跳幅度为-1模式下的公司债券定价及最佳违约边界

股票与债券互换的违约资产重组是公司资产价值发生剧烈震荡后采取的一种重要解决方案,在这种实际市场背景下研究跳幅度为-1模式下具有有限到期日的公司债券定价问题.利用结构化方法及随机分析理论构建了公司股票及债券定价的连续数学模型,并运用惩罚函数法对最佳违约边界的存在唯一性及公司股票价值的单调性进行了理论上的证明.最后,通过数...     

双指数跳扩散模型下具有破产重组公司债券定价

为了更好地处理公司面临的资产跳跃风险和破产重组策略问题,在公司资产价值演化服从双指数跳扩散模型下,基于债券股票互换的破产重组策略模式,综合运用结构化方法和最优停时技巧,建立公司股票和公司债券定价的数学模型,获得公司股票和公司债券定价表达式,以及最佳破产边界的闭合解和最优息票所满足的非线性方程．最后,数值结果表明：公司资产价值震荡越剧烈,股东越能从动荡的市场中获得收益,但公司债券将越不受投资者青睐,公司债券价值越低,最优杠杆比例越低．     

随机利率背景下具有一般违约负相关结构公司债券的定价

为了更准确分析关联公司之间违约负相关因素对于公司债券估值的影响，在随机利率背景下，考虑具有一般违约负相关结构公司债券定价问题。采用n+1家关联公司的违约强度的双曲衰减相关性模型描述第n+1家公司和前n家关联公司之间因具有违约负相关而形成的一般违约负相关性结构，利用约化法建立了具有一般违约负相关结构公司债券定价的数学模型。基于随机分析方法和依条件独立法，推导出公司债券定价的显式表达式，并基于数值计算分析违约负相关因素对公司债券定价的影响。     

标的资产价格服从跳——扩散过程的脆弱期权定价模型

本文以公司价值信用风险模型为基础,讨论脆弱期权定价问题,将具有信用风险的期权最终执行情况与交易对手的公司价值和负债联系起来,建立了标的资产价格服从跳—扩散过程的脆弱期权定价模型;在跳风险不可定价的假设下,推导出脆弱期权的定价公式。     

重构局部波动率曲面

标的资产的局部波动率问题,无论在理论上还是实际应用中都有着重要的意义。对于欧式期权,本文采用待定系数法分析了期权定价的模型,证明了看涨期权和看跌期权的价格函数的有界性条件,推导出了局部波动率函数的半显式的解析解的表达式,有效地解决了在期权市场价格已知前提下的局部波动率校准反问题。数值实例选用了参数为常数的情形与波动率随着时间和执行价格的变化情况,数值结果说明了方法的有效性。     

随机负债情形的信用违约互换定价

信用违约互换是一种重要的信用衍生品。本文在信用违约互换基本原理的基础上,根据信用违约互换的现金流对信用违约互换的价值进行分析,并假定参考资产随机负债,采用结构化模型框架下无套利原理的定价方法,得到信用违约互换定价的基本模型。利用具有漂移的Brown运动的最小值分布求得违约概率密度函数,最终给出了信用违约互换的定价公式。     

带交易费用组合证券投资的minimax模型

交易费用对投资者的投资绩效具有直接影响.本文研究了在具有交易费用的情形下,资产投资上限有界以及不允许卖空的证券投资组合优化问题.模型以最小化最大个人风险的minimax准则作为风险度量方法.利用凸规划的Lagrange乘子法与KuhnTucker条件,得到了投资者最优投资策略的显式表达式.最后,利用数值例子阐述了该风险控制模型的投资策略,从而为投资者提供决策依据.     

