Based on the commodity property and finance property of gold in the international gold futures market,the influence factors of international gold futures price volatility are analyzed from the perspectives of supply a...Based on the commodity property and finance property of gold in the international gold futures market,the influence factors of international gold futures price volatility are analyzed from the perspectives of supply and demand factors,financial factors and speculation factors.The structural vector autoregression(SVAR)model is applied to investigating the direction and strength of the effects of influence factors on the international gold futures prices and the variance decomposition approach(VDA)is used to compare the contributions of these factors.The results show that the supply and demand factors still play a fundamental role in the international gold futures price volatility and the role of“China’s gold demand”is exaggerated.The financial factors and speculation factors have significant impacts on the international gold futures price volatility,which reflects that the financial property of gold becomes increasingly important.Governments and investors should pay close attention to the financial property of gold futures.展开更多
The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of deb...The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of debt and equity.The capital structure and present a model to determine the equity level from the aspects of financing scale,construction time and return on investment are analyzed.The resulting model can help the sponsor to avoid the capital risk,and offer the government a criterion to evaluate management ability of the sponsor.To show the application and availability of this model,a case study is conducted.Thus,this paper is concern with the determination of financing scale,construction time,and return on investment which would assist the sponsor to ensure that the equity level for optimal capital structure is available prior to the implementation stage in BOT project operation.展开更多
In this paper, we build the arbitrage-free term structure model on the inflation rate, and discuss the relations between the arbitrage-free term structure and the equivalent martingale measure. The volatility terms of...In this paper, we build the arbitrage-free term structure model on the inflation rate, and discuss the relations between the arbitrage-free term structure and the equivalent martingale measure. The volatility terms of diffusion processes of the real forward interest rate, the nominal forward interest rate and the inflation index （Jarrow and Yildirim, 2003） are extended into many dimensional Brownian motions. Moreover, as we derive the differential equations of three-factor term structure, our results are generalized. At last, the analytic solutions of European option can be deduced on the inflation rate.展开更多
基金Projects(71874210,71633006,71501193) supported by the National Natural Science Foundation of China
文摘Based on the commodity property and finance property of gold in the international gold futures market,the influence factors of international gold futures price volatility are analyzed from the perspectives of supply and demand factors,financial factors and speculation factors.The structural vector autoregression(SVAR)model is applied to investigating the direction and strength of the effects of influence factors on the international gold futures prices and the variance decomposition approach(VDA)is used to compare the contributions of these factors.The results show that the supply and demand factors still play a fundamental role in the international gold futures price volatility and the role of“China’s gold demand”is exaggerated.The financial factors and speculation factors have significant impacts on the international gold futures price volatility,which reflects that the financial property of gold becomes increasingly important.Governments and investors should pay close attention to the financial property of gold futures.
文摘The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of debt and equity.The capital structure and present a model to determine the equity level from the aspects of financing scale,construction time and return on investment are analyzed.The resulting model can help the sponsor to avoid the capital risk,and offer the government a criterion to evaluate management ability of the sponsor.To show the application and availability of this model,a case study is conducted.Thus,this paper is concern with the determination of financing scale,construction time,and return on investment which would assist the sponsor to ensure that the equity level for optimal capital structure is available prior to the implementation stage in BOT project operation.
基金This work is supported by National Natural Science Foundation of China （70372011） and the Youth Teacher Foundation of Beijing University of Chemical Technology （QN0521）
文摘In this paper, we build the arbitrage-free term structure model on the inflation rate, and discuss the relations between the arbitrage-free term structure and the equivalent martingale measure. The volatility terms of diffusion processes of the real forward interest rate, the nominal forward interest rate and the inflation index （Jarrow and Yildirim, 2003） are extended into many dimensional Brownian motions. Moreover, as we derive the differential equations of three-factor term structure, our results are generalized. At last, the analytic solutions of European option can be deduced on the inflation rate.
