Stock price dynamics and option valuations under volatility feedback effect

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.     

Calibration of a multifactor model for the forward markets of several commodities

We propose a model for the evolution of forward prices of several commodities, which is an extension of the factor forward model in [1, 2], to a market where multiple commodities are traded. We calibrate this model in a market where forward contracts on multiple commodities are present, using historical forward prices. First, we calibrate separately the four coefficients of each individual commodity, using an approach based on quadratic variation/covariation of forward prices. Then, with the same technique, we pass to the estimation of the mutual correlation among the Brownian motions driving the different commodities. This calibration is compared to a calibration method used by practitioners, which uses rolling time series and requires a modification of the model, but turns out to be more accurate in practice, especially with a low frequency of observed transaction. We present efficient methods to perform the calibration with both methods, as well as the calibration of the intercommodity correlation matrix. Then we calibrate our model to WTI, ICE Brent and ICE Gasoil forward prices. Finally we present a method for estimating spot volatility from forward parameters, with an application to the WTI spot volatility.     

基于ARIMA模型的我国大宗农产品价格指数预测

以2006年6月至2015年12月我国大宗农产品价格指数月度时间序列作为研究对象.构建ARIMA(1,1,1)模型对我国大宗农产品价格指数进行了拟合和预测,并对模型拟合效果和预测准确度进行了检验,效果均良好.预测结果表明,从长期变化趋势看,我国大宗农产品价格指数上涨是大势所趋.从短期变化趋势看,大宗农产品面对较大的价格下行压力.     

相移阴影莫尔条纹正交化解调技术

提出一种基于克莱姆正则化分析法的三帧自标定相移阴影莫尔三维轮廓技术.该技术首先采用移动光栅的方法获得相移条纹图,然后通过不同帧相移条纹图相减去除条纹图背景,进而结合克莱姆正交化法和最小二乘法,发展了一种相位解调方法,提取了测量相位.以五步Harlharan算法为参考,用不同算法对同一物体表面进行测量.结果表明,相对于典型的三步相移法和主量分析方法,提出的方法测量得到的相位误差最小(0.5rad),且简化了测量过程.     

On the global existence and finite time blow-up of shadow systems

Shadow systems are often used to approximate reaction-diffusion systems when one of the diffusion rates is large. In this paper, we study the global existence and blow-up phenomena for shadow systems. Our results show that even for these fundamental aspects, there are serious discrepancies between the dynamics of the reaction-diffusion systems and that of their corresponding shadow systems.     

突发事件对国际油价的影响分析

突发事件是引起国际油价剧烈波动的非市场因素之一.构建一种ARIMA-GARCH传递函数模型,探讨不同类型突发事件对油价的影响程度,并对历史上三个突发事件进行实证分析,考察它们对油价的持续影响、即期影响和弱化趋势影响,在此基础上总结出不同类型突发事件对油价的影响规律.     

国际油价波动对我国经济影响的CGE分析

石油价格变动会引起一个经济体全方位的反应.本文利用一个中国CGE模型—MCHUGE模型,研究油价上涨20%对我国经济发展的影响.研究结果表明,石油生产、加工、冶炼以及部分化工等跟原油关系最直接的产业将从石油涨价中获益;以石油为原料的行业由于成本不容易转嫁,大部分会受到石油涨价的影响;其他替代能源产业因需求大幅上升而涨价;汽车和机械制造业将受到一定的冲击.在此基础上,我们提出了一些政策建议.     

期货市场中持仓量及参与者对资产价格的影响研究

本文通过建立一个期货市场的均衡模型,提出在具有套保需求和有限风险承受能力的前提下,期货价格能够预测未来资产价格变动的方向,持仓量能够辅助预测未来资产价格变动的剧烈程度;此外,市场中不知情投机者具有风险调整市场收益的作用,不知情套保者的参与能够稳定市场。对于持仓量是否能够辅助预测未来资产价格变动的剧烈程度,本文利用中国商品期货市场数据进行了实证检验,结果表明与理论研究的结论一致。     

相移阴影莫尔基于迭代LSM拟合

相移阴影莫尔技术相位高度存在着非线性关系,无法在全场获得均匀相移,因而致使经典的相移算法不能得到精确解.对此,提出了一种基于最小方差迭代的相移阴影莫尔技术,该技术通过垂直光栅面等间距移动光栅来产生相移,但光栅移动距离可不采用固定值,所以相移过程灵活|使用在高度解调过程中确定的逐点相移增量来抽取精确的测量相位,实现了相移阴影莫尔技术中固有的相位高度非线性误差补偿.结果表明,该方法可通过干涉图计算光栅的移动量,具有相移器的自标定特性.