Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure ri...Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.展开更多
Natural gas is expected to play a much more important role in China in future decades, and market reform is crucial for its rapid market penetration. At present, the main gas fields, pipelines and liquefied natural ga...Natural gas is expected to play a much more important role in China in future decades, and market reform is crucial for its rapid market penetration. At present, the main gas fields, pipelines and liquefied natural gas(LNG) infrastructure are mainly monopolized by large state-owned companies, and one of the important market reform policies is to open up LNG import rights to smaller private companies and traders. Therefore, in the present study, a game theoretical model is proposed to analyze and compare the impacts of different market structures on infrastructure deployment and social welfare. Moreover, a support vector machine-based rolling horizon stochastic method is adopted in the model to simulate real LNG price fluctuations. Four market reform scenarios are proposed considering different policies such as business separation, third-party access(TPA) and their combinations. The results indicate that, with third-party access(TPA)entrance into the LNG market, the construction of LNG infrastructure will be promoted and more gas will be provided at lower prices, and thus the total social welfare will be improved greatly.展开更多
Indicators based on the developed version of the Capability Maturity Model were set up to access the maturity degree of China's seven pilot carbon markets from 2013 to 2017. Results show that the maturity degree o...Indicators based on the developed version of the Capability Maturity Model were set up to access the maturity degree of China's seven pilot carbon markets from 2013 to 2017. Results show that the maturity degree of Shenzhen and Beijing pilot carbon markets ranks first;while those of Guangdong, Hubei, and Shanghai rank second. Tianjin and Chongqing rank lowest. Most of pilot markets failed to perform well on price efficiency except Shenzhen. There is significant disparity in the scores that the pilot carbon markets got, with a range from 9 to 73. The drivers to maintain market maturity is different among the pilot markets, either with a good performance on market structure, scale, or efficiency could lead to a certain score. Much could be done to increase the maturity level of the carbon market. Further downscaling the firm size, raising the legislation level, and increasing the participation of the third party entities may help the carbon market to grow healthier.展开更多
Most literature on market competition in the banking industry neglects to address strategic interaction among banks.This paper studies interaction among Chinese banks by dividing banks into two groups:dominant banks(t...Most literature on market competition in the banking industry neglects to address strategic interaction among banks.This paper studies interaction among Chinese banks by dividing banks into two groups:dominant banks(the"Big 5f,state-owned banks)and small-and medium-sized banks(joint-stock banks and large city commercial banks).We test an oligopolistic model with conjectural variation developed by Spiller and Favaro(1984).Using data from 2007 to 2016,we find that banking competition is not in the form of Stackelberg competition per se.Some strategic interactions exist between small-and medium-sized banks and the largest state-owned bank.We also study the effect of interest rate deregulation on oligopolies'strategic interactions.Our results show that interest rate deregulation stimulates banking competition by reducing collusiveness among the dominant state-owned banks and enhancing the market power of small and medium banks.展开更多
A day-ahead optimal scheduling method for a grid-connected microgrid based on energy storage(ES)control strategy is proposed in this paper.The proposed method optimally schedules ES devices to minimize the total opera...A day-ahead optimal scheduling method for a grid-connected microgrid based on energy storage(ES)control strategy is proposed in this paper.The proposed method optimally schedules ES devices to minimize the total operating costs while satisfying the load requirements of cold,heat,and electricity in microgrids.By modeling the operating cost function of each stage,the proposed method is able to adapt to different types of electricity markets and pricing mechanisms.The technical characteristics of ES,such as self-discharge and round-trip efficiency,are considered in the control strategy with a multistage process model.An improved dynamic programing method is used to solve the optimization model.Finally,case studies are provided to illustrate the application process and verify the proposed method.展开更多
The house price in the Hong Kong SAR of China is well-known to be‘unaffordable’.This paper relates the macroeconomy with the housing market of Hong Kong and argues that the housing supply plays a vital role in expl...The house price in the Hong Kong SAR of China is well-known to be‘unaffordable’.This paper relates the macroeconomy with the housing market of Hong Kong and argues that the housing supply plays a vital role in explaining the phenomenon.This paper also shows that there are some practical challenges in understanding the housing supply of Hong Kong,including the potentially complicated ownership structure of real estate development.While the discussion centres on the situation of Hong Kong,its lesson may also apply to housing markets in other small open economies.展开更多
基金Supported by the NNSF of China(40675023)the PHD Foundation of Guangxi Normal University.
文摘Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.
