技术创新与增长期权定价

本采用了净现值(NPV)和实物期权定价方法对一个实际的MMDS的发射放大器项目进行了定价，并对两种方法定价的结果进行了分析和对比。由于实物期权方法定价的结果包含项目中的增长期权和放弃期权的价值，因而实物期权方法定价的结果比NPV方法定价的结果更合理和更高。     

On two theorems for flat,affine group schemes over a discrete valuation ring

We include short and elementary proofs of two theorems that characterize reductive group schemes over a discrete valuation ring, in a slightly more general context.     

Dubrovin赋值斜群环

本文中对一个斜群环为Dubrovin赋值环给出了一系列等价刻画,并且刻画了一个Dubrovin赋值斜群环的所有素理想.     

Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

The valuations of the near hexagons related to the Witt designs S(5,6,12) and S(5,8,24)

Valuations of dense near polygons were introduced in 16 . In the present paper, we classify all valuations of the near hexagons ??₁ and ??₂, which are related to the respective Witt designs S(5,6,12) and S(5,8,24). Using these classifications, we prove that if a dense near polygon S contains a hex H isomorphic to ??₁ or ??₂, then H is classical in S. We will use this result to determine all dense near octagons that contain a hex isomorphic to ??₁ or ??₂. As a by‐product, we obtain a purely geometrical proof for the nonexistence of regular near 2d‐gons, d ≥ 4, whose parameters s, t, t_i (0 ≤ i ≤ d) satisfy (s, t₂, t₃) = (2, 1, 11) or (2, 2, 14). The nonexistence of these regular near polygons can also be shown with the aid of eigenvalue techniques. © 2005 Wiley Periodicals, Inc. J Combin Designs 14: 214–228, 2006     

Allocating unfunded liability in pension valuation under uncertainty

This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.     

Elliptic fibers over non-perfect residue fields

Kodaira and Néron classified and described the geometry of the special fibers of the Néron model of an elliptic curve defined over a discrete valuation ring with a perfect residue field. Tate described an algorithm to determine the special fiber type by manipulating the Weierstrass equation. In the case of non-perfect residue fields, we discover new fiber types which are not on the Kodaira-Néron list. We describe these new types and extend Tate's algorithm to deal with all discrete valuation rings. Specifically, we show how to translate a Weierstrass equation into a form where the reduction type may be easily determined. Having determined the special fiber type, we construct the regular model of the curve with explicit blow-up calculations. We also provide tables that serve as a simple reference for the algorithm and which succinctly summarize the results.     

Modeling partial Greeks of variable annuities with dependence

Dynamic hedging used to mitigate the financial risks associated with large portfolios of variable annuities requires calculating partial dollar deltas on major market indices. Metamodeling approaches have been proposed in the past few years to address the computational issues related to the calculation of partial dollar deltas. In this paper, we investigate whether the additional complication of modeling the dependence between the partial dollar deltas improves the accuracy of the metamodeling approaches. We use several copulas to model the dependence structures of the partial dollar deltas and conduct numerical experiments to compare different metamodels. Despite the evidence of strong dependence in the estimated models, our numerical results show that modeling the dependence structures in the metamodels does not improve the accuracy of the estimations at the portfolio level. This is because the dependence between the partial dollar deltas is well captured by the covariates used in the marginal models. This finding suggests that we should focus more on marginal models than specifying the dependence structure explicitly.     

Arithmetic Brownian motion and real options

We treat real option value when the underlying process is arithmetic Brownian motion (ABM). In contrast to the more common assumption of geometric Brownian motion (GBM) and multiplicative diffusion, with ABM the underlying project value is expressed as an additive process. Its variance remains constant over time rather than rising or falling along with the project’s value, even admitting the possibility of negative values. This is a more compelling paradigm for projects that are managed as a component of overall firm value. After outlining the case for ABM, we derive analytical formulas for European calls and puts on dividend-paying assets as well as a numerical algorithm for American-style and other more complex options based on ABM. We also provide examples of their use.