Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

"非典"与流动人口管理模式改革路径的选择

从人口迁移规律入手,分析了"非典"流行期间,北京流动人口管理中存在的种种问题,认为这是执行流动人口和户籍人口"分立并行"管理体制的结果;提出了以"居住地人口管理"模式取代"户籍属地管理"模式的改革设想.     

Across-the-Curve Credit Spread Indices

We design a novel across-the-curve credit spread index, AXI, a measure of the recent cost of wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. AXI, a benchmark for bank lending and risk management, is the weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transaction and issuance volumes. We provide illustrative output of the bond-based component of AXI. By widening coverage to include all corporate debt issuers, we also build a financial conditions index (FXI).     

浮息债券基准利率创新分析

浮息债券基准利率的选择直接决定了浮息债券的投资价值。中国目前浮息债券基准利率有一年期定期存款利率和7日回购利率两种。本文主要通过对两种基准利率的生成机制以及市场波动特征进行分析,重点讨论了不同基准利率浮息债券的融资成本以及浮息债券基准利率创新对中国商业银行证券投资管理带来的新的挑战。     

人民币走向自由兑换的时机选择

汇率制度的选择是一个动态的转换过程。我国目前采用的是钉住美元的汇率制度,这一汇率制度存在着明显弊端,已不适应我国市场经济发展的需要,我国经济的发展迫切需要人民币汇率由钉住汇率转向真正的管理浮动汇率。从现在起到未来的一两年内,是人民币走向浮动,实行人民币自由兑换的最佳时机。     

试析流动儿童与城市社会的融合困境

目前学界多认为流动儿童融入城市社会存在重重困难,但这些研究多停留在事实层面。依据南京某民工子弟学校的调查资料,借鉴戈登的族群融合理论和布劳的社会整合理论,从身份认同融合和结构性融合两维度探讨了形成融合困境的原因。     

当前人民币汇率制度选择的理论思考

任何汇率制度都只是实现经济目标的手段而不是目的,我们在各个时期选择的汇率制度应该是对我国经济发展最有利的制度。在现有的国际货币体系下,如果资本项目尚未开放,则理性的选择应该是固定汇率制度;如果资本项目已完全开放,则实行浮动汇率制是有效而保险的。对于中国这样一个资本账户部分开放的国家,现阶段重新回到真正意义上的有管理的浮动汇率制是必要的,也是可行的。     

茭簰考释--兼及江汉平原湖区人水关系

明清时期长江中游地区地方文献记载的茭簰,并非漂浮种植性质的葑田,而是漂浮居住性质的水上居家设施。“随波上下”且“不时迁移”是其基本特性,实质是借水之力以避水之害,乃湖区居民应对洪涝灾害的居住创举。茭簰不同于为众熟知的舟船,亦有别于水上航行的排筏,茭簰居民并非渔民,而是备有“种莳牲畜”的农民。茭簰与葑田,虽然一耕一居,却具有共同的指向。茭簰是湖区农家适应环境变化,根据生产生活需要而做出的相对选择,堪称湖区居民趋利避害、协调人水关系的代表性举措。     

Retrospect of the Chinese Exchange Rate Regime after Reform： Stylized Facts during the Period from 2005 to 2010

In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.     

城市流动人口居留意愿研究——基于上海、苏州等地的调查分析

以上海市普陀区、苏州市流动人口问卷调查数据为依据,采用统计分析方法,对流动人口居留意愿的特点、流动人口居留意愿的影响因素以及户籍制度对流动人口居留意愿的影响进行了研究。经济因素对流动人口的居留意愿并没有显著的影响,社会因素的影响更加显著,其中社会融合因素与居留意愿正相关,家乡联系与居留意愿呈负相关关系;从制度因素来看,户籍制度对流动人口居留意愿有一定的影响,表现在它改变了一部分流动人口的居留意愿。