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The paper considers financial derivatives and option pricing models which are described with the use of diffusiontype partial differential equations (e.g. Black-Scholes models). Using this approach a new filtering method for distributed parameter systems is developed, for estimating option prices variations without knowledge of initial conditions. The proposed filtering method is the so-called Derivative-free...
Market returns and risks are compared to other mature capital market on the Shanghai A-share Firstly, Rate return of 170 listed companies Empirical Study in Shanghai a-share market of China, We can conclude that there is not a linear relationship between Risk and return of securities according CAPM and systematic risk is not the only deciding factor in the return on assets.
The Shanghai Stock Exchange restarts the warrants trading in 2005. And then warrants become the most dynamic financial derivatives of the securities market. This paper structures a metric of the effectiveness of the Warrant Creation Mechanism by principal component analysis and then tests it. The results demonstrate that the Warrant Creation Mechanism significantly affect the pricing efficiency of...
Stock index futures is a innovative product result from the combination of stock market futures and securities markets, and the arbitrage function of stock index futures is an important factor to promote market operation efficiency. This paper explains the operation of stock index futures arbitrage, introduces several common methods to build stock portfolio and calculates arbitrage-free interval of...
Real estate industry has always been popular as a key industry at home and abroad. This paper aims at researching on the fast development and soaring housing prices of real estate industry. Based on various forms of income approach, the paper got the advantages and disadvantages of the method. The opinions and suggestions of improvement are put forward by this paper, which enhances the application...
The financial statements of a listed firm disclose the company's financial position, operating results and cash flow information, which is an important means for investors to analyze the firm. But in recent years, financial restatements are becoming frequent. Basing on 88 Shanghai and Shenzhen A-share listed firms, which announced annual financial reports restatements during 2006-2008 periods, this...
Stock markets failed to predict the current decline of the economy. In 2007, almost all the major indices were performing well. However, clearly something bad was about to occur. In this paper we shall show that by exploring the information contained in option prices one can find a different story. A key tool introduced in this paper is a new quantity which measures the Bullish or Bearish nature of...
The impact on volatility of stock index futures to spot markets would be greatly considered during the introduction of stock index futures by the country and areas all over the world. This paper reviews the development of stock index futures in the United States, Japan, Hong Kong, then compares and analyzes the effect of the introduction of CSI300 index futures on the spot market by opening price,...
There are many discussions on such IPO selling mechanisms as book-building, fixed price and auction, but there are few on such underwriting mechanisms as stand-by, best-effort and firm commitment mechanisms. With the adoption of different underwriting methods, market participants will judge the level of offering prices based on the consideration of their own benefits. Therefore offering prices may...
A bivariate functional coefficients regression model for characterizing dynamics of security price is presented in this paper to reflect the feature of real financial market that is presence of repelling and mingling of different opinions amongst traders. The local polynomial regression approach is adopted to estimate the functional coefficients resulting from bayesian updating mechanism. After applying...
The deregulation on the constraints on the introductory of third-party call warrants in China offers an opportunity to realize whether or not the time-varying price dynamics are altered by the deregulation. By employing the event-study method this paper investigates the impacts of call warrant listing on the underlying stock returns on China's market based on Baosteel and Baosteel JTB listed before...
The idea of this study is to apply the Power-law on the Chinese listed banks to understand the fluctuations of the stock price and profit. 5 banks listed in the Chinese stock exchange are analyzed in this paper. Recursive procedures based on empirical distribution tests are used to determine the threshold number of observations in the tail estimation.
By using daily data of India market, an effort has been made to investigate the possible volatility and price-discovery relationships between the NIFTY spot index and index futures market with techniques of ARCH/GARCH model, Johansen's Cointegration test and Granger Causality test. The main conclusions of this paper are as follows: firstly, the introduction of stock index future (SIF) helps reduce...
Transmission line congestion in electricity market is lead to increase the energy cost and change in local marginal prices. So, it is probable that the market power is manifested. Market power may prevent the full competition in Electricity Market. Moreover, in this condition, with operating of power system in its boundary conditions, the system may be damaged and the security of the system may be...
Wireless networks and mobile devices, which had brought lots of convenience to our daily life and made us much easier to get information any time and any where, now had motivates the needs for efficient tools analyzing data streams. Data mining technology turned into a valid tool for us to make scientific decision. Data mining can transform vast data resource into available knowledge and information...
We study the effects of an infrastructure change at the Deutsche Boerse in Germany. On April 23rd 2007, Deutsche Boerse released an upgraded version of their electronic trading system Xetra. We examine the impact that this upgrade had on the efficiency of prices, measured as the level of mispricing, in the underlying liquid cash market and derivative futures market. Our analysis shows that the level...
This paper explores the relationship between diversification and oil supply security risks, and quantifies the diversification index of Chinapsilas petroleum products import during 1994-2006, and analyzes the relationship between the Chinapsilas monthly petroleum products import prices and New York Harbor spot prices. Accordingly, we calculate the systematic and specific risk index of Chinapsilas...
The capital asset pricing model (CAPM) can not be applied to estimate the capital cost of the project because of lack of applying condition due to the inefficiency of the market. In this paper we analyze the behavioral capital asset pricing model(BAPM) which has been only used in the financial markets and we get the conclusion that it can be used to estimate the project capital cost. We also modify...
This paper presents the financial transmission rights (FTRs) or congestion revenue rights (CRRs) allow participants to bid in an auction to acquire rights to future day-ahead congestion revenues, defined as the difference in day-ahead congestion components between two pricing points on the system. FTRs/CRRs (FTRs, for short) are intended to provide market participants with a financial instrument to...
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