Option Pricing and Hedging under a Markov Switching Lévy Process Model

In this paper,we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging.In this model,the market interest rate,the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process.We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure.The option price using this model is obtained by the Fourier transform method.We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.     

中国国债期货与隐含择券期权定价

本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。     

Sulfated choline ionic liquid-catalyzed acetamide synthesis by grindstone method

Sulfated choline ionic liquid (SCIL) has been found to be an efficient solid acid IL catalyst for the protection of amine groups with acetic anhydride under solvent-free grindstone conditions. The attractive features of this new catalytic methodology include its sustainability, facile work-up procedure, economic viability, and biodegradability. The SCIL catalyst was characterized using infrared spectroscopy, wide-angle X-ray scattering analysis, and scanning electron microscopy with energy dispersive X-ray spectroscopy. The catalyst could be reused six times without significant loss in activity. Furthermore, no chromatographic separations were needed to obtain the desired products.     

Composition assessment of ferric oxide by accurate peak fitting of the Fe 2p photoemission spectrum

A quantitative study of the surface composition of ferric oxide employing photoemission spectra is presented. It was possible to accurately reproduce the expected composition (Fe_2.00±0.05O₃) by modeling the background as a combination of Shirley‐type (Shirley–Vegh–Salvi–Castle) and slope backgrounds through the active approach. The line‐shape employed to fit apparent peak asymmetries was the double‐Lorentzian. It was possible to resolve a previously unreported satellite located at ~729 eV. Copyright © 2016 John Wiley & Sons, Ltd.     

Experimental characterization of dynamic behaviour of gelatin-based material using DIC

In this paper, the dynamic response of gelatin-based soft material under impact loading is investigated. The dynamic tests are principally performed by the classical SHPB (Split Hopkinson Pressure Bars) technique. However, due to the very low mechanical impedance of the specimen compared with the Hopkinson bars, the feeble impact forces are measured by highly sensitive piezoelectric polyvinylidene fluoride (PVDF) pressure sensors instead of SHPB measurement system. The PVDF pressure sensors are placed on the interfaces between the specimen and the bars. During the impact test, the non-equilibrium stress state and inhomogeneous strain fields are developed in the specimen; a digital image correlation (DIC) technique is proposed to identify the inhomogeneous displacement fields using high speed photography. A non-parametric approach based on the DIC technique is developed to deduce the transient stress fields in the longitudinal and transverse directions from the displacement fields measured by DIC. The validation of the calculated stress fields is performed by comparing them with the stress measurements from the PVDF pressure sensor at the bottom end of the specimen. Furthermore, stress-strain response is carried out using this approach throughout the specimen. It is clearly shown that the average highest strain rate varies with position in the specimen. This lead to multiple stress-strain relations determined at different strain rates by only one impact test. The significant strain rate sensitivity is observed at the tested rate range from 81/s to 269/s. Under compression loading, the axial stress state is developed as a simple compression only in the central part of the specimen due to the friction at the interfaces between the specimen and the bars. According to the calculated results based on movement of “long waves”, the region of the simple compression stress state in the central part of the specimen is localized. It is observed that the axial stress is much more important than the transverse stress in the central part and this confirms the assumption of uni-axial compression stress state in the specimen.     

Optimal investment strategies for participating contracts

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.     

Unifying pricing formula for several stochastic volatility models with jumps

In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log‐normal and a log‐uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out‐of‐the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.     

Power and reversal power links for binary regressions: An application for motor insurance policyholders

In binary regression, symmetric links such as logit and probit are usually considered as standard. However, in the presence of unbalancing of ones and zeros, these links can be inappropriate and inflexible to fit the skewness in the response curve and likely to lead to misspecification. This is the case of covering some type of insurance, where it can be observed that the probability of a given binary response variable approaches zero at different rates than it approaches one. Furthermore, when usual links are considered, there is not a skewness parameter associated with the distribution chosen that, regardless of the linear predictor, is easily interpreted. In order to overcome such problems, a proposal for the construction of a set of new skew links is developed in this paper, where some of their properties are discussed. In this context, power links and their reversal versions are presented. A Bayesian inference approach using MCMC is developed for the presented models. The methodology is illustrated considering a sample of motor insurance policyholders selected randomly by gender. Results suggest that the proposed link functions are more appropriate than other alternative link functions commonly used in the literature. Copyright © 2016 John Wiley & Sons, Ltd.     

Recent Progress in the Simulation of Chiral Systems with Real Time Propagation Methods

In this brief review, an overview about recent efforts to simulate the spectroscopic signatures of chiral molecules is given with focus on real time propagation approaches to solve the time-dependent Schrödinger equation. In particular the simulation of electric circular dichroism spectra and vibrational Raman optical activity is discussed. In comparison to linear absorption spectra, where only the response of the electric dipole moment is necessary, the response of the magnetic dipole moment and electric quadrupole moment is more intricate. Issues such as gauge origin dependence, basis set dependence, non-local potentials and the dipole approximation are addressed.