# Jin zhong xiu trading options

This system attempted to monitor the financial structure of an insurance company, reduce the risk that a company might be unable to clear off the debt, and encourage a company to pay attention to its property structure and the risked revolved around its capital. The present study examined whether capital structure and percentage of equity holdings by industry among Taiwanese insurance companies would appear differences after implementing Risk-Based Capital system. This study employed a series of independent sample T-tests to investigate the effects of RBC system on capital structure and percentage of equity holdings by industry across different insurance companies in Taiwan.

Further, the target companies were categorized into six types: The results indicated that after RBC system, percentage of equity holdings by industry among finance holding company and non- finance holding company and insurance companies holding by local corporation decreased.

However, no significant differences regarding percentage of equity holdings were found. According to capital, insurance company of middle capital asset appeared to decrease the investment on the stock market. Further analyses found that in addition to stock variation, Jin zhong xiu trading options also jin zhong xiu trading options positive effects on percentage of equity holdings by non- finance holding company and insurance company of low capital asset.

Kao liang deng dai qi hou fan xiang ce lue zhi duan qi ji xiao: Evidence from Financial Crisis jin zhong xiu trading options Yongyi Huang Book 1 edition published in in Chinese and held by jin zhong xiu trading options WorldCat member library worldwide Ben wen yi nian de quan qiu jin rong wei ji wei zhong da shi jian "B38" tan tao zai zhong da shi jian fa sheng qian hou duan qi shi fou you guo du fan ying xian xiang "B38" jin yi bu cai mai shu jia mai ying jia zhi fan xiang ce lue "B38" jian shi zai duan qi shi fou neng you ming xian de zheng bao chou.

BHAR liang zhong heng liang chi you qi bao chou de fang fa dui fan xiang ce lue ji xiao shi fou you suo cha yi. This paper investigates whether the short-term overreaction exist around the major events, taking the global financial crisis in as example.

This work examines whether there is a significant positive return of a short-term contrarian strategy, the portfolio formatted by selling the winners' portfolio and buying the losers' portfolio. Following the previous studies, this paper not only investigates the impact of combinations of formation period and holding period on the performance of contrarian strategies, but also includes the waiting period after the portfolio is formatted. This paper examines whether the performance of contrarian strategies be improved after considering the waiting period.

Then, this work examines whether there is significant difference jin zhong xiu trading options the performance of contrarian strategy between the results of using two returns measures, CAR and BHAR. Empirical results reveal that, using CAR as the return measure, a significant short-term overreaction in Taiwan's stock market is found and the return of contrarian strategy is significantly positive.

Using BHAR as the return measure, the phenomenon of overreaction and the returns jin zhong xiu trading options contrarian strategy are less significant. However, the returns of contrarian strategy improve after considering the waiting period, and this is the case both in CAR and BHAR measures. The factors affecting choice of portfolio formation, such as size, book-to-market, and jin zhong xiu trading options ratio, could be included into the consideration in the future study.

Other non-financial major events could be used to explore the existence of overreaction and the effectiveness of contrarian strategy. Evidence from Taiwan Stock Market by Shengxiang Su Book 1 jin zhong xiu trading options published in in Chinese and held by 1 WorldCat member library worldwide Ben wen jiang tai wan tou zi ren fen wei wai zi, tou xin, zi ying shang, qi ta yi ban fa ren, san hu "B38" li yong qi mai mai zi liao "B38" yi Lakonishok, Shleifer jin zhong xiu trading options Vishny suo ti chu de cong zhong zhi biao "B38" jian ce ge lei tou zi ren zhi cong zhong xing wei yi ji te xing "B38" jie zhu li yong Wermers yu Puckett and Yan suo ti chu de fang fa jiang tou zi ren fen cheng mai mai liang fang bing tan tao cong zhong xing wei yu gu jia bao chou de xiang guan.

In this study, we examine the existence of herding and the relation between herding and stock returns by dividing Taiwanese investors into five groups: We find strong evidence of herding at the daily frequency using the Lakonishok, Shleifer and Vishny measure. We also find the foreign investors, dealers and individual investors prefer to buy the stocks with large capitalization and high liquidity, while other institutional investors prefer the stocks with lower liquidity.

In addition, we investigate the stock returns around herding. Our results indicate that institutional investors had positive feedback trading, and the individual investors had negative feedback trading. Moreover, we find price reversal after foreign investors' large selling and dealers' large buying, which implies that foreign investors' sell herding and dealers' buy herding is not based on information.

