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111	狀態轉換跳躍相關模型下選擇權定價:股價指數選擇權之實證 / Option pricing under regime-switching jump model with dependent jump sizes: evidence from stock index option 李家慶, Lee, Jia-Ching Unknown Date (has links) Black and Scholes (1973)對於報酬率提出以B-S模型配適，但B-S模型無法有效解釋報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性的性質。Merton (1976)認為不尋常的訊息來臨會影響股價不連續跳躍，因此發展B-S模型加入不連續跳躍風險項的跳躍擴散模型，該模型可同時描述報酬率不對稱高狹峰和波動度微笑兩性質。Charles, Fuh and Lin (2011)加以考慮市場狀態提出狀態轉換跳躍模型，除了保留跳躍擴散模型可描述報酬率不對稱高狹峰和波動度微笑，更可以敘述報酬率的波動度叢聚和長記憶性。本文進一步拓展狀態轉換跳躍模型，考慮不連續跳躍風險項的帄均數與市場狀態相關，提出狀態轉換跳躍相關模型。並以道瓊工業指數與S&P 500指數1999年至2010年股價指數資料，採用EM和SEM分別估計參數與估計參數共變異數矩陣。使用概似比檢定結果顯示狀態轉換跳躍相關模型比狀態轉換跳躍獨立模型更適合描述股價指數報酬率。並驗證狀態轉換跳躍相關模型也可同時描述報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性。最後利用Esscher轉換法計算股價指數選擇權定價公式，以敏感度分析模型參數對於定價結果的影響，並且市場驗證顯示狀態轉換跳躍相關模型會有最小的定價誤差。 / Black and Scholes (1973) proposed B-S model to fit asset return, but B-S model can’t effectively explain some asset return properties, such as leptokurtic, volatility smile, volatility clustering and long memory. Merton (1976) develop jump diffusion model (JDM) that consider abnormal information of market will affect the stock price, and this model can explain leptokurtic and volatility smile of asset return at the same time. Charles, Fuh and Lin (2011) extended the JDM and proposed regime-switching jump independent model (RSJIM) that consider jump rate is related to market states. RSJIM not only retains JDM properties but describes volatility clustering and long memory. In this paper, we extend RSJIM to regime-switching jump dependent model (RSJDM) which consider jump size and jump rate are both related to market states. We use EM and SEM algorithm to estimate parameters and covariance matrix, and use LR test to compare RSJIM and RSJDM. By using 1999 to 2010 Dow-Jones industrial average index and S&P 500 index as empirical evidence, RSJDM can explain index return properties said before. Finally, we calculate index option price formulation by Esscher transformation and do sensitivity analysis and market validation which give the smallest error of option prices by RSJDM. 股價指數選擇權狀態轉換跳躍相關模型波動聚集波動度微笑 EM演算法 Esscher轉換法 index option regime-switching jump dependent model volatility clustering volatility smile EM algorithm Esscher transformation
112	Words incarnate : contemporary women’s fiction as religious revision Rine, Abigail January 2011 (has links) This thesis investigates the prevalence of religious themes in the work of several prominent contemporary women writers—Margaret Atwood, Michèle Roberts, Alice Walker and A.L. Kennedy. Relying on Luce Irigaray’s recent theorisations of the religious and its relationship to feminine subjectivity, this research considers the subversive potential of engaging with religious discourse through literature, and contributes to burgeoning criticism of feminist revisionary writing. The novels analysed in this thesis show, often in violent detail, that the way the religious dimension has been conceptualised and articulated enforces negative views of female sexuality, justifies violence against the body, alienates women from autonomous creative expression and paralyses the development of a subjectivity in the feminine. Rather than looking at women’s religious revision primarily as a means of asserting female authority, as previous studies have done, I argue that these writers, in addition to critiquing patriarchal religion, articulate ways of being and knowing that subvert the binary logic that dominates Western religious discourse. Chapter I contextualises this research in Luce Irigaray’s theories and outlines existing work on feminist revisionist literature. The remaining chapters offer close readings of key novels in light of these theories: Chapter II examines Atwood’s interrogation of oppositional logic in religious discourse through her novel The Handmaid’s