分数跳-扩散过程下亚式期权定价模型

本文考虑分数跳-扩散过程下几何平均亚式期权定价问题。首先,将分数型It公式推广到分数跳-扩散情形。其次,利用分数跳-扩散It公式,给出了分数跳-扩散环境下Black-Scholes偏微分方程。最后,通过求解偏微分方程,获得了分数跳-扩散环境下几何平均亚式看涨、看跌期权定价公式。     

精确华宁不等式与最佳 Hermite 插值结点组

利用Hermite插值误差的余项估计式,在最大框架下确定了Sobolev空间在最大和平均范数下逼近问题的最优Hermite插值结点组,并对在Hermite插值结点组上Hermite数据为零的函数给出了计算华宁不等式最佳常数的方法。先利用构造辅助函数的方法给出了Hermite插值误差的一种估计式,在此基础上把华宁不等式最佳常数的计算转化为一个显式积分表达式,并用两个例子来说明结果。同时在最大框架下给出了Sobolev空间利用Hermite插值逼近误差的准确值,并找出了当Hermite插值结点个数固定时的最优Hermite插值结点组。对一些特殊情形,给出了最优插值结点组的显式表达式;对于一般情形,把最优插值结点组的计算归结为求一些具体函数的最小值点。利用Mathematical计算了华宁不等式最优系数的一些具体值。     

求解刚-柔组合结构的隐式-显式混合法

针对整体柔性、局部刚性的组合结构系统的动力反应分析,推出了一种隐式-显式混合算法的逐步积分方法.这种混合求解方法,在一个算法步中,对柔性部分采用显式方法求解,对刚性部分则采用隐式方法求解,充分利用了隐式算法无条件稳定的优点和显式算法计算高效的优点.混合法稳定域大小表达式中的频率为柔性部分的最高频率,而不是整体结构的最高频率,这就避开了局部刚性导致显式算法时间步长需要过于细化的缺点.这种方法可以作为一种高效的逐步积分方法,用来求解土-结构相互作用、液固耦合系统等的动力反应.算例表明了方法的正确性.     

Modelling default dependence in automotive supply networks using vine-copula

This paper presents an intuitive model for default dependencies in supply networks and its application in firms’ capital management. Modern supply chain networks are characterised by horizontal ties between firms within a particular industry or group, which are sequentially arranged based on vertical ties between firms in different layers. The recognition and accounting of these simultaneous interdependencies is crucial for a more advanced understanding of complex inter-organisational relations. Using the state-of-the art vine-copulae, we model these multidimensional interdependencies in the automotive industry, and capture the default tail dependency between alliance partners. Further, we apply our model to determine the optimal economic capital, such that companies can absorb unexpected losses from defaults in supply chain, while avoiding over-capitalisation. Our findings should spur managers to analyse their supplier networks with respect to default dependencies and to take this phenomenon into consideration when making sourcing decisions.     

Determination of the Financing Scale, Time Limit and Returns from the Investment in BOT Projects

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.     

Factors That Affect the Growth Rate of Equity Capital

Six factors that affect either the transient or the long-term growth rate of equity capital are identified. The use of the net present value method of financial accounting to compute the equity value of hypothetical firms is described. Simulation of sequences of capital budgeting decisions in hypothetical firms was used to illustrate the effects of the six factors on the growth rate of equity capital. The upper limit of a firm's steady-state capital growth rate was affected by (1) the maximum yield attainable from its long-term investments, (2) its debt policy, (3) its budget allocation policy, and (4) the (average) life of its long-term investments. Unless the selection procedure was random, the transient values of a firm's annual growth rate of equity were affected appreciably by (1) the growth rate of its long-term investment opportunities, (2) its debt policies, and (3) its past decisions. Random variation in the growth rate of investment opportunities had little affect on the average growth rate of the firm, but it had appreciable affect on the year to year values. The factors that had the greatest influence on the long-term growth of equity capital were generation of high yielding investment opportunities and estimating expected values of cash flows accurately.     

Supply chain coordination with trade credit under the CVaR criterion

Trade credit is a popular payment method in the supply chain. However, it may transfer the market risk facing by the retailer to the manufacturer in the form of default risk. To reduce the default loss, we set up a modified newsvendor model incorporating random default probability. Under the goal of loss minimisation, the manufacturer’s optimal production quantity is derived with the criterion of conditional value at risk, and compared with the retailer’s optimal order quantity. It is found that, compared with traditional newsvendor setting, the setting of default possibility in trade credit can increase the order quantity but decrease the production quantity. If the risk aversion level and gross profit of product are low, the manufacturer may deliver below the quantity ordered. Although the default loss can be reduced by cutting order, the profits of both agents decrease, thereby leading to a deviation from the supply chain coordination. Trade credit coordinating the supply chain requires an extremely long credit period, which is not feasible. Moreover, quantity discount contract is able to improve the retailer’s order quantity, but insufficient to achieve coordination, which also depends on the manufacturer’s risk aversion level.     