For individual investors, we find price reversal after their buy and sell herding. Ren gou quan zheng jiao yi dui shou feng xian zhi ping gu: We select the warrants of the same underlying jin zhong xiu trading options at the time issued by different security firms in the above period and divide them into four groups. Under the assumption of random jump is jin zhong xiu trading options distribution in Merton ,we put One Factor Gaussian Copula structure into Merton jump model and derive a Merton-Jump-Copula Model to price covered warrants.

A Monte Carlo Simulation and Calibration Method is used to estimate the counterparty risk premium of the sample warrants, and a comparison of the counterparty risk premium with different security firms on issuing the same underlying covered warrants in the same time period. Furthermore, the jump volatility is exogenously enlarged jin zhong xiu trading options discuss the sensitivity of jump volatility on counterparty risk premium.

Our empirical results show that there is no obvious evidence that counterparty risk premium of covered warrants within groups between security firms exists an order. Moreover, the magnitudes of counterparty risk premium are affected by the remaining maturity. Evidence from TAIEX Options by Zihan Dai Book 1 edition published in in English and held jin zhong xiu trading options 1 WorldCat member library worldwide Ben pian shi zai yan jiu ge bie tou zi ren zai mai jin huo mai chu xuan ze quan shi shi fou ju you yi zhi xing.

This study is to evidence whether individuals buy or sell options in concert. Using the database of Taiwan futures exchange overwe examine the trading behavior of the individual investors. We find that systematic retail trading explains returns move in the opposite direction for in-the-money and out-of-the-money options, especially if these options are also with lower portfolio size.

That is, if retail sentiments become larger fluctuations, individual investors are more likely to make misjudgments jin zhong xiu trading options cause a decline in investment returns. However, only partial macroeconomic variables i. Overall, the factors studied here support the importance of retail sentiment in the formation of characteristic-sorted options.

If this formation of investor sentiment used for this study, in fact, be used to study trading behavior, this formation can become a necessary tool jin zhong xiu trading options future research.

Yin hang jia quan li dui yu yin hang ji xiao zhi ying xiang: Kumar's study shows that individual investors systematically shift their preferences across extreme style portfolios small versus large, value versus growth. These preference shifts are influenced by past style returns and earnings differentials, and advice from investment newsletters, but are unaffected by innovations in macroeconomic variables.

Furthermore, the contemporaneous relation between style returns **jin zhong xiu trading options** style-level preference shift is strong. According to Kumarthis paper examines whether the systematic style-level preference shifts of individual investors are influenced by past style returns and macroeconomic variables in TAIEX options market. Firstly, this study examines the style preferences of individual investors. Secondly, using a combination of the variance ratio test, the bivariate vector auto-regression methodology, and the multivariate time series estimation framework examine whether style returns influence the systematic **jin zhong xiu trading options** preference shifts of individual investors.

The results indicate that investors' style preferences and macroeconomic variables are not influenced by style jin zhong xiu trading options.

Since political business cycle had been documented in the literature, so far financial theory fails to explain this well-known market phenomenon effectively. If stock market follows the efficient market hypothesis, political cycle effects should not exist in the market.

We investigate the political cycle effects by observing Taiwan OTC stock market. Through the empirical data, we find relative outperformance for the stock market of the first year of an administration under Chinese Nationalist Party than Democratic Progressive Party. However, after correcting industry returns for the CAPM or the Fama-French three factor models, we find no evidence of the well known political effects documented for industry returns in Taiwan.

Therefore, we suggest political cycle effects are only market wide phenomena and can not be explain by the impact from industry returns. Because of the **jin zhong xiu trading options** of both VIX and realized volatilities, we calculated the change rate of the two series to test their lead-lag relationship by VAR and Granger causality tests. On the other hand, if we used Granger Causality test and increased the number of lag progressively to 3, we found the realized volatilities jin zhong xiu trading options VIX but the reverse was not true.

It seems VIX can't forecast realized volatility. Reversely, VIX is affected by realized volatility. Instead of being able to forecast future market volatility, this result implies that investors' prediction is greatly based on realized volatility. Tai wan zhi shu xuan ze quan tiao jian feng xian zhi fen xi: Application of Merton-Jump-Copula Model by Mutian Huang Book 1 edition published in in Chinese and held by 1 WorldCat member library worldwide Black and Scholes zai nian fa biao xuan ze quan ping jia mo xing hou "B38" yin xuan ze quan ping jia mo xing de jia she bu fu shi ji shi chang zhuang kuang "B38" qie zai shi chang de wu feng xian li lu bian dong he bo dong xing bian hua huo yu qi bao chou cheng xian hou wei fen bu xia "B38" zao cheng xiu zheng xuan ze quan ping jia mo xing jin zhong xiu trading options zhi yun yu er sheng ; zai kao lu bao chou fen pei ju hou wei fen bu "B38" yin ci Black-Scholes-Merton zai nian fa biao tiao yue guo cheng de xuan ze quan jin zhong xiu trading options jia mo xing "B38" gu ben wen zai jia ru yi yin zi gao si guan lian jie gou er dao chu Merton tiao yue guan lian jie gou mo xing.

