Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

Modeling the Spatio-Temporal Dynamics of Local Context for a Contextualized Diffusion of Agroecological Intensification Options in Niger

Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view to sustainable development. The territorial scale of municipalities is not sufficient for this necessary contextualization;the scale of the “village terroir” seems to be a better option. This is the hypothesis we put forward in the framework of the Global Collaboration for Resilient Food Systems program (CRFS), i.e. local context is spatially defined by village terroir. The study is based on data collected through participatory mapping and surveys in “village terroirs” in three regions of Niger (Maradi, Dosso and Tillabéri). Then the links between farm managers and their cultivated land, as well as the spatio-temporal dynamics of local context are analyzed. This study provides evidence of the existence and functional usefulness of the village terroir for farmers, their land management and their activities. It demonstrates the usefulness of contextualizing agricultural options at this scale. Their analysis elucidates the links between “terroirs village” and the specific functioning of the agrosocio-ecosystems acting on each of them, thus laying the systemic and geographical foundations for a model of the spatio- temporal dynamics of “village terroirs”. This initial work has opened up new perspectives in modeling and sustainable development.

Research on Value Evaluation Method of Investment Project Based on Fuzzy Composite Real Options

Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation methods like comparison,proportion,maturity,internal rate of return,scenario analysis,decision trees,and net present value cannot fully consider the uncertainty and stage characteristics of the project.The fuzzy real options method addresses this by combining real option theory,fuzzy number theory,and composite option theory to provide a more accurate and objective evaluation of Public-Private Partnership(PPP)projects.It effectively considers the interaction of options and the ambiguity of project parameters,making it a valuable tool for project evaluation in the context of venture capital investment.

Valuing options to renew at future market value:the case of commercial property leases

In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.

Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework

Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.

Nature of Volatility Patterns of Futures and Options on Nifty Index

Derivatives were introduced in Indian financial market to reduce volatility in the spot market.The present study attempts to study the impact of derivatives on stock market volatility.In the present study,data have been taken for Nifty Index for a period from 01-01-1996 to 05-02-2016.For analyzing the impact of introduction of derivatives on Nifty Index Volatility,we have taken proxy variable of Nifty Junior Index and Standard&Poor’s 500(S&P 500)Index returns.The data have also been classified into pre-futures(introduced on 12-06-2000)and post-futures and pre-options(introduced on 04-06-2001)and post-options period.The results show that volatility has reduced after introduction of futures and options.

弹性退休制度下谁更愿意延迟退休?——基于Option Value模型的微观模拟

人口老龄化背景下延迟退休年龄、建立弹性退休制度是大势所趋。养老金激励是弹性退休制度的重要内容。建立期权价值模型和养老金给付及奖惩因子模型,基于中国家庭收入调查项目(CHIP2018)的数据,对不同特征人群的养老金峰值、期权价值、内部报酬率进行模拟。研究发现:养老金总财富随退休年龄“先增后减”,男性的峰值年龄早于女性;引入养老金“奖惩”机制有助于提高最优退休年龄,激励劳动者延迟退休;考虑闲暇偏好的异质性,男性参保者更倾向于早退休,而女性参保者特别是女性较高收入群体更愿意延迟退休;厌恶风险的参保者更有可能选择早退休。建议尽早建立弹性退休年龄政策体系,增加劳动者的选择权和制度灵活性;引入精算调节因子构建养老金奖惩机制,完善养老保险待遇计发办法。

Decarbonization options of the iron and steelmaking industry based on a three-dimensional analysis

Decarbonization is a critical issue for peaking CO_(2) emissions of energy-intensive industries,such as the iron and steel industry.The decarbonization options of China’s ironmaking and steelmaking sector were discussed based on a systematic three-dimensional low-carbon analysis from the aspects of resource utilization(Y),energy utilization(Q),and energy cleanliness which is evaluated by a process general emission factor(PGEF)on all the related processes,including the current blast furnace(BF)-basic oxygen furnace(BOF)integrated process and the specific sub-processes,as well as the electric arc furnace(EAF)process,typical direct reduction(DR)process,and smelting reduction(SR)process.The study indicates that the three-dimensional aspects,particularly the energy structure,should be comprehensively considered to quantitatively evaluate the decarbonization road map based on novel technologies or processes.Promoting scrap utilization(improvement of Y)and the substitution of carbon-based energy(improvement of PGEF)in particular is critical.In terms of process scale,promoting the development of the scrap-based EAF or DR-EAF process is highly encouraged because of their lower PGEF.The three-dimensional method is expected to extend to other processes or industries,such as the cement production and thermal electricity generation industries.

