On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end f...On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on "mean reversion" is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.展开更多
This paper studies the traditional local volatility model and proposes:A novel local volatility model with mean-reversion process.The larger is the gap between local volatility and its mean level,the higher will be th...This paper studies the traditional local volatility model and proposes:A novel local volatility model with mean-reversion process.The larger is the gap between local volatility and its mean level,the higher will be the rate at which local volatility will revert to the mean.Then,a B-spline method with proper knot control is applied to interpolate the local volatility matrix.The bi-cubic B-spline is used to recover the local volatility surface from this local volatility matrix.Finally,empirical tests show that the proposed mean-reversion local volatility model offers better prediction performance than the traditional local volatility model.展开更多
This paper puts forward a valuation model for the flexibility of revamping urea plants based on the substitutability of switching between the internationally accepted fertilizer feedstock fuel oil and natural gas. The...This paper puts forward a valuation model for the flexibility of revamping urea plants based on the substitutability of switching between the internationally accepted fertilizer feedstock fuel oil and natural gas. The paper first builds a stochastic mean-reversion model for fuel oil prices and natural gas prices respectively, then estimates and tests the parameters using the fuel oil and natural gas prices data from the U.S. market. This paper also conducts a sensitivity analysis with important parameters. The results show that the real option method can be applied successfully to evaluate the flexibility in decision- making for revamping installations in fertilizer plants or other similar plants.展开更多
The paper presents a stochastic and economic analysis for petroleum development under uncertain market and technical environments. Mean-reversion with jumps for price forecasting is used to consider market uncertainty...The paper presents a stochastic and economic analysis for petroleum development under uncertain market and technical environments. Mean-reversion with jumps for price forecasting is used to consider market uncertainty, while various scenarios for the reservoir properties and cost are employed to consider technical uncertainty. Monte Carlo simulation is carried out to obtain the feasible range of net present values and internal rates of return. The influence of stochastic parameters is examined through correlation coefficients. The stochastic approach yields more reliable evaluation and effectively investigates the characteristics of development. The integration of uncertainties and contractual terms results in an irregular tendency in the future cash flow and reveals that a larger reserve does not guarantee a greater profit. The reserve and the well rate affect the economic values whereas the parameters for price prediction don't. The research confirms the necessity of qualifying uncertainties for realistic decision-making at the initial stage of development.展开更多
Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valui...Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results.展开更多
基金Supported by Chenguang Plan Project of Science and Technology Bureau in Wuhan (20065004116-11)
文摘On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on "mean reversion" is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.
文摘This paper studies the traditional local volatility model and proposes:A novel local volatility model with mean-reversion process.The larger is the gap between local volatility and its mean level,the higher will be the rate at which local volatility will revert to the mean.Then,a B-spline method with proper knot control is applied to interpolate the local volatility matrix.The bi-cubic B-spline is used to recover the local volatility surface from this local volatility matrix.Finally,empirical tests show that the proposed mean-reversion local volatility model offers better prediction performance than the traditional local volatility model.
文摘This paper puts forward a valuation model for the flexibility of revamping urea plants based on the substitutability of switching between the internationally accepted fertilizer feedstock fuel oil and natural gas. The paper first builds a stochastic mean-reversion model for fuel oil prices and natural gas prices respectively, then estimates and tests the parameters using the fuel oil and natural gas prices data from the U.S. market. This paper also conducts a sensitivity analysis with important parameters. The results show that the real option method can be applied successfully to evaluate the flexibility in decision- making for revamping installations in fertilizer plants or other similar plants.
文摘The paper presents a stochastic and economic analysis for petroleum development under uncertain market and technical environments. Mean-reversion with jumps for price forecasting is used to consider market uncertainty, while various scenarios for the reservoir properties and cost are employed to consider technical uncertainty. Monte Carlo simulation is carried out to obtain the feasible range of net present values and internal rates of return. The influence of stochastic parameters is examined through correlation coefficients. The stochastic approach yields more reliable evaluation and effectively investigates the characteristics of development. The integration of uncertainties and contractual terms results in an irregular tendency in the future cash flow and reveals that a larger reserve does not guarantee a greater profit. The reserve and the well rate affect the economic values whereas the parameters for price prediction don't. The research confirms the necessity of qualifying uncertainties for realistic decision-making at the initial stage of development.
文摘Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results.