Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

中国股票市场波动特性的实证研究

本文以上证综指和深成分指数的日收益率为研究对象 ,应用 GARCH、TARCH模型理论 ,进一步分析了日收益率波动的条件异方差性、非对称性 ,同时比较了两个股票市场的不同波动特征     

中国股票市场风险的实证分析研究

本文从实证角度说明了上证指数和深证成份指数存在着GARCH现象 ,并建立了沪、深两市股指波动率的IGARCH(1,1) M模型与EGARCH(1,1) M模型。将估计的IGARCH(1,1) M模型与EGARCH(1,1) M模型比较得出 ,对上证指数的波动率 ,IGARCH(1,1) M模型与EGARCH(1,1) M模型的模拟效果基本相同 ,而对深证成份指数的波动率 ,IGARCH M模型要略优于EGARCH M模型。同时还对两市的股指收益的波动率进行了预测分析     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法

我们首先提出了一个带ARMA(1,1)条件异方差相关的随机波动模型,它是基本的随机波动模型的一个自然的推广.进一步,对于这一新模型,我们给出了一个马尔可夫链蒙特卡罗(M CM C)算法.最后,利用该模型的模拟数据,展示了M CM C算法在这种模型中的应用.     

Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Synthesis, properties, and structure of dimethylgold(III) complexes [(CH3)2AuI]2 and (CH3)2AuS2CN(C2H5)2

Volatile diethyldithiocarbamate of dimethylgold(III) was prepared by the interaction of dimethylgold(III) iodide with sodium diethyldithiocarbamate. The complex is examined by the elemental analysis, DTA, IR and electronic spectroscopy. The starting dimeric complex [(CH₃)₂AuI]₂ and a novel monomeric volatile gold(III) complex (CH₃)₂AuS₂CN(C₂H₅)₂ with the AuC₂S₂ coordination core were investigated by single crystal X-ray diffraction for the first time.     

铁岭煤中重金属元素的赋存形态及其在热解过程中的挥发行为研究

采用密度分离、脱灰处理和逐级化学提取等间接方法,考察了铁岭煤中Pb, Cr, Co, Ni, V五个重金属元素的宏观结合形态,并在Φ25mm小型石英流化床反应装置上考察了上述五个重金属元素在热解过程中的挥发行为。研究发现,铁岭煤中Pb, Cr, Co, Ni, V均主要与非黄铁矿类矿物质相伴生, 且高达40%～60%赋存在硅酸盐类矿物质中。Pb的碳酸盐结合态和有机束缚的离子可交换态600℃前即可分解转化,而其硫化物和硫酸盐结合态在较高的热解温度下才能分解挥发；Co、Ni的硫化物和硫酸盐结合态在高温下可部分转换为有机结合的离子可交换态；而Cr、V的硫化物和硫酸盐结合态在高温下部分转化生成了新的热稳定相。在500℃～900℃范围内,Pb属半挥发性元素,Cr, Co, Ni, V属难挥发性元素。微量元素的挥发性极大地受其伴生环境、共存活泼元素等的影响,硅铝酸盐类矿物质对重金属元素的挥发有一定的抑制作用。