基于互信息优化的Option-Critic算法

时序抽象作为分层强化学习的重要研究内容,允许分层强化学习智能体在不同的时间尺度上学习策略,可以有效解决深度强化学习难以处理的稀疏奖励问题。如何端到端地学习到优秀的时序抽象策略一直是分层强化学习研究面临的挑战。Option-Critic(OC)框架在Option框架的基础上,通过策略梯度理论,可以有效解决此问题。然而,在策略学习过程中,OC框架会出现Option内部策略动作分布变得十分相似的退化问题。该退化问题影响了OC框架的实验性能,导致Option的可解释性变差。为了解决上述问题,引入互信息知识作为内部奖励,并提出基于互信息优化的Option-Critic算法(Option-Critic Algorithm with Mutual Information Optimization,MIOOC)。MIOOC算法结合了近端策略Option-Critic(Proximal Policy Option-Critic,PPOC)算法,可以保证下层策略的多样性。为了验证算法的有效性,把MIOOC算法和几种常见的强化学习方法在连续实验环境中进行对比实验。实验结果表明,MIOOC算法可以加快模型学习速度,实验性能更优,Option内部策略更有区分度。

Toward less invasive coloproctology: The future is out there

Medical care has undergone remarkable improvements over the past few decades.One of the most important innovative breakthroughs in modern medicine is the advent of minimally and less invasive treatments.The trend towards employing less invasive treatment has been vividly shown in the field of gastroenterology,particularly coloproctology.Parallel to foregut interventions,colorectal surgery has shifted towards a minimally invasive approach.Coloproctology,including both medical and surgical management of colorectal diseases,has undergone a remarkable paradigm shift.The treatment of both benign and malignant colorectal conditions has gradually transitioned towards more conservative and less inva-sive approaches.An interesting paradigm shift was the trend to avoid the need for radical resection of rectal cancer altogether in patients who showed complete response to neoadjuvant treatment.The trend of adopting less invasive appro-aches to treat various colorectal conditions does not seem to be stopping soon as further research on novel,more effective and safer methods is ongoing.

Upside and downside correlated jump risk premia of currency options and expected returns

This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.

Are life insurance futures a safe haven during COVID‑19?

This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.

Traction power systems for electrified railways:evolution,state of the art,and future trends

Traction power systems(TPSs)play a vital role in the operation of electrified railways.The transformation of conventional railway TPSs to novel structures is not only a trend to promote the development of electrified railways toward high-efficiency and resilience but also an inevitable requirement to achieve carbon neutrality target.On the basis of sorting out the power supply structures of conventional AC and DC modes,this paper first reviews the characteristics of the existing TPSs,such as weak power supply flexibility and low-energy efficiency.Furthermore,the power supply structures of various TPSs for future electrified railways are described in detail,which satisfy longer distance,low-carbon,high-efficiency,high-reliability and high-quality power supply requirements.Meanwhile,the application prospects of different traction modes are discussed from both technical and economic aspects.Eventually,this paper introduces the research progress of mixed-system electrified railways and traction power supply technologies without catenary system,speculates on the future development trends and challenges of TPSs and predicts that TPSs will be based on the continuous power supply mode,employing power electronic equipment and intelligent information technology to construct a railway comprehensive energy system with renewable energy.

Pricing European Options Based on a Logarithmic Truncated t-Distribution

The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.

Investment Promotion for Development Zones in China:Underlying Rationale and Policy Options

Development zones(DZs)have emerged as a significant policy initiative for promoting regional coordination and facilitating resources allocation.They serve as an organizational framework for fostering industrial agglomeration and driving high-quality development.DZs attract and accommodate resource factors,firms,and projects,thereby functioning as a central catalyst for economic growth.This study utilizes data collected at the“DZ,City and Countrycountry”levels through manual compilation,textual analysis,and innovation measurement.It aims to empirically examine the theoretical rationale and practical preferences for promoting business and investment in China’s DZs.This study considers several factors such as industry attribute,firm attribute,agglomeration theory,and industrial chain layout.Based on our research findings,DZs exhibit distinct preferences.First,industry attribute:DZs align with both national and regional strategic planning and adhere to the industrial endowments of the respective areas.Second,firm attribute:DZs prioritize attracting firms that are productive and innovative,and have an international presence,rather than those that primarily contribute to taxes and job creation.Third,DZs are guided by the agglomeration theory,which suggests that they prefer firms that generate strong agglomeration externalities.Lastly,DZs also consider the industrial chain layout,aiming to attract firms that not only align with their existing industrial strengths but also extend to the upstream and downstream supply chain links.These conclusions are substantiated by the performance of robustness test.The success of DZs in China can be attributed to the five key principles:Adherence to national and regional strategic planning,prioritizing the actual industrial foundation,incorporating the theory of agglomeration externalities,strengthening corporate competitiveness,and expanding industrial chains.