1994 ASEM Conference Information and Registration Form

Abstract:

Complex investment decisions by corporate executives often require the comparison of dissimilar attributes and competing technologies. A technique to evaluate qualitative input from experts using a multi-criteria decision making (MCDM) method is described to select a new reactor technology for a merchant nuclear generator. The capital cost, risks from design, licensing and construction, reactor safety, and security considerations are some of the diverse considerations when choosing a reactor design. The uncertainty inherent in experts' opinions for the attribute weighting in the MCDM is modeled through the use of probabilistic inversion. After creating a distribution, random samples from the distribution are used to analyze the “strength” of the results. The decision results for the pool of experts identified the U.S. EPR as their optimal choice.     

突发事件冲击下带通胀的动态资产配置问题研究

本文研究在通胀环境和突发事件冲击下,跳和通胀因素对投资者最优资产配置策略的影响.首先,在事件风险模型的基础上,利用通货膨胀率对资产价格进行折算,得到了折算后的资产价格动力学,建立了考虑通胀的动态资产配置问题的随机控制模型,其中风险事件模型中的资产价格和收益波动率都是跳扩散过程.其次,在幂效用的假设下,利用随机动态规划方法获得了投资者最优资产配置策略的近似解析解.最后,通过简化模型,利用Matlab数学软件,分析了通胀波动率、资产价格跳大小和资产收益波动率跳大小对投资者最优资产配置策略的影响.     

The Determinants of Debt and (Private) Equity Financing: The Case of Young, Innovative SMEs from Germany

Financial theory creates a puzzle. Some authors argue that high-risk entrepreneurs choose debt contracts instead of equity contracts since risky but high returns are of relatively more value for a loan-financed firm. Conversely, authors who focus explicitly on start-up finance predict that entrepreneurs are the more likely to seek equity-like venture capital contracts, the more risky their projects are. Our paper is an initial step towards resolving this puzzle empirically. We present microeconometric evidence on the determinants of debt and equity financing in young and innovative SMEs. We pay special attention to the role of risk for the choice of the method of financing. Since risk is not directly observable we use different indicators for financial and project risk. It turns out that our data generally confirms the hypothesis that the probability that a young high-tech firm receives equity financing is an increasing function of the financial risk. With regard to the intrinsic project risk, our results are less conclusive, as some of our indicators of a risky project are found to have a negative effect on the likelihood to be financed by private equity.     

双种群可再生资源与生产资本的最优管理

本文在投资可逆的假设下建立了双种群可再生资源与生产资本的双重最优管理模型,证明了互惠(独立)双种群沿着最优轨线具有正的影子价格而股本资本具有非负的影子价格,分析了四种可能的状态轨线类型及其关系,最后给出长期最优均衡的求解方法。     

Technological Diversification Through Corporate Venture Capital Investments: Creating Various Options to Strengthen Dynamic Capabilities

Corporate venture capital (CVC) investment in technology-intensive entrepreneurial ventures has attracted increasing attention from established firms which recognize it as a useful learning investment strategy to create diversified technological options for future change. However, there is a lack of empirical research which examines the relationship between CVC investment and the corporate investors' technological diversification. In this study, we investigate the effects of CVC investments on corporate investors' technological diversity by using 20 years of panel data from corporate investors in five high-tech industries. As a result, we find that the total amount of CVC investments and the industrial diversity of portfolio companies exhibit curvilinear (inverted U-shape) relationships with the corporate investors' technological diversity. Moreover, the empirical results show that the absorptive capacity of corporate investors positively moderates the effects of CVC investments on the technological diversity.