不完全市场定价与对冲方法

在经典的完全市场中,根据无套利原理,能够为期权提供唯一的价格同时可以完全对冲风险.在这样的理论假设下,没有理由管理不好相关衍生产品的风险.但是在现实的金融市场中,有关衍生产品风险管理失败的案例时有发生,特别是最近的金融危机使人们认识到,现实的金融市场是非常复杂而不完全的.在这样的市场中,风险不能完全对冲,定价与对冲问题也变得不易处理,至今还没有一致接受的理论.为了促进更深入的研究,综述了各种在不完全市场中的定价与对冲方法,侧重于基本思想和基本模型.同时也探讨了各种方法的优缺点,以及它们之间的联系,突出了优化理论和方法在解决这类问题中的关键作用,同时也分析了一些需要进一步研究的问题及方法上的空白点.     

Pricing and hedging derivative securities in markets with uncertain volatilities

We present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values σ_minand σ_max. These bounds could be inferred from extreme values of the implied volatilities of liquid options, or from high-low peaks in historical stock- or option-implied volatilities. They can be viewed as defining a confidence interval for future volatility values. We show that the extremal non-arbitrageable prices for the derivative asset which arise as the volatility paths vary in such a band can be described by a non-linear PDE, which we call the Black-Scholes-Barenblatt equation. In this equation, the ‘pricing’ volatility is selected dynamically from the two extreme values, σ_min, σ_max, according to the convexity of the value-function. A simple algorithm for solving the equation by finite-differencing or a trinomial tree is presented. We show that this model captures the importance of diversification in managing derivatives positions. It can be used systematically to construct efficient hedges using other derivatives in conjunction with the underlying asset.     

基于期现共跳的股指期货套期保值研究

本文构建VECM-ARJI-MGARCH模型研究了中国股指期货和现货的长期均衡关系、动态方差、期现共跳特征以及套期保值绩效。结果表明,股指期货和现货表现出显著的共跳性,跳跃强度呈现较高持续性的时变特征。套期保值绩效表明,动态套保比总体优于静态套保比,包含跳跃成分的VECM-ARJI-MGARCH模型的样本外套期保值绩效好于VECM-MGARCH模型,时变跳跃强度模型的样本外套期保值绩效最好。     

Variance optimal hedging for continuous time additive processes and applications

For a large class of vanilla contingent claims, we establish an explicit Föllmer–Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.     

Outsourcing and capacity planning in an uncertain global environment

Firms employing offshore outsourcing strategies may face both exchange rate and demand uncertainties. In this paper, we show that the firms may benefit from operational option to switch production by keeping capacities with both domestic and foreign suppliers. The value of the operational option increases as the exchange rate uncertainty or demand uncertainty increases. In addition, when the firms become risk-averse, they may use domestic capacity to hedge against offshore capacity. As a result, the firms may choose to hold local capacity even if it exhibits negative marginal contribution to the profit. Furthermore, risk-averse firms may keep more total capacity than risk-neutral firms.     

防范套期保值资金风险探析

在现代套期保值制度中,防范资金风险,加强资金管理,构建科学的资金管理秩序,提高资金运营效率是套期保值财务管理的核心所在,也是套期保值在竞争中获胜并保持可持续发展的关键因素.     

关于加快实施工业强市战略的几点意见

实施工业强市战略是提高潍坊城市竞争力,把潍坊建设成现代化强市的重要举措.战略定位要变潍坊比较优势为综合竞争优势,通过调整产业布局、产业集群的发展,借鉴周边地区尤其是青岛市的"品牌经济模式"发展之路,把工业强市战略和人才强市战略结合起来.     

英语广播政治新闻访谈中的模糊限制现象

目前，国内外学者多将新闻英语的研究集中在新闻报道上，涉及新闻访谈的也多从宏观结构或语体角度分析，而以功能语法为工具研究广播新闻访谈英语中的模糊限制现象不是很多。以系统功能语言学为基础，研究探讨模糊限制现象在这类文体中的作用，这不仅能扩展新闻英语的研究范围，还能加深我们对模糊限制现象的认识。