Simulating the Evolution of the Implied Distribution

Motivated by the implied stochastic volatility literature (Britten–Jones and Neuberger, forthcoming; Derman and Kani, 1997; Ledoit and Santa–Clara, 1998) this paper proposes a new and general method for constructing smile–consistent stochastic volatility models. The method is developed by recognising that option pricing and hedging can be accomplished via the simulation of the implied risk neutral distribution. We devise an algorithm for the simulation of the implied distribution, when the first two moments change over time. The algorithm can be implemented easily, and it is based on an economic interpretation of the concept of mixture of distributions. It can also be generalised to cases where more complicated forms for the mixture are assumed.     

强化政府引导服务功能 提高企业整体创新能力

怀化是一个欠发达的山区,要发展、壮大民营经济,提升民营科技企业整体创新能力,必须注重发挥科技部门职能作用,强化政府引导服务功能。     

Modeling Conditional Yield Densities

Given the increasing interest in agricultural risk, many have sought improved methods to characterize conditional crop-yield densities. While most have postulated the Beta as a flexible alternative to the Normal, others have chosen nonparametric methods. Unfortunately, yield data tends not to be sufficiently abundant to invalidate many reasonable parametric models. This is problematic because conclusions from economic analyses, which require estimated conditional yield densities, tend not to be invariant to the modeling assumption. We propose a semiparametric estimator that, because of its theoretical properties and our simulation results, enables one to empirically proceed with a higher degree of confidence.     

Conditioning as disintegration

Conditional probability distributions seem to have a bad reputation when it comes to rigorous treatment of conditioning. Technical arguments are published as manipulations of Radon–Nikodym derivatives, although we all secretly perform heuristic calculations using elementary definitions of conditional probabilities. In print, measurability and averaging properties substitute for intuitive ideas about random variables behaving like constants given particular conditioning information.
One way to engage in rigorous, guilt-free manipulation of conditional distributions is to treat them as disintegrating measures—families of probability measures concentrating on the level sets of a conditioning statistic. In this paper we present a little theory and a range of examples—from EM algorithms and the Neyman factorization, through Bayes theory and marginalization paradoxes—to suggest that disintegrations have both intuitive appeal and the rigor needed for many problems in mathematical statistics.     

Asymptotically optimal estimation of smooth functionals for interval censoring, part 1

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.     

Incentives for voluntary disclosure

Rule l0b-5 of the 1934 Securities and Exchange Act allows investors to sue firms for misrepresentation or omission. Since firms are principal–agent contracts between owners – contract designers – and privately informed managers, owners are the ultimate firms’ voluntary disclosure strategists. We analyze voluntary disclosure equilibrium in a game with two types of owners: expected liquidating dividends motivated (VMO) and expected price motivated (PMO). We find that Rule l0b-5: (i) does not deter misrepresentation and may suppress voluntary disclosure or, (ii) induces some firms to adopt a partial disclosure policy of disclosing only bad news or only good news.     

A new continuous distribution and two new families of distributions based on the exponential

Recent work on social status led to derivation of a new continuous distribution based on the exponential. The new variate, termed the ring(2)-exponential, in turn leads to derivation of two closely related new families of continuous distributions, the mirror-exponential and the ring-exponential. Both the standard exponential and the ring(2)-exponential are special cases of both the new families. In this paper, we first focus on the ring(2)-exponential, describing its derivation and examining its properties, and next introduce the two new families, describing their derivation and initiating exploration of their properties. The mirror-exponential arises naturally in the study of status; the ring-exponential arises from the mathematical structure of the ring(2)-exponential. Both have the potential for broad application in diverse contexts across science and engineering. Within sociobehavioral contexts, the new mirror-exponential may have application to the problem of approximating the form and inequality of the wage distribution.     

经济全球化悖论之对策研究

经济全球化过程中的负面效应如同经济全球化本身一样是客观的,问题的关键在于如何兴利除弊,特别是发展中国家、欠发展国家应采取积极的对策应对经济全球化的悖论.一是争取建立弱小国家平等地参与全球经济的机制,包括平等地参与制定游戏规则,制定自己的标准等;二是富国应为反贫困负起更大的责任,反贫困的内容是多方面的,发达国家应在多方面承担反贫困的义务;三是增加经济全球的稳定节点.     

Core structure and comparative statics in a hybrid matching market

Flexible firms compete by means of wages in the Assignment market while rigid firms have no flexibility over terms of appointment in the Marriage market. Workers trade with both kinds of firms in the hybrid market.Examples show that standard results that characterize the core of the Marriage market (respectively, Assignment market) are not robust to the entrance of flexible (respectively, rigid) firms to this market. A new algebraic structure provides a different characterization for the core of the hybrid model and reflects a sort of robustness to the exit of rigid (respectively, flexible) firms from this market. Meaningful comparative static results are derived.     

A note on the projection properties of Hadamard matrices obtained by the first Payley construction

We show that the projections on four factors of an arbitrary orthogonal array of strength 2 allow the estimation of main effects and two-factor interactions when all other effects are assumed to be zero, if those projections satisfy the bounds given by Weils theorem. The only exceptions are the Hadamard matrices of orders 16 and 24. A consequence is again the estimability of main effects and two-factor interactions for the projections on four factors of the first Payley construction for arbitrary run size.