基于复傅里叶级数展开的最低身故利益保障寿险产品的定价

本文利用复傅里叶级数展开方法(CFS)对最低身故利益保障(GMDB)寿险产品进行定价,其主要的思想是对辅助函数进行傅里叶级数展开.本文考虑了两种剩余寿命密度函数的形式,即联合指数形式和分段常数死亡率形式,并通过运用已知的Levy模型的特征函数来估计级数的系数.我们将主要考虑看涨期权和看跌期权下GMDB产品的定价问题,在数值实验部分我们还通过与余弦级数展开方法(COS)和蒙特卡洛方法(MC)进行比较来说明CFS在计算精度和运行时间方面的优势.     

中国大陆外商直接投资与入境商务旅游的空间错位研究

利用1998~2013年中国大陆30个省区外商直接投资（FDI）和入境商务旅游（IBT）的面板数据,基于重力模型和空间错位指数模型研究了二者的空间错位现象、特征及动力机制.结果发现：FDI与IBT存在空间错位且空间错位距离S逐年增加,预测至2018年S将达702.42 km;二者的空间错位具有空间差异性,呈现出一定的地带差异（东部的空间错位态势较中西部更为显著）和省际差异（广东和江苏SMI排名前两位,甘肃和吉林SMI排名后两位）;东部的空间错位格局决定了全国的空间错位格局.结合FDI与IBT空间错位的发展趋势,进一步分析了二者空间错位的动力机制,发现：FDI和IBT的属性特征是二者产生空间错位的内驱力,交通的迅速发展是直接动力,东西部的地区差异性是外部动力,政府政策支持是助力.     

基于泊松跳跃的最佳并购时机比较研究

基于最优停时理论、实物期权方法、平滑粘贴条件和道格拉斯生产函数转换,通过时机模型构建与求解,比较分析了无泊松跳跃和有泊松跳跃两种情形下的最佳并购时机。研究结果显示,驱动企业并购的主要是协同效应;企业并购存在仅与并购双方相对股价有关的最佳并购时机及其对应的并购区域;泊松跳跃使并购阈值下界和并购阈值上界右移,并购区域变宽,选择最佳并购时机需要更多信息;在相对股价进入并购区域时,即可实施并购,否则,主并方的最佳策略为持有等待期权,即继续等待。研究结论可为企业选择最佳并购时机,尤其是国有企业选择产权转让的最佳时机提供直接理论指导和实践借鉴。     

Pricing life insurance contracts with early exercise features

In this paper we describe an algorithm based on the Least Squares Monte Carlo method to price life insurance contracts embedding American options. We focus on equity-linked contracts with surrender options and terminal guarantees on benefits payable upon death, survival and surrender. The framework allows for randomness in mortality as well as stochastic volatility and jumps in financial risk factors. We provide numerical experiments demonstrating the performance of the algorithm in the context of multiple risk factors and exercise dates.     

外国直接投资、进出口总额和国内生产总值关系的协整分析

本文利用相关性和协整检验方法,分析外国直接投资、进出口额和国内生产总值的关系,结果显示三者之间存在协整关系,外国直接投资和国内生产总值共同促进国际贸易的增长,但外国直接投资和国内生产总值不存在协整关系,我国利用外资的水平不高.     

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.     

Numerical solution of systems of partial integral differential equations with application to pricing options

We introduce and analyze a strongly stable numerical method designed to yield good performance under challenging conditions of irregular or mismatched initial data for solving systems of coupled partial integral differential equations (PIDEs). Spatial derivatives are approximated using second order central difference approximations by treating the mixed derivative terms in a special way. The integral operators are approximated using one and two–dimensional trapezoidal rule on an equidistant grid. Computational complexity of the method for solving large systems of PIDEs is discussed. A detailed treatment for the consistency, stability, and convergence of the proposed method is provided. Two asset American option under regime–switching with jump–diffusion model when solved using a penalty term, leads to a system of two dimensional PIDEs with mixed derivatives. This model involves double probability density function which brings more challenges to the numerical solution in already a complicated partial integral differential equation. The complexity of the dense jump probability generator, the nonlinear penalty term and the regime–switching terms are treated efficiently, while maintaining the stability and convergence of the method. The impact of the jump intensity and other parameters is shown in the graphs. Numerical experiments are performed to demonstrated efficiency, accuracy, and reliability of the proposed approach.     

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。     

境外机构投资者持股周期与公司治理绩效关系的实证研究

选取2003-2015年我国沪深A股上市公司中有境外机构投资者(QFII)持股的公司作为研究样本,将QFII持股周期划分为短期、中期和长期三类,通过理论分析和实证分析研究QFII不同持股周期对上市公司治理绩效的影响,研究结果表明,QFII短期持股时,奉行财务投资理念,通过买卖价差获取投资收益,不会对公司治理绩效产生影响;QFII中期持股时,会对公司治理绩效产生影响,但影响作用较微弱;QFII长期持股时,主要奉行价值投资理念,通过积极参与公司治理影响公司治理绩效,获得高额投资收益。本文的研究结论对我国境内机构投资者和上市公司具有一定的借鉴作用,同时可以为我国引入QFII提供政策建议。     

The discontinuous Galerkin method for discretely observed Asian options

Asian options represent an important subclass of the path-dependent contracts that are identified by payoff depending on the average of the underlying asset prices over the prespecified period of option lifetime. Commonly, this average is observed at discrete dates, and also, early exercise features can be admitted. As a result, analytical pricing formulae are not always available. Therefore, some form of a numerical approximation is essential for efficient option valuation. In this paper, we study a PDE model for pricing discretely observed arithmetic Asian options with fixed as well as floating strike for both European and American exercise features. The pricing equation for such options is similar to the Black-Scholes equation with 1 underlying asset, and the corresponding average appears only in the jump conditions across the sampling dates. The objective of the paper is to present the comprehensive methodological concept that forms and improves the valuation process. We employ a robust numerical procedure based on the discontinuous Galerkin approach arising from the piecewise polynomial generally discontinuous approximations. This technique enables a simple treatment of discrete sampling by incorporation of jump conditions at each monitoring date. Moreover, an American early exercise constraint is directly handled as an additional nonlinear source term in the pricing equation. The proposed solving procedure is accompanied by an empirical study with practical results compared to reference values.