Quadratic hedging in an incomplete market derived by an influential informed investor

This paper presents a model with an influential and informed investor. A hedging problem is studied from the point of view of a non-informed agent in an influenced and informed market. Her lack of information makes the market incomplete. Obtained results, by means of Malliavin calculus and Clark–Ocone formula, as well as filtering theory, are the expressions and a comparison between the strategy of the non-informed trader and the strategy of the informed agent. An expression of the residual risk a non-informed trader keeps by detaining an option in this influenced and informed market is derived using a quadratic approach of hedging in incomplete market. Finally, the analysis leads to a measure of the lack of information that makes the market incomplete. The financial interpretation is explained throughout the theoretical analysis, together with an example of such influenced informed model.     

Controlled random fields,von Neumann–Gale dynamics and multimarket hedging with risk

We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann–Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.     

空城计新论－兼论罗贯中的“隐语”创作方法

罗贯中在《三国演义》中运用了“隐语”的创作方法。在空城计故事中，既表现了诸葛亮的神机妙算，又揭露了司马懿与诸葛亮达成政治默契，是十足的政治野心家；同时又暴露了诸葛亮在指挥、用人等方面的错误，认为诸葛亮应对西蜀的灭亡负主要责任。     

Brown运动和Poisson过程共同驱动下的公司价值

用未定权益模型和对冲方法研究公司的投融资问题,得到了公司的价值及公司停产时价格的临界值.结果表明,在其他条件都相同的情况下,如果投资产品价格下降,则杠杆公司必须要先于非负债公司停止运营,否则会亏本.     

高利率借款市场中未定权益的定价

本文指出高利率借款市场中存在可行的保值策略,买方价大卖辩论价,该工作基本上基于Ｋａｒｏｕｉ和Ｐｅｎｇ（１９９７）的结论。     

A utility maximization approach to hedging in incomplete markets

In this paper we introduce the notion of portfolio optimization by maximizing expected local utility. This concept is related to maximization of expected utility of consumption but, contrary to this common approach, the discounted financial gains are consumed immediately. In a general continuous-time market optimal portfolios are obtained by pointwise solution of equations involving the semimartingale characteristics of the underlying securities price process. The new concept is applied to hedging problems in frictionless, incomplete markets.     

信息文化产业发展的战略思考

信息文化产业是近年来迅速崛起的新兴产业,是融合信息技术与文化产业(内容产业),经由市场化运作而发展起来的.信息文化产业既致力于人类的物质文明建设,更致力于人类的精神文明建设,具有不同于其他产业的诸多特点.目前,信息文化产业已发展成为信息产业的龙头产业,对此进行深入的研究与思考具有极其重要的意义.     

有交易限制的未定权益定价

讨论了单时期有交易限制的市场背景下未定权益的定价问题。定义了未定权益的买入和卖出保值价格，得到了未定权益的无套利价格区间，说明了价格区间的无套利性质。就一个具体的金融市场模型讨论了所得结论，并分析了限制务件对价格区间的影响。     

青林子煤矿紧急避险设施的研究

为了建设和完善煤矿井下紧急避险设施,本文通过对青林子煤矿实际情况的分析和研究,按照国家煤矿安监总局对紧急避险设施建设的有关规定,编制了该矿的紧急避险设施设计。