A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

In this paper we propose a transform method to compute the prices and Greeks of barrier options driven by a class of Lévy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Lévy model with hyper-exponential jumps. Inversion of these single Laplace transforms yields rapid, accurate results. These results are employed to construct an approximation of the prices and sensitivities of barrier options in exponential generalized hyper-exponential Lévy models. The latter class includes many of the Lévy models employed in quantitative finance such as the variance gamma (VG), KoBoL, generalized hyperbolic, and the normal inverse Gaussian (NIG) models. Convergence of the approximating prices and sensitivities is proved. To provide a numerical illustration, this transform approach is compared with Monte Carlo simulation in cases where the driving process is a VG and a NIG Lévy process. Parameters are calibrated to Stoxx50E call options.     

Pricing the Chicago Board of Trade T-Bond futures

The aim of this paper is to investigate the pricing of the Chicago Board of Trade (CBOT) Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent embedded delivery options, which can be exercised at various times and dates during the delivery month. We consider a general Markov diffusion process model for stochastic interest rates and propose a pricing algorithm that can handle all the delivery rules embedded in the CBOT T-Bond futures. Our procedure combines dynamic programming, finite-elements approximation, and fixed-point evaluation. Numerical illustrations are provided under the one-factor Vasicek and Cox–Ingesoll–Ross models, and under the time in-homogeneous Hull–White model.     

对金融衍生品市场内幕交易的一些新思考--澳大利亚现行的反内幕交易法及其带给我们的若干启示

本文着眼于澳大利亚在治理金融衍生品市场内幕交易中积累的丰富经验,针对一个崭新的前瞻性课题,即金融衍生品市场的内幕交易问题展开研究。作者认为,由于内幕交易与信息非对称性之间存在的内在冲突,实际上反内幕交易法规很难有效地阻止金融衍生品的内幕交易行为,过于复杂的反内幕交易法规会对市场产生一些负面影响,而放松内幕交易监管这一新思维将对市场的良性发展更为有益,应该让市场来决定内幕交易行为的“存亡”。但目前最为现实、温和的选择仍然是修改现行反内幕交易法,以维护市场的公平性和有效性。最后,笔者对如何缓解中国目前内幕交易猖獗的现状提出建议。     

The consequences of managerial indiscretions: Sex,lies, and firm value

Personal managerial indiscretions are separate from a firm's business activities but provide information about the manager's integrity. Consequently, they could affect counterparties’ trust in the firm and the firm's value and operations. We find that companies of accused executives experience significant wealth deterioration, reduced operating margins, and lost business partners. Indiscretions are also associated with an increased probability of unrelated shareholder-initiated lawsuits, Department of Justice and Securities and Exchange Commission investigations, and managed earnings. Further, chief executive officers and boards face labor market consequences, including forced turnover, pay cuts, and lower shareholder votes at re-election. Indiscretions occur more often at poorly governed firms where disciplinary turnover is less likely.     

对影响速度素质因素的探讨

速度素质是人体身体素质的重要组成部分之一 ,任何体育运动项目 ,都必须具备相应的速度素质水平。本文将就影响速度素质因素进行一些探讨。     

诉讼时效的若干程序法问题探析

诉讼时效既是一个实体法问题，又是一个程序法问题。在我国，存在诉讼时效审查中的职权主义，证明责任的分配不明确等问题，使诉讼时效的立法目的无法实现，有时甚至适得其反。因此，随着我国民事审判制度改革的深入，确立诉讼时效审查时的法官不自动援引原则，在证明责任中确立被告承担诉讼时效完成的主张责任的基础上，同时确立原告承担诉讼时效未完成的证明责任，这样，既符合诉讼时效的立法目的，又有利于我国司法公正。     

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

A regularized (smoothed) version of the model calibration method of 1 ) is studied. We prove that the regularized formulation is solvable and that the solution depends continuously on the input data (observed derivative security prices). Associated issues of model credibility, stability, and robustness (insensitivity to model assumptions) are discussed. The Implicit Function Theorem for Banach spaces is used for the stability proof, and some numerical illustrations are included.     

论社会资本与市场经济秩序的规范

社会资本是指存在于人们中间、能促使人们参加集体活动的、人们共同遵守的规范、人们组成的关系网络以及社会制度。作为一种新近发现的资本形式,社会资本通过增进信任、加强合作、降低交易成本等作用方式,提高政府效率,弥补市场失灵,有效规范转型时期我国的市场经济秩序,促进市场经济健康有序发展。     

关于诉讼形式机制功能效应的辩证思考

诉讼形式理性化、机制功能化已经成为现代诉讼体系建构的一个重要特征。诉讼形式机制对现代诉讼功能的产生和发展产生了十分重要的作用。但是，关注诉讼形式机制所产生的消极功能也是建构现代诉讼体系、推进当代中国司法改革所不能忽视的。     

What comes after the welfare state?: A post-welfare development path for the UK

One vision of post-industrial society projects a sane, humane, ecological future. Achievement of this requires societal transformation of almost unprecedented dimensions. This paper offers a preliminary exploration of how changing directions to this kind of future would affect social welfare and social services in the UK. Current community activities which may help accelerate change in local futures are outlined.