Zhi shu xuan ze quan zhi can shu mo ni fen xi: We also consider the moneyness effect on call option sensitivity, therefore, in our simulation analysis, call option can be classified as in-the-money, at-the-money, and out of the money option. In our valuation model, there are two type of jump, time-random jump type and time-random jump with given jump impact type. Simulation results show that the return has the highest sensitive, in-the-money option is more sensitive to model parameters.

In recent year, more and more attention have been paid to credit default risk. As a result the credit derivatives rapidly grow in volumes over the global market. Equity default swap EDS is one of the credit derivatives which first introduced in America in In this paper we incorporate the down-and-out call option concept to develop a pricing method for equity default swap, and compare with Merton jump diffusion model. Moreover, maximum-likelihood estimation MLE method introduced by Duan and EM algorithm introduced by Wong and Li is applied to estimate the parameters required for pricing.

For test of the model, we analyzed the data based on companies from Nasdaq index. We compared the pricing result of EDS under these two models. On the other hand, we also offer some comparative analyses to factors used for pricing EDS. In empirical result we can find that the jump diffusion model is more available than DOC model. Volatility of asset, expectation of jump times, volatility of jump size and maturity is positive effect to EDS pricing in comparative analyses.

Chinese 19 English 1. Project Page Feedback Known Problems.

This problem is governed by a fully coupled forward-backward doubly stochastic differential equation driven by a cylindrical Wiener process on a separable Jin zhong xiu trading options spaces and a Poisson random measure. The control variable is allowed to enter in all coefficients appearing in this system. The maximum principle jin zhong xiu trading options optimal control of this stochastic optimal control problem is derived. Further discussions and proofs will be given as well in the talk.

Precise large deviations of aggregate claims in a risk model with regression-type size-dependence Xiuchun Bi, University of Science and Technology of China, China In this work, we build a risk model under the framework of web Markov skeleton processes WMSPs for shortwhich are a new class of stochastic processes and are found to be useful in modeling insurance risk.

We introduce some regression-type dependence structures, including semi-Markov dependence and mirror jin zhong xiu trading options dependence. For a case of heavy-tailed claims, we obtain precise large deviation formulas of the aggregate claims under some assumptions on the regression-type size-dependence.

Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor players Rainer Buckdahn, Universite de Bretagne Occidentale, France and Shandong University, China In the talk we consider a 2-person zero-sum non-linear stochastic differential game, in which the one player is a major one and the other player is formed by N collectively acting minor players, whose dynamics are driven by independent Brownian motions but who intervene with their control in a same manner.

For the game with the N jin zhong xiu trading options players we consider a weak solution, which makes it possible to study the game by using controls.

Under suitable assumptions the saddle-point controls of the game are determined. The main objective on which the talk focuses is the limit behavior of the stochastic differential game and of the saddle-point controls, as the number N of minor players tends to infinity. The limit stochastic differential game -a mean-field game- is discussed and its saddle-point controls are characterised as the limit of the saddle-point controls of the game with N minor players. Incomplete information, trend following, and liquidity premium Yingshan Chen, National University of Singapore We study the optimal investment policy of an investor who trades in a market that switches stochastically between bull and bear regimes.

The investor does not fully observe the state of the market and incurs transaction costs. We characterize the solution to this problem, focusing on two main implications. First, we show that in this framework the investor is mainly a trend follower, buying on the upswings and selling on the downswings.

Second, compared to the full information case, we show that incomplete information about the state of the market can significantly amplify the magnitude of the effect of transaction costs on liquidity premia.

Overall, trading costs combined with imperfect knowledge about the time-varying investment opportunities have a strong first-order role in jin zhong xiu trading options pricing.

Free boundary problems and variational inequality in finance Xinfu Chen, University of Pittsburgh, USA In this talk, I review the classical Stefan problem and its variational formulation. Then I present connections between free boundary problem and variational inequality.

