Embedded options in commercial banking and their impact on asset liability management

Commercial bankers sell—more often give away—options to their clients like the prepayment facility attached to a mortgage or the right to obtain a credit at a prespecified interest rate which is associated in France with specific term deposits. This paper aims to present the financial consequences of these options from a microeconomic point of view and on the scale of the French banking system. We first example our valuation techniques and then analyse the impact on the balance sheet of a typical commercial bank, both in terms of value and sensitivity. Securitization is presented in this context as a way to monitor risk exposure. Finally the global impact of these embedded options in the French banking system is estimated and briefly discussed.     

Forest of stochastic meshes: A new method for valuing high-dimensional swing options

Swing options generalize American-style options as they allow the holder multiple exercise rights and control over the exercise amounts. In this work, we replace the standard (binomial) trees in the forest of trees algorithm with stochastic meshes, yielding the forest of stochastic meshes; a simulation-based method for valuing high-dimensional swing options. This new method handles general price processes and payoffs, produces high- and low-biased consistent estimators and a true option price confidence interval.     

Numerical Methods and Volatility Models for Valuing Cliquet Options

Several numerical issues for valuing cliquet options using PDE methods are investigated. The use of a running sum of returns formulation is compared to an average return formulation. Methods for grid construction, interpolation of jump conditions, and application of boundary conditions are compared. The effect of various volatility modelling assumptions on the value of cliquet options is also studied. Numerical results are reported for jump diffusion models, calibrated volatility surface models, and uncertain volatility models.     

American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale representations are presented for short (seller’s) and long (buyer’s) positions in an American option with an arbitrary payoff. This general approach extends the special cases considered in the literature concerned primarily with computing the prices of American puts under transaction costs by relaxing any restrictions on the form of the payoff, the magnitude of the transaction costs or the discrete market model itself. The largely unexplored case of pricing, hedging and stopping for the American option buyer under transaction costs is also covered. The pricing algorithms are computationally efficient, growing only polynomially with the number of time steps in a recombinant tree model. The stopping times realising the ask (seller’s) and bid (buyer’s) option prices can differ from one another. The former is generally a so-called mixed (randomised) stopping time, whereas the latter is always a pure (ordinary) stopping time.     

点钞机中夹版人民币的双波长反射比检测

提出了夹版人民币的双波长反射比检测方法。在点钞机中使用二组波长传感器来检测出一叠同版 10 0圆面额人民币中夹入的其它币种。经实测 ,其精度可达每 10 0张 10 0圆 (同版 )中夹入 2张其它币种点 2 0次 ,漏检不超过一次 ,这给金融行业点钞中的夹版鉴别带来了极大的方便     

PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

1. IlltroductionThis paPer is aimed to give a probabilistic numerical aPproach for PDE. Probabilistic numerical method can get the solution one by one, whiCh differs from other nu-merical methods,such aJs the Anite e1ement and drite dffeence method, and rea1ize total parallel computing easily Another advallage of this method is that it suits for problems of highdimension becauseit is dimension indep endent.Consider the fOl1owing Cauchy problem of convectiondiffusion equations. FOr simplic…     

从清廷政争看光绪五、六年中日琉球交涉

光绪五年至光绪六年,清廷内部政争激烈,发生于此时期的中日琉球交涉笼罩在其阴影之下。恭亲王奕䜣、沈桂芬主导的总理衙门与李鸿章共同掌控对日外交的话语权,形成清政府的对日外交底线,然而这一“同盟”在边防危机引发的政治博弈中瓦解：清流围绕“崇厚使俄案”展开搏击,造成原有中央决策系统的撕裂,为更好处理对俄关系,两宫太后引惇亲王、醇亲王、潘祖荫与翁同龢进入决策班底,并启用南书房作为临时办公地,还命四人参与对琉球分割条约的会商,导致恭亲王、沈桂芬一系的决策权受到挑战;与此同时,李鸿章与沈桂芬渐行渐远,由支持草签琉球分割条约转向上奏反对,并获得淮系疆臣的支持。最终,琉球分割条约被废止。     

期权组合最优套期保值模型及实证研究

根据实际投资中投资者可以选择不同到期日、不同敲定价格的期权组合进行套期保值的现实,本文建立了二次效用函数下期权组合最优动态套期保值模型,证明了该模型最优解存在的唯一性,并在协方差矩阵可逆和不可逆两种情形下分别给出了期权最优头寸的显式表达式。在50ETF价格先升后降、先降后升、下降和上升四种情形下,对上证50ETF期权的多种期权组合套期保值问题进行实证分析。研究结果表明:不同到期日不同敲定价格的看跌期权组合具有较好的套期保值效果。本文的研究为选择期权组合进行套期保值和解决展期期权套期保值问题提供了借鉴。     

政府R&D资助对OFDI逆向绿色创新的影响机制研究

应用中国分省区层面数据并采用面板门槛模型,实证考察了政府R&D资助影响OFDI逆向绿色创新的动态效应。研究发现,OFDI对国内绿色创新产生了显著的驱动效应,但这种影响呈现出明显的先负后正的“U”型动态演化特征;政府R&D资助会正向调节OFDI逆向绿色创新溢出,且存在最适宜于OFDI逆向绿色创新的政府R&D资助区间(0.366,0.428],过高或过低强度的政府R&D资助均会在一定程度上造成OFDI逆向绿色创新的红利损失;政府R&D资助调节下OFDI对绿色创新的动态影响具有显著时空异质性,即在时空维度上存在“激励效应”与“挤出效应”交替演化的鲜明特征。