures spreads. Two examples of spreads in energy markets – the crack spread between heating oil and WTI crude oil and the location spread between Brent blend and WTI crude oil – are analyzed to illustrate the results.     

揭开隐藏在扩谱通信中的秘密

抗干扰、跳频数字无线电系统技术正在迅速发展,军队正努力跟上新的检测技术和截获技术。