Valuation of futures options with initial margin requirements and daily price limit

The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.     

中国玉米期货市场价格发现功能的实证分析

利用相关系数、协整检验、格兰杰因果检验以及GS模型等方法对大连期货交易所玉米期货市场的发现价格功能进行了实证分析.结果表明:玉米期货价格与现货价格之间存在协整关系,期货价格具有良好的发现价格功能;存在期货价格和现货价格的双向格兰杰引导关系;玉米期货市场的发现价格功能中期货价格起着决定性的作用.     

Internal vs. external risk measures: How capital requirements differ in practice

We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there is no clear-cut relationship between the two. Our results highlight the relevance of TCM as a robust alternative to TCE, especially for regulatory control.     

Estimation error in regulatory capital requirements: theoretical implications for consumer bank profitability

Despite the topic's societal importance and despite progress in bank research, a lack of consensus exists concerning either the desirability of bank regulation or its optimal design. Enforcement of minimum bank capital standards has been shown to enhance bank stability, but also serves as a potential source of incremental costs, some of which are subtle. Such widely ambiguous research results point to the need for theoretical research regarding capital regulation across diverse banking systems. Along the latter lines, consumer bank issues have been generally neglected. This paper theoretically examines the performance implications of misestimating the regulatory capital requirement for a stylised consumer bank. For our stylised consumer bank, we prove that misestimation, irrespective of its direction, results in lower economic profits and, hence, value. Conclusions and implications for future work are drawn.     

The futures of OR

This paper considers possible futures for OR by building on the views of earlier writers and considering several different images that OR presents of itself, each of which has advantages and disadvantages. Ackoff's 1978 critique of OR is reviewed, together with his proposals for reform and, with the benefit of hindsight, his prognosis is examined. OR has survived, but it has changed, certainly in the UK, in some of the ways that he suggested. In the 1980s, the OR Society investigated the then state of OR practice via a commission that also expressed its thoughts about possible futures. It too got some things right and missed the target on others. Finally Checkland's ideas of root definitions are used to consider possible futures for the OR Society. This is all done in the belief that the future is not out there waiting to happen, but is something that we can create and influence.     

Non-tangential limits, fine limits and the Dirichlet integral

Let denote the unit ball in This paper characterizes the subsets of with the property that for all harmonic functions on which have finite Dirichlet integral. It also examines, in the spirit of a celebrated paper of Brelot and Doob, the associated question of the connection between non-tangential and fine cluster sets of functions on at points of the boundary.

     

Anderson-Cheeger limits of smooth Riemannian manifolds,and other Gromov-Hausdorff limits

We establish further regularity of the C^α and H^1,p limits of smooth, n-dimensional Riemannian manifolds with a lower bound on Ricci tensor and injectivity radius, and an upper bound on volume, first considered in [1]. We use this extra regularity to show that such a limit is a nonbranching geodesic space, as defined in [10], and to construct a variant of a geodesic flow for such a limit. We contrast the behavior of some slightly more singular limits.     

Gaussian factor models futures and forward prices

Email: hyndman{at}mathstat.concordia.ca Received on 31 July 2006. Accepted on 19 March 2007. We completely characterize the futures price and forward priceof a risky asset (commodity) paying a stochastic dividend yield(convenience yield). The asset (commodity) price is modelledas an exponential affine function of a Gaussian factors process,while the interest rate and dividend yield are affine functionsof the factors process. The characterization we provide is basedon the method of stochastic flows. We believe this method leadsto simpler and more clear-cut derivations of the futures priceand forward price formulae than alternative methods. Hedginga long-term forward contract with shorter term futures contractsand bonds is also examined.     

粮食价格与居民消费价格关系的统计分析——1997.1—2005.4年粮价与物价的实证分析

通过对粮价与物价的格兰杰检验,给出粮价与物价就统计意义上的因果关系.并考虑到物价和粮价可能存在集群性,对粮价和物价建立误差修正-自回归条件异方差混合模型.     

