Convexity Bias in the Pricing of Eurodollar Swaps

The traditional use of LIBOR futures prices to obtain surrogates for the Eurodollar forward rates is proved to yield a systematic bias in the pricing of Eurodollar swaps when one assumes that the yield curve is well described by the Heath-Jarrow-Morton model. The resulting theoretical inequality is consistent with the empirical observations of Burghardt and Hoskins (1995), and it provide a theoretical basis for price anomalies that are suggested by more recent empirical data.     

Modelling day‐ahead electricity prices

A production‐based approach is introduced to take into account different attitudes and liabilities of market participants to discuss the equilibrium day‐ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. A discussion of reasons for high price volatility is given.     

Sequential resource allocation with constraints: Two-customer case

We study a two-customer sequential resource allocation problem with equity constraint, which is reflected by a max–min objective. For finite discrete demand distribution, we give a sufficient and necessary condition under which the optimal solution has monotonicity property. However, this property never holds with unbounded discrete distribution.     

基于CEEMD的重大事件对香港住宅价格影响的实证分析

应用互补集成经验模态分解（CEEMD）方法对香港1997―2018年的住宅价格月度数据进行了分解,将经过重构后的数据分成高频序列、低频序列与残差项。将BP多断点检测应用于低频序列,并结合样本时段内的重大事件进行实证分析。结果表明：1997年亚洲金融风暴对房价的影响大于2008年金融危机;外部经济体的救市政策间接地影响香港房价;在经济不景气的大环境下“孙九招”政策没有立即见效;资本投资者入境计划、住房供给调整与按揭贷款调整对房价的影响较为显著;税收调整对房价影响不显著、对交易量影响显著;SARS爆发使住宅价格下降约1%。     

Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method

Socially Responsible Investing (SRI) is broadly defined as an investment process that integrates not only financial but also social, environmental, and ethical (SEE) considerations into investment decision making. SRI has grown rapidly around the world in the last decades. In the last years, given the causes of the 2008 financial crisis, ethical, social, environmental and governance concerns have become even more relevant investment decision criteria. However, while a diverse set of models have been developed to support investment decision-making based on financial criteria, models including also social responsibility criteria are rather scarce.     

Debt–equity swap with finite time horizon—variational inequality approach

This paper concerns the finite-horizon optimal reorganization problem under debt–equity swap. The model of equity is formulated as a parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary corresponds to the optimal reorganization boundary. The existence and uniqueness of the solution are proven and the behavior of the free boundary, such as smoothness, monotonicity and boundedness, is studied. To the best of our knowledge, this is the first complete set of results on debt–equity swap for finite maturity obtained using PDE techniques.     

金融危机后中国跨境短期资本流动与人民币汇率及资产价格波动关联研究

基于综合资产收益率平价理论构建理论模型,研究探讨了中国跨境短期资本流动规模与资产价格及人民币汇率预期变动之间的动态关系.然后在此基础上通过建立VAR模型,采用格兰杰因果检验以及脉冲响应分析等方法实证分析了2010年7月至2015年6月中国跨境短期资本流动、人民币汇率预期波动、利率、房价和股价变动之间的关联关系.实证结果表明:中国房地产市场、股票市场上涨会吸引短期跨境资本流入;美元利率上升和人民币贬值预期会引致短期跨境资本的流出;短期跨境资本流入会造成国内利率降低,但对房地产市场、股票市场的影响不显著;中国房地产市场与股票市场之间会有联动效应,人民币的贬值预期也会引致房地产价格下降.     

马尔可夫链及其在股市分析中的应用

本文运用马尔可夫链理论预测股票价格分析股市,提出了股价运行周期和投资收益的最大化理论,并建立其随机过程模型,使决策的长期效益趋于最优,通过实例检验,证明了此模型的可行性和实用性.     

Risk theory insight into a zone-adaptive control strategy

The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives [Directive 2002/13/EC of the European Parliament and of the Council of 5 March 2002, Brussels, 5 March 2002], is introduced and its performance is examined analytically. That examination was initiated in [Malinovskii, V.K., 2006b. Adaptive control strategies and dependence of finite time ruin on the premium loading. Insurance: Math. Econ. (in press)] and is based on the application of the explicit expression for the finite-time ruin probability in the classical risk model. The result of independent interest in the paper is the representation of that finite-time ruin probability in terms of asymptotic series, as time increases.     

允许卖空的资本市场中存在非负均衡价格向量的充要条件

For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived. Moreover, the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets, the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed. These results improve the available results about the equilibrium analysis of the mean-variance market.