Synthesis,properties and crystal structures of volatile dimethylgold(III) complexes based on phenyl-containing β-diketones and β-iminoketone

We have synthesized and studied volatile dimethylgold(III) complexes based on phenyl-containing β-diketones and β-iminoketone, namely (CH₃)₂Au(C₆H₅–CO–CH–CO–CH₃), (CH₃)₂Au(bac) (1); (CH₃)₂Au(C₆H₅–CO–CH–CO–CF₃), (CH₃)₂Au(btfa) (2); and (CH₃)₂Au(C₆H₅–CO–CH–C(NH)–CH₃), (CH₃)₂Au(i-bac) (3). The obtained compounds were identified by elemental analysis, ¹H NMR and IR-spectroscopy, and were characterized by DTA and single-crystal X-ray diffraction studies. In compounds 2 and 3, the Au atom has a square coordination environment AuC₂O₂ and AuC₂NO, respectively.     

股票带有机制转换与红利支付的定性期权估值问题研究

本文研究了股票带有红利支付及股价带有机制转换环境下的定性期权估值问题.先利用伊藤公式得到股票价格的动力学方程.再通过随机分析方法推导出标的股票在机制转换市场环境下期权的估值公式.最后进行数值分析,得出带有红利支付的定性期权的估值结果.     

Collaboration in tool development and capacity investments in high technology manufacturing networks

The procurement of capital intensive tools for hi-tech industries is one of the most complex tasks. Astronomical amounts of capital are invested in the processing equipment. Further, there is a large effort from the original equipment manufacturer (OEM) in customizing the high capital intensive equipment to suit their production process. This problem has received little attention from the quantitative decision making literature. For the first time we analyze the problem of OEM deciding on collaborating with the tool supplier via a special type of contract which we refer as “collaboration options”. We show that there are benefits to both the OEM and the tool suppliers from the collaboration.     

An inverse problem of determining the implied volatility in option pricing

In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.     

The CTRW in finance: Direct and inverse problems with some generalizations and extensions

We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to account for correlated increments of the return.     

Efficiency and probabilistic properties of bridge volatility estimator

We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.     

Physical‐chemical Test Platform for Room Temperature,Far‐infrared Ray Emitting Ceramic Materials (cFIR)

Ceramic far‐infrared (cFIR) emitting materials are sources of room temperature FIR radiation that allow non‐thermal irradiation of biological tissue. In this study, we explored some interesting physical and chemical effects that have not been reported. We investigated the effects of cFIR irradiation of sorghum wine using gas chromatography with solid‐phase micro‐extraction (GC‐SPME) to demonstrate enhancement on volatility; monitored pH changes resulting from irradiation on acetic acid; and used UV spectroscopy to identify and quantify chemical changes. On the basis of the results, we deduced that cFIR possesses the ability of weakening hydrogen bond and exhibits chemical reduction change. The methods above provide a relatively convenient and cost‐effective test platform to demonstrate the application of cFIR as an effective alternative to biological assay.     

Exact and approximate solutions for options with time-dependent stochastic volatility

In this paper it is shown how symmetry methods can be used to find exact solutions for European option pricing under a time-dependent 3/2-stochastic volatility model $\mathit{dv}=\mathit{kv}(A(t)-v)\mathit{dt}+{\mathit{bv}}^{\frac{3}{2}}\mathit{dZ}$. This model with $A(t)$ constant has been proven by many authors to outperform the Heston model in its ability to capture the behaviour of volatility and fit option prices. Further, singular perturbation techniques are used to derive a simple analytic approximation suitable for pricing options with short tenor, a common feature of most options traded in the market.     

Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach

ARCH and GARCH stochastic processes are widely used in finance and are generally accepted as good approximations when modelling the price dynamics with Gaussian conditional probability. It can be seen that certain aspects of the empirical data for asset price changes seems to more closely fit a Truncated Lévy Flight or GARCH model, but each with individual shortfalls. In this paper therefore, we combine the GARCH process with a conditional truncated Lévy distribution in order to build a hybrid model that most notably describes the price change and associated volatility probability density distributions and scaling behaviour over different time horizons.     

Comment on ‘multifractal diffusion entropy analysis on stock volatility in financial markets’ [Physica A 391 (2012) 5739–5745]

In their recent article ‘multifractal diffusion entropy analysis on stock volatility in financial markets’ Huang, Shang and Zhao (2012) [6] suggested a generalization of the diffusion entropy analysis method with the main goal of being able to reveal scaling exponents for multifractal times series. The main idea seems to be replacing the Shannon entropy by the Rényi entropy, which is a one-parametric family of entropies. The authors claim that based on their method they are able to separate long range and short correlations of financial market multifractal time series. In this comment I show that the suggested new method does not bring much valuable information in obtaining the correct scaling for a multifractal/mono-fractal process beyond the original diffusion entropy analysis method. I also argue that the mathematical properties of the multifractal diffusion entropy analysis should be carefully explored to avoid possible numerical artefacts when implementing the method in analysis of real sequences of data.