基金financial support of the National Natural Science Foundation of China (Grant No. 71774171)Science Foundation of China University of Petroleum, Beijing (No. 2462017YB11)
文摘Natural gas is expected to play a much more important role in China in future decades, and market reform is crucial for its rapid market penetration. At present, the main gas fields, pipelines and liquefied natural gas(LNG) infrastructure are mainly monopolized by large state-owned companies, and one of the important market reform policies is to open up LNG import rights to smaller private companies and traders. Therefore, in the present study, a game theoretical model is proposed to analyze and compare the impacts of different market structures on infrastructure deployment and social welfare. Moreover, a support vector machine-based rolling horizon stochastic method is adopted in the model to simulate real LNG price fluctuations. Four market reform scenarios are proposed considering different policies such as business separation, third-party access(TPA) and their combinations. The results indicate that, with third-party access(TPA)entrance into the LNG market, the construction of LNG infrastructure will be promoted and more gas will be provided at lower prices, and thus the total social welfare will be improved greatly.
基金We thank Miss DENG Ying-Ying for data collection. This work was funded by the National Key Research and Devel opment Program of China (2018YFC1509008) and the Na tional Natural Science Foundation of China (41401058).
文摘Indicators based on the developed version of the Capability Maturity Model were set up to access the maturity degree of China's seven pilot carbon markets from 2013 to 2017. Results show that the maturity degree of Shenzhen and Beijing pilot carbon markets ranks first;while those of Guangdong, Hubei, and Shanghai rank second. Tianjin and Chongqing rank lowest. Most of pilot markets failed to perform well on price efficiency except Shenzhen. There is significant disparity in the scores that the pilot carbon markets got, with a range from 9 to 73. The drivers to maintain market maturity is different among the pilot markets, either with a good performance on market structure, scale, or efficiency could lead to a certain score. Much could be done to increase the maturity level of the carbon market. Further downscaling the firm size, raising the legislation level, and increasing the participation of the third party entities may help the carbon market to grow healthier.
基金the Chinese Fundamental Research Funds for the Central Universities(No.SK2020053).
文摘Most literature on market competition in the banking industry neglects to address strategic interaction among banks.This paper studies interaction among Chinese banks by dividing banks into two groups:dominant banks(the"Big 5f,state-owned banks)and small-and medium-sized banks(joint-stock banks and large city commercial banks).We test an oligopolistic model with conjectural variation developed by Spiller and Favaro(1984).Using data from 2007 to 2016,we find that banking competition is not in the form of Stackelberg competition per se.Some strategic interactions exist between small-and medium-sized banks and the largest state-owned bank.We also study the effect of interest rate deregulation on oligopolies'strategic interactions.Our results show that interest rate deregulation stimulates banking competition by reducing collusiveness among the dominant state-owned banks and enhancing the market power of small and medium banks.
基金supported by the National key research and development program of China(2016YFB0901102)the National Natural Science Foundation of China(No.51377119)
文摘A day-ahead optimal scheduling method for a grid-connected microgrid based on energy storage(ES)control strategy is proposed in this paper.The proposed method optimally schedules ES devices to minimize the total operating costs while satisfying the load requirements of cold,heat,and electricity in microgrids.By modeling the operating cost function of each stage,the proposed method is able to adapt to different types of electricity markets and pricing mechanisms.The technical characteristics of ES,such as self-discharge and round-trip efficiency,are considered in the control strategy with a multistage process model.An improved dynamic programing method is used to solve the optimization model.Finally,case studies are provided to illustrate the application process and verify the proposed method.
基金The authors are grateful to Nan-Kuang Chen,Terence Tai Leung Chong,Qing He,Fred Kwan,Tommy Leung,Shane Su,Byron Tsang,Matthew Yiu,and the anonymous referee for helpful discussion.The authors also express their gratitude to City University of Hong Kong and Hong Kong Shue Yan University for their financial support.Part of the research was conducted when Charles Ka Yui Leung visited the Hoover Institution,whose hospitality is gratefully acknowledged.Moreover,part of the work described in this paper is supported by the Research Grants Council of the Hong Kong Special Administrative Region,China(Project No.:UGC/FDS15/B01/18).The usual disclaimer applies.
文摘The house price in the Hong Kong SAR of China is well-known to be‘unaffordable’.This paper relates the macroeconomy with the housing market of Hong Kong and argues that the housing supply plays a vital role in explaining the phenomenon.This paper also shows that there are some practical challenges in understanding the housing supply of Hong Kong,including the potentially complicated ownership structure of real estate development.While the discussion centres on the situation of Hong Kong,its lesson may also apply to housing markets in other small open economies.