Some examples from mathematical finance are given. Jin zhong xiu trading options the ruin time for risk reserve processes with heavy-tailed claims Tsung-Lin Cheng, National Changhua University of Education, Taiwan In this paper, we extend Lemma 1 of Chow and Zhang to the risk reserve models with heavy-tailed claims.

In particular, we obtain an upper bound and a lower bound for the expectation of the time to ruin for the risk reserve process. Our results don't require any assumptions on the distributions of the claims. Moreover, both of continuous-time indexed and discrete-time indexed risk reserve processes are discussed separately. Finally, we conduct a simulation for a risk reserve process with Cauchy-distributed claims to illustrate our main results.

Insider trading and option returns around earnings announcements Chin-han Chiang, Singapore Management University This paper studies the relation between insider trading and option returns around earnings announcements.

We show that put call options listed under stocks sold purchased by insiders earn a significant return premium. This return premium jin zhong xiu trading options significant after controlling for systematic risk, volatility risk, and transaction cost.

We provide the first piece of empirical evidence of rising volatility which generates the put option return premium, following insider sales.

This rise in volatility is not fully anticipated by market investors, given a significant spread between the implied and realized volatility, and thus causes put options to be relatively undervalued.

On the other hand, the call option premium is due to significant run-up in the underlying stock price. Characterization of optimal strategy for multi-asset investment and consumption with transaction costs Min Dai, National University of Singapore We consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multi-dimensional geometric Brownian motion.

We characterize the optimal investment strategy and show that the trading region has the shape that is very much needed for well defining the trading strategy, e. In contrast, the existing literature is restricted to either single risky asset or multiple uncorrelated risky assets.

This work is jointly with Xinfu Jin zhong xiu trading options. Optimal investment and consumption jin zhong xiu trading options capital gain taxes Min Dai, National University of Singapore We consider optimal investment and consumption models with capital gain taxes.

We will consider two models: The talk is based on two of our recent papers: New convergence properties related to local theorems Freddy Delbaen, ETH Zurich, Switzerland An extension of the weak convergence of probability measures is introduced. It measures in the language of characteristic functions the distance between probability neasures and given limits Gaussian or other measures. Applications are found in statistics but less general than the known resultsnumber theory, random matrices, large and moderate deviations.

Time consistent coherent extension of time consistent concave monetary utility functions Freddy Delbaen, ETH Zurich, Switzerland I showed that a concave monetary utility function can be made positively homogeneous by extending the probability space. For time consistent utility functions the construction is more complicated.

I will present a positive answer and show jin zhong xiu trading options time consistent concave monetary utility functions can be made coherent and time consistent by extending the probability space. Martingale optimal transport and robust hedging in continuous time Yan Dolinsky, ETH Zurich, Switzerland The duality between the robust or equivalently, model independent hedging of path dependent European options and a martingale optimal transport problem is proved.

The financial market is **jin zhong xiu trading options** through a risky asset whose price is only assumed to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the given, fixed maturity.

**Jin zhong xiu trading options** dual is a Monge Kantorovich type martingale transport problem of maximizing the expected value of the option over all martingale measures that has the given marginal at maturity.

In addition to duality, a family of simple, piecewise constant super-replication portfolios that asymptotically achieve the minimal super replication cost is constructed. This is a joint work with Mete Soner. Cascading defaults and systemic risk of a banking system Jin-Chuan Duan, National University of Singapore Systemic risk of a banking system arises from cascading defaults due to interbank linkages.

Any large external shock can in principle triggers cascading defaults, but shocks to systematic risk factors, as opposed to banks' idiosyncratic elements, are more likely to drive cascading defaults and hence to cause higher systemic risk. This paper proposes a structural model for a banking system in which bank assets are subject to both systematic and idiosyncratic risks and bank liabilities contain interbank exposures which may or may not be subject to netting.

This model allows us to define two useful measures: The former characterizes the expected losses due to interbank linkages under some prescribed macro stress scenario, whereas the latter measures the pervasiveness of bank defaults under the same condition. Our model is conducive to examining potential impacts on systemic risk under different banking network configurations.

We devise a novel bridge sampling technique jin zhong xiu trading options for computing these two systemic risk measures, and obtain data and estimates for a network of 15 British banks.

Our results are quarterly time series of estimates for systemic exposures and fragilities from before the financial crisis to the end of Through this empirical analysis, we **jin zhong xiu trading options** light on the nature of systemic risk and open new ways for controlling such risk.