Tale. Chapter III explores two novels by Roberts that expose the violence inherent in religious discourse and deconstruct the subjection of the (female) body to the (masculine) Word. Chapters IV and V analyse the fiction of Kennedy and Walker respectively, revealing how their novels confront the religious denigration of feminine sexuality and refigure the connection between eroticism and divinity. Evident in each of these fictional accounts is a forceful critique of religious discourse, as well as an attempt to more closely reconcile foundational religious oppositions between divinity and humanity, flesh and spirit, and body and Word. 200
113	女性求職者照片外觀性別與工作典型性別一致性及照片微笑有無對招募者人事決策之影響 / Congruence between female applicants' photo facial appearance and the job type and smiling in the photo on recruiting decisions. 陳子瑜 Unknown Date (has links) 本研究探討女性求職者其履歷表照片外觀性別與應徵工作的典型性別間一致性與否與微笑有無對招募者人事決策之影響；此外，並探討前述關係之中介機制及調節效果；亦即前述兩類效果是否透過影響招募者對求職者工作能力契合度、外向性或吸引力的知覺，進而影響招募者的人事決策，而招募者性別角色態度是否調節前述之性別一致性效果。 / 本研究使用實驗法，採2（女性求職者照片微笑：有或無）×2（女性求職者外觀性別與工作性別間一致性程度：高或低）完全受試者間實驗設計。依變項則為推薦意願之人事決策。以在職者為樣本，共有214位受試者參與，隨機分派受試者至四種實驗情境之一，在閱讀職缺訊息及履歷表後，回答對求職者知覺、人事決策及人口統計變項等問題。去除操弄失敗的樣本後，本研究分析之有效樣本為141人。 / 本研究以階層迴歸分析來檢驗所有研究假設。研究結果顯示，求職者微笑有無對推薦意願之主要效果達顯著，且招募者對求職者之外向性與外表吸引力知覺會中介此效果；但「外觀性別與工作性別間一致性」的主要效果並未達顯著。此外，招募者之家庭外角色態度具有顯著調節效果，但性別刻板印象之調節效果不存在。研究者並針對本研究之研究結果、理論與實務意涵加以討論。 / In the present study, the researcher examined whether the congruence between female applicants' photo facial appearance and the job type and whether female applicants showed smile in the photo affected recruiters' hiring recommendation. Additionally, mediators and moderators of the above relationships were also examined. Specifically, the researcher examined whether recruiters' perceptions of applicant’s demands-abilities fit, extraversion, and facial attractiveness mediated the above relationship and whether recruiters' sex role attitudes moderated the above relationship. / This study used a 2 × 2 between-subjects factorial experimental design. The two independent variables were whether female applicants showed smile in the photo (smile or non-smile) and the congruence between female applicants' photo facial appearance and the job type (high or low). The dependent variable was hiring recommendation. Two hundred and fourteen current incumbents participated in this study. After reading a fictitious job description and a fictitious resume, participants answered questions about the perceptions of the applicant, hiring recommendation, and participants’ demographic informaiton. After dropping participants who failed to pass the manipulation check, the valid sample size for analysis was 141. / Results of hierarchical multiple regression analyses indicated that the main effect of applicants' photo smile on hiring recommendation was significant, and the recruiter' perceptions of applicant's extraversion and facial attractiveness were mediators of the aforementioned relationship. However, recruiters' hiring recommendation was not influenced by congruence between female applicants' photo facial appearance and the job type. In addition, recruiters' attitudes toward extra-familial roles moderated the relationship between congruence between female applicants' photo facial appearance and the job type and demands-abilities fit. However, the moderation of recruiters’ gender stereotype was not significant. Finally, practical implications and avenues for future research in selection biases are discussed. 性別角色一致工作能力契合度微笑外向性吸引力照片外觀性別刻板印象人事決策求職者照片雇用建議性別角色態度 sex role congruence demands–abilities fit smile extraversion attractiveness photo facial appearance gender stereotype recruiting decision applicant’s photo hiring recommendation sex role attitude
