Bioluminescent Analysis. The Action of Toxicants: Physical-Chemical Regularities of the Toxicants Effects

Abstract

The physical-chemical regularities of aromatic compounds' effects in luciferase toxicity biotesting have been studied. The structures and physical-chemical characteristics of the toxicants and of the bioluminescent emitter were taken into account. The inhibition constants of bioluminescence intensiy (I) were calculated and interpreted from the viewpoint of the energy (electron) transfer processes. The induction period (P) and the increase of the time of the maximum light intensity (t_M) which take place in the quinones' presence, have been shown to deal with hydrogen transfer processes. The values of I, P and t_M have been shown to be connected with a size of the quinones' aromatic and aliphatic parts. P- and t_M-dependencies on quinone's redox potential have been demonstrated.     

Duopolistic competition under risk aversion and uncertainty

A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine these two opposing effects in a duopoly setting. We demonstrate that the value of a firm and its entry decision behave differently with risk aversion and uncertainty depending on the type of competition. Interestingly, if the leader’s role is defined endogenously, then higher uncertainty makes her relatively better off, whereas with the roles exogenously defined, the impact of uncertainty is ambiguous.     

股价遵循分数跳扩散的混合型双标的两值期权定价

应用风险中性定价原理,研究标的股价服从分数跳扩散过程的混合型双标的两值期权的定价问题,并得出定价公式,并与股价服从标准布朗运动的定价公式做出比较分析.     

我国环境污染、对外贸易和工业发展的关系探究

使用Eviews6.0软件分析1983年至2011年的统计数据,研究环境污染、对外贸易和工业发展之间的关系.首先,使用熵值法构造环境污染综合评价指数.然后,使用Grange检验确定三个变量之间的因果关系,使用VAR模型求解三者之间的量化关系,研究了脉冲响应分析和方差分解.结果表明:对外贸易会影响工业发展,对外贸易的变动冲击在前期会促进工业发展,随着年数的增加,其作用逐渐减少;对外贸易对环境的冲击表现为先增加然后平稳的减少;工业发展对环境污染的冲击最大出现在第二期,最后,采用分位数回归研究变量关系在不同分位点的变化规律,结果表明:对外贸易在各个分位点上都是高度显著的促进工业发展;对外贸易仅在高分位点上是显著的带来环境污染.     

美国灾害保险期货期权的保险精算定价

考虑连续情形、几何平均保险期货价格的基础上研究欧式看涨保险期货期权的定价,运用保险精算定价的方法,最终给出了连续情形、几何平均欧式看涨保险期货期权的定价.     

政治关系对企业投资决策的影响分析:基于发展中国家视角

基于发展中国家对外直接投资规模越来越大,探讨了政治关系对海外直接投资的影响.通过设定"政治关系"因子,借助经济学市场均衡理论,在分析两类生产企业以及一类用户的基础上,通过求解利润最大化的市场价格和产量,研究了企业潜在利润和生产选择.进而得到:企业的政治关系越强,其参与对外直接投资的临界生产率就越低,使之参与对外直接投资的可能性大大增加.     

A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

The additive method for upper bounds for Bermudan options is rephrased in terms of buyer's and seller's prices. It is shown how to deduce Jamshidian's upper bound result in a simple fashion from the additive method, including the case of possibly zero final pay‐off. Both methods are improved by ruling out exercise at sub‐optimal points. It is also shown that it is possible to use sub‐Monte Carlo simulations to estimate the value of the hedging portfolio at intermediate points in the Jamshidian method without jeopardizing its status as upper bound.     

Time Charters with Purchase Options in Shipping: Valuation and Risk Management

Abstract

The article studies the valuation and optimal management of Time Charters with Purchase Options (T/C–POPs), which is a specific type of asset lease with embedded options that is common in shipping markets. T/C–POPs are economically significant and sometimes account for more than half of the stock market value of listed shipping companies.

The main source of risk in markets for maritime transportation is the freight rate, and we therefore specify a single-factor continuous time model for the dynamic evolution of freight rates that allows us to price a wide variety of freight rate-related derivatives including various forms of T/C–POPs using contingent claims valuation techniques. Our model allows for the derivation of closed valuation formulas for some simple freight rate derivatives, whereas the more complex ones are analysed using numerical (finite difference) procedures. We accompany our theoretical results with illustrative numerical examples as we proceed.     

Comparison of Two Methods for Superreplication

Abstract

We compare two methods for superreplication of options with convex pay-off functions. One method entails the overestimation of an unknown covariance matrix in the sense of quadratic forms. With this method the value of the superreplicating portfolio is given as the solution of a linear Black–Scholes BS-type equation. In the second method, the choice of quadratic form is made pointwise. This leads to a fully non-linear equation, the so-called Black–Scholes–Barenblatt (BSB) equation, for the value of the superreplicating portfolio. In general, this value is smaller for the second method than for the first method. We derive estimates for the difference between the initial values of the superreplicating strategies obtained using the two methods.