Implicit Bayesian Inference Using Option Prices

Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.     

Optimal inventory control in a multi-period newsvendor problem with non-stationary demand

The optimal control of inventory in supply chains plays a key role in the competiveness of a corporation. The inventory cost can account for half of company’s logistics cost. The classical inventory models, e.g., newsvendor and EOQ models, assume either a single or infinite planning periods. However, these models may not be applied to perishable products which usually have a certain shelf life. To optimize the total logistic cost for perishable products, this paper presents a multi-period newsvendor model, and the problem is formulated as a multi-stage stochastic programming model with integer recourse decisions. We extend the progressive hedging method to solve the model efficiently. A numerical example and its sensitivity analysis are demonstrated.     

源荷双边参与的高比例新能源电力系统能量与备用市场联合出清方法

风光出力的随机性与反调峰特性增加了电网对新能源的消纳难度。利用源侧、荷侧的灵活可调节特性,设计源荷双边参与规则,引导源荷进行跨时间的双向功率协调以支撑清洁能源高效消纳。首先,梳理源荷双边参与的基本原则与原理,明确交易主体、品种以及模式并设计其参与规则。然后,基于源荷双边参与规则,构建计及源荷双边参与的日前能量与备用联合优化调度模型,在促进新能源消纳的同时降低工业用户用电成本。其次,针对多场景混合整数规划的求解难题,采用改进的渐进式对冲分解算法进行求解,通过启发式的变量“固定-筛选-松弛”,保证模型的收敛性。最后,基于IEEE 118系统进行算例分析,验证了所提能量与备用联合出清模型在促进新能源消纳方面的有效性。     

煤矿综合监控系统在灾害防治方面的作用与发展

在简要介绍我国煤矿灾害的预防、救援现状的基础上,阐述了综合监控系统在提供准确信息、正确避险指示和减少灾害损失等方面的重要作用;结合实际案例就综合监控系统如何配合六大系统的要求,采用无线通信、信息融合、视频监控、物联网等智能预警新技术,健全系统配置、完善系统功能、提高避险能力等进行了分析与论述。最后,提出了借鉴采矿业发达国家的成熟技术与经验,充分发挥煤矿综合监控系统的作用,积极探索井下新型安全防护体系的建设,达到零死亡率的现代化矿井的发展方向。     

Computation of the effects of uncertainty in volatility on option pricing and hedging

We quantify the effect of uncertainty in the volatility parameter σ on the Black–Scholes price of the European and American put. We apply probabilistic uncertainty analysis to the Black–Scholes model and compare the results with those of the Uncertain Volatility model. From historical data, we calibrate a probability distribution for the volatility. We then use Monte Carlo (MC) and a surrogate Polynomial Chaos (PC)/MC method to compute uncertainty bounds. The calibrated probability distribution is not one related to a standard orthogonal basis, so a basis is constructed numerically for the PC approximation. We show how to construct one stably from the probability distribution. We show that both methods give the same results, and quantify the relative speedup of the surrogate method. Finally, we investigate the effect of the parametric uncertainty, and show, for example, that the presence of uncertainty smoothes out the optimal exercise boundary of the American put.     

复合套期保值模型的旋转算法

建立了复合套期保值的一般数学模型,并探讨了用旋转算法求解该模型的要点以及计算步骤;运用旋转算法对一个具体的算例进行计算,求出了相应的最优套期保值组合;比较了最优套期保值组合策略和简单套期保值策略在套期保值效率上的差别,发现复合套期保值组合有明显的优势。     

对套期保值的决策和现状分析

由于我国期市尚处于试点阶段，套期保值的功能还很不完善。在实际操作中，存在诸多问题。其中主要是企业参与套期保值的积极性不高，导致我国期市保值与投机的比例严重失衡。本文主要针对企业如何参与套期保值及对我国套期保值的现状进行分析，试图帮助企业走出迷茫，从量的角度正确决策，并就我国套期保值现存的诸多不足从宏观上提出了一些改进建议，以供参考。     

Making renewable energy competitive in India: Reducing financing costs via a government-sponsored hedging facility

In India, a significant barrier to market-competitiveness of renewable energy is a shortage of attractive debt. Domestic debt has high cost, short tenors, and variable interest rates, adding 30% to the cost of renewable energy compared to renewable energy projects elsewhere. Foreign debt is as expensive as domestic debt because it requires costly market-based currency hedging solutions. We investigate a government-sponsored foreign exchange facility as an alternative to reducing hedging costs. Using the geometric Brownian motion (GBM)² as a representative stochastic model of the INR–USD foreign exchange rate, we find that the expected cost of providing a currency hedge via this facility is 3.5 percentage points, 50% lower than market. This leads to an up to 9% reduction in the per unit cost of renewable energy. However, this requires the government to manage the risks related to unexpected currency movements appropriately. One option to manage these risks is via a capital buffer; for the facility to obtain India's sovereign rating, the capital buffer would need to be almost 30% of the underlying loan. Our findings have significant policy implications given that the Indian government can use this facility to make renewable energy more competitive and, therefore, hasten its deployment.     

省级电网多元能源协调套期优化的购电模型

优先消纳水电、风电等可再生能源是当前形势下电力生产优化的重要目标。当前,电网公司遵循多年以来形成的惯例,为保证"三公"调度按照"等完成进度"的原则对各类年度合同进行分解,尽量"均衡"地分配本地火电机组的发电资源,这就难以与可再生能源发电的"不均衡"特性相匹配,无法实现最大限度地减少弃水、弃风,也极大地限制了通过省间购售电交易实现区域资源优化配置的能力。基于套期保值理论,在保证年度合同完成的前提下,通过不同月份内的"借还电"策略,构建了省级电网月度购电优化模型,借助大系统分解协调方法,以月份购电目标的局部优化,实现年度购电目标的整体"趋优",从而促进区域资源优化配置,有效减少弃风、弃水现象,提高经济和社会效益。最后,以某省级电网公司2013年的购电情况为例,验证了购电优化模型的有效性。     

随机利率下的均值-方差最小套期保值

均值-方差套期保值是套期保值的主要方法之一。不连续资产价格的均值-方差套期保值策略通常是在利率为非随机的情况下获得的。本文考虑在随机利率下,资产价格为特殊半鞅的均值-方差套期保值问题。通过适当的概率测度变换,将具有随机利率的情形简化为非随机利率情形,再利用Galtchouk-Kunita-Watanabe分解,获得了资产价格为一般的特殊半鞅,具有随机利率的的均值-方差套期保值策略。