Obstacle problem of jin zhong xiu trading options PDES Ibrahim Ekren, Southern California, USA In this talk, we adapt the definition of viscosity solutions of path-dependent PDEs to the obstacle problem associated to a non-Markovian second order reflected backward stochastic differential equation with data uniformly continuous in t, w and generator Lipschitz jin zhong xiu trading options in y, z. We prove that our definition is consistent with the classical solutions, and satisfy a stability result.

We show that the value functional defined via the second jin zhong xiu trading options reflected backward stochastic differential equation is the unique viscosity solution of the variational inequalities. Model uncertainty and risk aggregation Paul Embrechts, ETH Zurich, Switzerland The quantitative regulation of banking and insurance is very much jin zhong xiu trading options on specific risk measures.

Examples include Value-at-Risk a quantile based measure and Expected Shortfall a conditional excess measure. Besides their statistical estimation, recent applications very much use the axiomatic theory of risk measures to investigate allocation and aggregation properties.

In this talk I will present the necessary theory going back to a question of Kolmogorov on quantile based risk aggregation when only partial information on the underlying stochastic structure is known.

Besides discussing some analytic results for sums of risk positions, I will also present a versatile, so-called Rearrangement Algorithm for the numerical calculation of best and worst bounds in a model uncertainty context. As an example we discuss the calculation of risk capital for operational risk within the Basel 3 framework of banking regulation. In my talk I will also address a recent Consultative Document of the Basel Committee and its consequences for risk management research related to robust forecasting of risk measures.

Peter Forsyth, University of Waterloo, Canada Algorithmic trade execution has become a standard technique for institutional market players in recent years, particularly in the equity market where electronic trading is most prevalent. A trade execution algorithm typically seeks to execute a trade decision optimally upon receiving inputs from a human trader. A common form of optimality criterion seeks to strike a balance between minimizing pricing impact and minimizing timing risk. For example, in the case of selling a large number of shares, a fast liquidation will cause the share price to drop, whereas a slow liquidation will expose the seller to timing risk due to the stochastic nature of the share price.

We compare optimal liquidation policies in continuous time in the presence of trading impact using numerical solutions of Hamilton Jacobi Bellman HJB partial differential equations PDE. In particular, we compare the time-consistent mean-quadratic-variation strategy Almgren and Chriss with the time-inconsistent pre-commitment mean-variance strategy. The Almgren and Chriss strategy should be viewed as the industry standard. We show that the two different risk measures lead to very different strategies and liquidation profiles.

Examples of such problems include: Guaranteed Minimum Withdrawal Benefit. After an introductory lecture, we will give an example where seemingly reasonable methods do not converge to the correct viscosity solution of a nonlinear HJB equation.

A set of general guidelines is then established which will ensure convergence of the numerical method to the viscosity solution.

Emphasis will be placed on methods which are straightforward to implement. We then illustrate these techniques on some of the problems mentioned above. Uncertain Volatilty Lecture 3: Impulse Control Formulation Lecture 5: Gas Storage Lecture 6: Portfolio optimization and stochastic volatility asymptotics Jean-Pierre Fouque, University of California at Santa Barbara, USA We study the Jin zhong xiu trading options problem of portfolio optimization over a finite horizon when volatility is stochastic and fluctuating on different time scales.

We develop a perturbation method for the associated nonlinear PDE and we show how to relate market data implied volatility skews to optimal strategies. Joint work with Ronnie Sircar and Thaleia Zariphopoulou: We will review the main steps in the evolution of this theory and its connections with several areas in financial mathematics as, for example, the pricing in incomplete markets, the theory of optimal risk sharing, decision theory.

One reason of the large growth of this theory is ascribed to the robust representation of risk measures, which accommodates for model ambiguity. We will discuss this matter in relation to convex and quasi-convex risk measures.

As more recent applications, we will describe risk measures defined on distribution functions, a generalization of the notion of the V R, based on a convex family of acceptance sets. The optimal execution strategy of employee stock jin zhong xiu trading options Yi Fu, Shanghai Normal University, China In this paper, we developed an optimal execution strategy for the employee stock option by means of the fluid model.

We show that the value function is the viscosity solutions of the Hamilton-Jacobi-Bellman variational inequality equation and prove the comparison principle of the viscosity solutions. Finally, numerical illustrative examples and numerical solution of optimal selling strategies ate given by the finite difference method.

For this, we use a default-density modeling approach. The global market information is formulated as progressive enlargement of a default-free Brownian filtration and the dependence of default times is modeled by a conditional **jin zhong xiu trading options** hypothesis.