Multigraph limits and exchangeability

The theory of limits of dense graph sequences was initiated by Lovász and Szegedy in [8]. We give a possible generalization of this theory to multigraphs. Our proofs are based on the correspondence between dense graph limits and countable, exchangeable arrays of random variables observed by Diaconis and Janson in [5]. The main ingredient in the construction of the limit object is Aldous?? representation theorem for exchangeable arrays, see [1].     

Hedging effectiveness of stock index futures

The paper is concerned with the efficiency of hedging stock portfolios using futures stock indices covering the period January 1995–December 2001. The hedged portfolios consisted of the assets of seventeen investment companies quoted on the London Stock Exchange and two portfolios, which were assumed to match exactly the corresponding cash index. Two futures indices were used to hedge the funds namely FTSE100 and FTSE250 futures indices which are quoted on LIFFE. Weekly observations were used providing 365 observations for each variable.The total sample was split into two sections. The first 261 observations were used to estimate the optimal hedge ratio (i.e. the in-sample period) providing 260 returns for each variable and the remaining 104 (i.e. the post-sample period) observations utilised to check the efficiency of the estimated hedge ratio. In addition a second estimation window was tried using the last 30 observations of the in-sample period. A variety of methods were tried to estimate the optimal hedge ratio including ordinary least squares (OLS), methods allowing for the existence of Autoregressive Conditional Heteroskedasticity, and an Exponential Weighted Moving Average (EWMA).The general conclusions reached were that for the portfolios within the data set (i) that the EWMA method of estimation provided the best estimate of the optimal hedge (ii) the shorter estimation window was no more efficient than the longer window and (ii) the FTESE250 futures index was the best hedging vehicle for these portfolios.     

Trust and relational capital

Trust can be viewed at the same time as an instrument both for an agent selecting the right partners in order to achieve its own goals, and for an agent of being selected from other potential partners in order to establish with them a cooperation/collaboration and to take advantage from the accumulated trust. In this paper we will analyze trust as the agents’ relational capital. Starting from the classical dependence network with potential partners, we introduce the analysis of what it means for an agent to be trusted and how this condition could be strategically used from it for achieving its own goals, that is, why it represents a form of power. The idea of taking another agent’s point of view is especially important if we consider the amount of studies in social science that connect trust with social capital related issues. Although there is a big interest in literature about ‘social capital’ and its powerful effects on the wellbeing of both societies and individuals, often it is not clear enough what is it the object under analysis. Individual trust capital (relational capital) and collective trust capital not only should be disentangled, but their relations are quite complicated and even conflicting. To overcome this gap, we propose a study that first attempts to understand what trust is as capital of individuals. In which sense “trust” is a capital. How this capital is built, managed and saved. In particular, how this capital is the result of the others’ beliefs and goals. Then we aim to analytically study the cognitive dynamics of this object.     

Trust and relational capital

Trust can be viewed at the same time as an instrument both for an agent selecting the right partners in order to achieve its own goals, and for an agent of being selected from other potential partners in order to establish with them a cooperation/collaboration and to take advantage from the accumulated trust. In this paper we will analyze trust as the agents’ relational capital. Starting from the classical dependence network with potential partners, we introduce the analysis of what it means for an agent to be trusted and how this condition could be strategically used from it for achieving its own goals, that is, why it represents a form of power. The idea of taking another agent’s point of view is especially important if we consider the amount of studies in social science that connect trust with social capital related issues. Although there is a big interest in literature about ‘social capital’ and its powerful effects on the wellbeing of both societies and individuals, often it is not clear enough what is it the object under analysis. Individual trust capital (relational capital) and collective trust capital not only should be disentangled, but their relations are quite complicated and even conflicting. To overcome this gap, we propose a study that first attempts to understand what trust is as capital of individuals. In which sense “trust” is a capital. How this capital is built, managed and saved. In particular, how this capital is the result of the others’ beliefs and goals. Then we aim to analytically study the cognitive dynamics of this object.