114	狀態轉換下利率與跳躍風險股票報酬之歐式選擇權評價與實證分析 / Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks 巫柏成, Wu, Po Cheng Unknown Date (has links) Chen, Chang, Wen and Lin (2013)提出馬可夫調控跳躍過程模型(MMJDM)描述股價指數報酬率，布朗運動項、跳躍項之頻率與市場狀態有關。然而，利率並非常數，本論文以狀態轉換模型配適零息債劵之動態過程，提出狀態轉換下的利率與具跳躍風險的股票報酬之二維模型(MMJDMSI)，並以1999年至2013年的道瓊工業指數與S&P 500指數和同期間之一年期美國國庫劵價格為實證資料，採用EM演算法取得參數估計值。經由概似比檢定結果顯示無論道瓊工業指數還是S&P 500指數，狀態轉換下利率與跳躍風險之股票報酬二維模型更適合描述報酬率。接著，利用Esscher轉換法推導出各模型下的股價指數之歐式買權定價公式，再對MMJDMSI模型進行敏感度分析以評估模型參數發生變動時對於定價公式的影響。最後，以實證資料對各模型進行模型校準及計算隱含波動度，結果顯示MMJDMSI在價內及價外時定價誤差為最小或次小，且此模型亦能呈現出波動度微笑曲線之現象。 / To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching Model is taken to fit the process of the zero-coupon bond price, and a bivariate model for interest rate and stock index return with regime-switching and dependent jump risks (MMJDMSI) is proposed. The empirical data are Dow Jones Industrial Average and S&P 500 Index from 1999 to 2013, together with US 1-Year Treasury Bond over the same period. Model parameters are estimated by the Expectation-Maximization (EM) algorithm. The likelihood ratio test (LRT) is performed to compare nested models, and MMJDMSI is better than the others. Then, European call option pricing formula under each model is derived via Esscher transformation, and sensitivity analysis is conducted to evaluate changes resulted from different parameter values under the MMJDMSI pricing formula. Finally, model calibrations are performed and implied volatilities are computed under each model empirically. In cases of in-the-money and out-the-money, MMJDMSI has either the smallest or the second smallest pricing error. Also, the implied volatilities from MMJDMSI display a volatility smile curve. EM演算法 Esscher轉換法歐式買權定價公式敏感度分析模型校準波動度微笑曲線 MMJDMSI model EM algorithm Esscher Transformation European call option pricing formula sensitivity analysis; model model calibration volatility smile curve
115	Empirical Performance and Asset Pricing in Markov Jump Diffusion Models / 馬可夫跳躍擴散模型的實證與資產定價林士貴, Lin, Shih-Kuei Unknown Date (has links) 為了改進Black-Scholes模式的實證現象，許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象。然而對於其他的模型分析的處理依然是一個問題。在本論文中，我們建議使用馬可夫跳躍擴散過程，不僅能整合leptokurtic與波動度微笑特性，而且能產生波動度聚集的與長記憶的現象。然後，我們應用Lucas的一般均衡架構計算選擇權價格，提供均衡下當跳躍的大小服從一些特別的分配時則選擇權價格的解析解。特別地，考慮當跳躍的大小服從兩個情況，破產與lognormal分配。當馬可夫跳躍擴散模型的馬可夫鏈有兩個狀態時，稱為轉換跳躍擴散模型，當跳躍的大小服從lognormal分配我們得到選擇權公式。使用轉換跳躍擴散模型選擇權公式，我們給定一些參數下研究公式的數值極限分析以及敏感度分析。 / To improve the empirical performance of the Black-Scholes model, many alternative models have been proposed to address the leptokurtic feature of the asset return distribution, and the effects of volatility clustering phenomenon. However, analytical tractability remains a problem for most of the alternative models. In this dissertation, we propose a Markov jump diffusion model, that can not only incorporate both the leptokurtic feature and volatility smile, but also present the economic features of volatility clustering and long memory. Next, we apply Lucas's general equilibrium framework to evaluate option price, and to provide analytical solutions of the equilibrium price for European call options when the jump size follows some specific distributions. In particular, two cases are considered, the defaultable one and the lognormal distribution. When the underlying Markov chain of the Markov jump diffusion model has two states, the so-called switch jump diffusion model, we write an explicit analytic formula under the jump size has a lognormal distribution. Numerical approximations of the option prices as well as sensitivity analysis are also given. 均衡分析歐式選擇權拉氏倒轉變換長記憶馬可夫跳躍擴散模型馬可夫控制瓦松過程數值倒轉方法換跳躍擴散過程變波動聚集波動度微笑 Equilibrium analysis European call option Laplace inverse transform Leptokurtic Long memory Markov jump diffusion model Markov modulated Poisson process Numerical inversion method Switch jump diffusion model Volatility clustering Volatility smile
116	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
117	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics

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