基于Multigen Creator和Vega的虚拟校园仿真研究

本文将Multigen Creator和Vega软件相结合实现了西安外国语大学校园的虚拟仿真,主要介绍了在虚拟现实系统构建过程中建模技术的运用、模型优化方法及实时漫游仿真技术,整个系统应用于实际达到了理想的效果。     

Why more restricted stocks,less stock options?--An explanation based on the preference of regulators of China?

This paper provides an empirical explanation of the more frequent use of restricted stock plans for executives than stock option plans, to reveal the determinants of a restricted stock plan and understand its subsequent effects. We find that firms with higher growth opportunity, smaller size, higher executive ownership, smaller rent-seeking probably, and dividend payment prefer to grant restricted stock plans. Moreover, the preference of regulators drives the tendency of using restricted stock plans, designed to have higher pay-performance sensitivity (delta) and lower pay-risk sensitivity (vega). Under the intensive regulation, the restricted stock plans designed by firms with executive ownerships and large agency debt costs are more sensitive to risk. As a result, granting restricted stock plans rather than stock options helps improve firm performance and the preference of regulators on restricted stock plans can also enhance firm performance and decrease firm risks.     

Option market making under inventory risk

We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker. The market maker’s profits come from the bid-ask spreads received over the course of a trading day, while the risk comes from uncertainty in the value of his portfolio, or inventory. Within this framework, we study the impact of liquidity and market incompleteness on the optimal bid and ask prices of the option. First, we consider a market maker in a complete market, where continuous trading in a perfectly liquid underlying stock is allowed. In this setting, the market maker may remove all risk by Delta hedging, and the optimal quotes will depend on the option’s liquidity, but not on the inventory. Second, we model a market maker who may not trade continuously in the underlying stock, but rather sets bid and ask quotes in the option and this illiquid stock. We find that the optimal stock and option quotes depend on the relative liquidity of both instruments as well as on the net Delta of the inventory. Third, we consider an incomplete market with residual risks due to stochastic volatility and large overnight moves in the stock price. In this setting, the optimal quotes depend on the liquidity of the option and on the net Vega and Gamma of the inventory.      

CEO risk-taking incentives and relative performance evaluation

This paper examines how changes in CEO risk-taking incentives are associated with changes in the use of relative performance evaluation (RPE) in CEO contracts. Using a shock to the accounting for executive stock options (FAS 123R), I confirm that risk-taking incentives and option grants declined following FAS 123R using a within-firm design, but not a within-CEO-firm design. Decreased risk-taking incentives lead executives to invest in projects with lower systematic risk and can result in reduced incentives to hedge exposure to systematic risk in CEO compensation contracts via RPE. However, CEO relative risk aversion increases with decreases in risk-taking incentives, potentially increasing incentives to protect CEO wealth from systematic performance via RPE. Testing these competing predictions, I find modest evidence consistent with reduced RPE surrounding FAS 123R, suggesting that when CEO risk-taking incentives are reduced, so are incentives to shield CEO pay from systematic performance.     

Book Review

World Heritage Sites (WHSs) are motivated by such diverse reasons as heritage celebration, alarm calls, tourism branding and marketing and place making. Irrespective of the primary motivation for their creation, WHSs are often used to develop tourism based on cultural and natural resources of international significance. Heritage conservation may or may not be in agreement with what local populations perceive as desirable development paths. We conducted a survey among the island community of Vega in Norway that received WHS status in 2004 motivated by conservation alarm, tourism marketing and place making. We examined the local population's views of the key aspects of future development and how this related to WHS status. The islanders placed high value on social and community conditions as well as heritage linked to cultural and natural resources. While a majority supported tourism based on sustainable use of heritage they also felt that WH listing should not limit development opportunities. There were differences between younger people and adults. WHS may be an effective agent of sustainable tourism development if the main goals and strategies of the WHS are clearly understood and prioritized in the local community, leave room and perhaps link to other development opportunities.     

Black-Scholes模型欧式买权的避险参数分析

观察Black-Scholes欧式买权模型可知，有5个变量的变动会影响欧式买权价值的变动，包括标的股价、履约价、无风险利率、到期日及标的股报酬率标准差。讨论当某一变量变动时，欧式买权价值的变动值及如何采用这些避险参数来规避实务中的风险。