Advancements in Humanoid Robots: A Comprehensive Review and Future Prospects

This paper provides a comprehensive review of the current status, advancements, and future prospects of humanoid robots, highlighting their significance in driving the evolution of next-generation industries. By analyzing various research endeavors and key technologies, encompassing ontology structure,control and decision-making, and perception and interaction, a holistic overview of the current state of humanoid robot research is presented. Furthermore, emerging challenges in the field are identified, emphasizing the necessity for a deeper understanding of biological motion mechanisms, improved structural design,enhanced material applications, advanced drive and control methods, and efficient energy utilization. The integration of bionics, brain-inspired intelligence, mechanics, and control is underscored as a promising direction for the development of advanced humanoid robotic systems. This paper serves as an invaluable resource, offering insightful guidance to researchers in the field,while contributing to the ongoing evolution and potential of humanoid robots across diverse domains.

Spatiotemporal Evaluation and Future Projection of Diurnal Temperature Range over the Tibetan Plateau in CMIP6 Models

The diurnal temperature range(DTR) serves as a vital indicator reflecting both natural climate variability and anthropogenic climate change. This study investigates the historical and projected multitemporal DTR variations over the Tibetan Plateau. It assesses 23 climate models from phase 6 of the Coupled Model Intercomparison Project(CMIP6) using CN05.1 observational data as validation, evaluating their ability to simulate DTR over the Tibetan Plateau. Then, the evolution of DTR over the Tibetan Plateau under different shared socioeconomic pathway(SSP) scenarios for the near,middle, and long term of future projection are analyzed using 11 selected robustly performing models. Key findings reveal:(1) Among the models examined, BCC-CSM2-MR, EC-Earth3, EC-Earth3-CC, EC-Earth3-Veg, EC-Earth3-Veg-LR,FGOALS-g3, FIO-ESM-2-0, GFDL-ESM4, MPI-ESM1-2-HR, MPI-ESM1-2-LR, and INM-CM5-0 exhibit superior integrated simulation capability for capturing the spatiotemporal variability of DTR over the Tibetan Plateau.(2) Projection indicates a slightly increasing trend in DTR on the Tibetan Plateau in the SSP1-2.6 scenario, and decreasing trends in the SSP2-4.5, SSP3-7.0, and SPP5-8.5 scenarios. In certain areas, such as the southeastern edge of the Tibetan Plateau, western hinterland of the Tibetan Plateau, southern Kunlun, and the Qaidam basins, the changes in DTR are relatively large.(3) Notably, the warming rate of maximum temperature under SSP2-4.5, SSP3-7.0, and SPP5-8.5 is slower compared to that of minimum temperature, and it emerges as the primary contributor to the projected decrease in DTR over the Tibetan Plateau in the future.

Thornthwaite moisture index and depth of suction change under current and future climate‒An Australian study

Climate change is one of the major global challenges and it can have a significant influence on the behaviour and resilience of geotechnical structures.The changes in moisture content in soil lead to effective stress changes and can be accompanied by significant volume changes in reactive/expansive soils.The volume change leads to ground movement and can exert additional stresses on structures founded on or within a shallow depth of such soils.Climate change is likely to amplify the ground movement potential and the associated problems are likely to worsen.The effect of atmospheric boundary interaction on soil behaviour has often been correlated to Thornthwaite moisture index(TMI).In this study,the long-term weather data and anticipated future projections for various emission scenarios were used to generate a series of TMI maps for Australia.The changes in TMI were then correlated to the depth of suction change(H s),an important input in ground movement calculation.Under all climate scenarios considered,reductions in TMI and increases in H s values were observed.A hypothetical design scenario of a footing on expansive soil under current and future climate is discussed.It is observed that a design that might be considered adequate under the current climate scenario,may fail under future scenarios and accommodations should be made in the design for such events.

China’s Change through Future Leaders’Eyes

Together for a Shared Future Compiled by Global Young Leaders Dialogue Price:RMB 118 Paperback,250 pages Published by Foreign Languages Press Together for a Shared Future is co-authored by 35 young people from 26 countries who participated in the project China Tour of the Global Young Leaders Dialogue(GYLD),an institutional platform for idea-sharing among young people from different countries.