PRICING EUROPEAN OPTION IN A DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL WITH TWO MARKET STRUCTURE RISKS AND ITS COMPARISONS

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.

Study of the impacts of upstream natural gas market reform in China on infrastructure deployment and social welfare using an SVM-based rolling horizon stochastic game analysis

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.

Goat Marketing Systems and Channels in Selected Markets of Lilongwe District in Malawi

A household survey was carried out in Central Malawi to evaluate the goat marketing structure and systems in the rural areas using Nsundwe and Nkhoma areas in Lilongwe District as a case study. The analysis focused on identifying marketing systems of goats in Malawi by investigating the role of goats in an average Malawian rural household and how the current goat marketing systems affects that role. Goats play important role in Malawian rural households by way of providing food, income and as a capital reserve to be used in times critical times of food scarcity. The findings indicate that there is potential for goats to generate more income for the rural farmers, which can in turn help to improve household food security. The marketing system however apparently does not favour the farmers. The farmers seem not to know goat prices beyond the rural markets and hence have inadequate negotiating power to sell at optimum prices. Middlemen bought from farmers and finally sold the goats to urban consumers and retail shops. From the analysis, middlemen seemed to control the goat marketing system. Urban butchers sold the goats at 58% more than the value of farmers while retail shops sold at 137% more than the value of farmers. The differences reflect value-adding activities done at butchers and retail shops levels as well as transportation costs and profit margins. Though farmers may not engage in value adding, the finding implies that they would fetch more money if they supplied directly to the retail shops than to the middlemen. With access to more market information, they could also increase their bargaining power information with middlemen and sell the goats at relatively higher prices than the current. This paper details the results of the study.

Microfinance Structure of Thailand

This paper was devoted to analyzing the structure of microfinance in Thailand. The theory of industrial organization （IO） was applied as a guideline to measure the degree of monopoly power in microfinance structure. The objective-of the study was investigation on Thai microfinance institution marketing structure by using Concentration Ratio （CR） and Herfindahl Hirschman Index （HHI）. The data of the study focus on the outstanding loans market share of microfinance institutions （MFIs）. The market share of the outstanding loans of MFIs from the largest to the smallest is as follows： Bank for Agriculture and Agricultural Cooperatives （BAAC）, Village Fund Cooperatives, Government Saving Bank （GSB）, Pawnshop, Self Help group： Saving Group, Commercial Bank, Self Help Group： Sudja Group and Isalamic Bank （IB）, respectively. It stated that CR by outstanding loans is as follows： Cr 1, 59.35%; Cr 3, 81.11%; Cr 6, 92.14%; and Cr 9, 94.37%. At the same time HHI is 0.38. Additionally, BAAC remains the majority MFIs even though there are the other MFIs available in the microfinance system. The main role of providing the microfinance services mostly derived from BAAC.

Forecasting World Market Structure of Iran＇s Pistachio Exports

Iran is the main pistachio producer and exporter country in the world. Pistachio as a commercial output has a special importance in the agricultural production of Iran and contains large portion of non-oil exportation. The main aim of this study has been to analysis the world market and Iran＇s pistachio exports market using Hirschman-Herfindahl index. For this purpose, Iran＇s exports data over 1992-2009 and world exports statistics in 1992-2007 have been used. The results showed that diversification in target markets of Iran＇s pistachio exports increased in this period. The market structure of pistachio exports for Iran has been predominant firm and monopoly in first and end of this period, respectively. While in world market, Iran has been predominant firm except 1997 and 2007 years. According to findings of this study, it is forecasted that the competition degree of Iran＇s pistachio exports market will increase during the period 2011 to 2015.

How Horizontal Mergers Improve Industrial Structure？

By reviewing the research on the effect of corporate merger, we find that knowledge is still limited to the effect of corporate merger on industrial structure. In this article, firstly we study the effect of horizontal merger on market structure, then explore the effect of market performance on industrial structure. Finally we present a new model that can explain how horizontal merger improves the adjustment of industrial structure.

Study on the Interior Market Network Structure and Its Efficiency in a Knowledge Based Company

A knowledge based company is the microcosmic foundation of the knowledge economy, the design of its organization structure should amplify the company competence to be agile to the knowledge elements. This paper expounds an interior market network structure which is fit for the company intellectual capital operation, and analyses this organization pattern about the reasons of existence, the effectiveness of growing up in scale, the economies of knowledge distribution and the efficiency of operation, and it will provide some beneficial theoretical guidance about how can a company improve its competition competence in the knowledge environment through organization innovation.

Assessing the maturity of China's seven carbon trading pilots

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.

Day-ahead optimal scheduling method for grid-connected microgrid based on energy storage control strategy

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.

Assessing Market Competition in the Chinese Banking Industry Based on a Conjectural Variation Model

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.

What do we know about housing supply?The case of Hong Kong SAR

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.