General approximation schemes for option prices in stochastic volatility models

In this paper we develop a general method for deriving closed-form approximations of European option prices and equivalent implied volatilities in stochastic volatility models. Our method relies on perturbations of the model dynamics and we show how the expansion terms can be calculated using purely probabilistic methods. A flexible way of approximating the equivalent implied volatility from the basic price expansion is also introduced. As an application of our method we derive closed-form approximations for call prices and implied volatilities in the Heston [Rev. Financial Stud., 1993, 6, 327–343] model. The accuracy of these approximations is studied and compared with numerically obtained values.     

A jump-diffusion model for the euro overnight rate

In this work we introduce a jump-diffusion process for the euro overnight rate (the European over night index average) that is able to capture the main characteristics of this rate: (i) dynamics constrained to remain in the corridor of official rates fixed by the European Central Bank; (ii) mean reversion towards the official rate on main refinancing operations; and (iii) highly discontinuous pattern (with jumps), also without variations in the official rate. After calibrating the model parameters on historical data, we implement the model to price an overnight indexed swap. Finally, a comparison between our model and the most common short-term interest rate models is presented.     

Turbo warrants under stochastic volatility

Turbo warrants have experienced huge growth since they first appeared in late 2001. In some European countries, buying and selling turbo warrants constitutes 50% of all derivative trading nowadays. In Asia, the Hong Kong Exchange and Clearing Limited (HKEx) introduced the callable bull/bear contracts, which are essentially turbo warrants, to the market in 2006. Turbo warrants are special types of barrier options in which the rebate is calculated as another exotic option. It is commonly believed that turbo warrants are less sensitive to the change in volatility of the underlying asset. Eriksson (2005 Eriksson, J. 2005. Explicit pricing formulas forturbo warrants. Uppsala Dissertation in Mathematics, 45 [Google Scholar]) has considered the pricing of turbo warrants under the Black–Scholes model. However, the pricing and characteristics of turbo warrants under stochastic volatility are not known. This paper investigates the valuation of turbo warrants considered by Eriksson (2005 Eriksson, J. 2005. Explicit pricing formulas forturbo warrants. Uppsala Dissertation in Mathematics, 45 [Google Scholar]), but extends the analysis to the CEV, the fast mean-reverting stochastic volatility and the two time-scale volatility models. We obtain analytical solutions for turbo warrants under the aforementioned models. This enables us to examine the sensitivity of turbo warrants to the implied volatility surface.     

Utility valuation of multi-name credit derivatives and application to CDOs

We study the impact of risk-aversion on the valuation of credit derivatives. Using the technology of utility-indifference pricing in intensity-based models of default risk, we analyse resulting yield spreads in multi-name credit derivatives, particularly CDOs. We study first the idealized problem with constant intensities where solutions are essentially explicit. We also give the large portfolio asymptotics for this problem. We then analyse the case where the firms have stochastic default intensities driven by a common factor, which can be viewed as another extreme from the independent case. This involves the numerical solution of a system of reaction-diffusion PDEs. We observe that the nonlinearity of the utility-indifference valuation mechanism enhances the effective correlation between the times of the credit events of the various firms leading to non-trivial senior tranche spreads, as often seen from market data.     

人员配置模型在商业银行人力资源管理中的应用

人力资源配置是商业银行人力资源管理与开发的焦点问题,人力资源对商业银行经营效益的贡献度,主要取决于商业银行人员配置的效率。目前,关于商业银行人员配置模式的理论研究均不太深入。按照现代人力资源管理的思想,结合中国商业银行人员配置的现状和特点,建立了人员配置模型,从而为商业银行如何实现科学的人员配置开辟了一个全新的视角。     

Developing cross-cultural competencies through international corporate volunteerism

We propose three features of cross-cultural experiences, contextual novelty, project meaningfulness and social support, facilitate the development of cross-cultural competencies. Using a longitudinal design, the employees in Study 1 participated in an international corporate volunteerism program designed with all three features. These results found a positive change over time in cross-cultural competencies. Results of Study 2, also longitudinal, suggest that the participants’ post-assignment cross-cultural competencies are the highest: (1) when employees with higher baseline cross-cultural competencies work in high contextual novelty (i.e., international location) and (2) when employees with lower baseline cross-cultural competencies work in low contextual novelty (i.e., domestic location).     

经济学的数学化贫困——奥地利学派视野中的数学方法

数学化推动了自然科学的迅猛发展,这种趋势也深刻影响了经济学。边际革命后西方主流经济学走上一条数学形式化的不归之路,但作为边际革命发起者之一的门格尔所创立的奥地利学派经济学家一直反对经济学的数学形式化,这源于该学派不同于主流经济学对经济现象的基本认识和所持的哲学观。奥地利学派一直秉承至今的传统对当前经济学的人文理解有重要启示意义。     

谈职业核心能力的指称与职业教育的重点

职业核心能力一词在职业教育界和企业界已广泛使用并有着不同的指称。职业教育界将职业核心能力指称员工的通用能力,而企业界将职业核心能力指称员工的岗位能力。这给校企合作、工学结合以及职业院校的教学带来诸多麻烦,需要相应统一职业核心能力所指称的含义。职教界放弃职业核心能力所指称的含义存在着应然因素。职业院校是学生实现由学生走向职业人的过渡,所使用的名词指称需要与企业相接轨。不同层次的学校有着不同的教育分工,通用能力的培养应当由普通基础教育来承担。     

数学形态学方法在舌象分割中的应用

文章针对在舌图像预处理中阈值分离方法解决舌体分割问题的不足,提出了利用数学形态学法来进行二次处理的新方法,详细阐述了阈值分离方法分割舌体的过程,用数学形态学方法二次处理的原理、实现和实验结果。我们将数学形态学方法应用于舌图像中舌体分割,克服了阈值分离方法的缺陷,取了满意的效果。     

CELL—DYN1600全自动血细胞分析仪质控的新方法

针对国产试剂,运用数理统计的方法,经过长时间观测,建立了一种全自动血细胞分析仪质控的新方法,并经实践检验方法是可行的。