The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching

This article formulates and dissects a Black–Scholes model with regime switching that can be used to describe the performance of a complete market. An explicit integrand formula ϕ t , ω is obtained when the T -claim F ω is given for an attainable claim in this complete market. In addition, some perfect results are presented on how to hedge an attainable claim for this Black–Scholes model, and the price p of the European call and the self-financing portfolio θ t = θ 0 t , θ 1 t are given explicitly. Finally, some concluding remarks are provided to illustrate the theoretical results.

Simulation Research on Participation Willingness of Industrial Company on Green Finance Policies based on Tripartite Game

The green finance policy is an important embodiment of the basic national policy of environmental protection in the financial system, and also an important guarantee for company to achieve green development. Based on the heterogeneous interest pursuit of the central state, local provinces and industrial companies, the article builds an evolutionary model of three game partners, analyzes the strategic choice of the stakeholders in the implementation process of the green finance policies, and simulates the dynamical track of evolution stability strategies of three partners. The results show that the management from the central state is very important to the implementation of the policy, and the supervision cost and punishment will also affect the final stability strategy; the policy incentive from the central state can effectively promote the enthusiasm of the local provinces to implement the green finance policies, but the implementation cost will seriously affect the willingness of the local government to help industrial companies; under the joint supervision effect of the central state, the local government’s policy incentives and the complete market mechanism, industrial companies will enhance their willingness to participate in green finance policies.

Negative selection—a new performance measure for automated order execution

Automated Order Execution is the dominant way of trading at stock markets. Performance of numerous execution algorithms is measured through slippage from some benchmark. But measuring true slippage in algorithmic execution is a difficult task since the execution as well as benchmarks are function of market activity. In this paper, we propose a new performance measure for execution algorithms. The measure, named Negative Selection, takes a posterior look at the trading window and allows us to determine what would have been the optimal order placement if we knew in advance, before the actual trading, the complete market information during the trading window. We define the performance measure as the difference between the hypothetical optimal trading position and the actual execution. This difference is calculated taking into account all prices and traded quantities within the considered time window. Thus, we are capturing the impact caused by our own trading as a cost that affects all trades. Properties of Negative Selection, which make it well defined and objective are discussed. Some empirical results on real trade data are presented.

On statistical indistinguishability of complete and incomplete market models

Purpose This paper aims to investigate possibility of statistical detection of market completeness for continuous time diffusion stock market models. Design/methodology/approach The paper uses theory of forecasting to find criteria of predictability of market parameters such as volatilities and the appreciation rates. Findings It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into an incomplete one. The paper shows that market incompleteness is also non-robust: for any incomplete market from a wide class of models, there exists a complete market model with arbitrarily close paths of the stock prices and the market parameters. Originality/value The paper results lead to a counterintuitive conclusion that the incomplete markets are indistinguishable in the terms of the market statistics.

Strategy of BIM Building Operation and Maintenance Management Based on LV-EG Model

BIM technology can make building operation and maintenance (O&M) more efficient. This paper analyzes the evolution game (EG) of the three parties related to the O&M of the building. At the same time, it deduces the diffusion (LV) of the O&M management mode of the market in this condition by finding the evolutionary stable points under different conditions. Through the analysis of relevant conditions, the result of BIM-O&M diffusion is obtained as follows: complete market possession, partial market possession, and exit market three kinds of diffusion results, which provides a reference for the future development of BIM-O&M management in China.

A Dynamic Mean-Variance Analysis for Log Returns

We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; the longer the investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term investment, people should not short-sell major stock indices whose returns are higher than the risk-free rate), and the model provides a direct link with the constant relative risk aversion utility maximization in a complete market. This paper was accepted by Kay Giesecke, finance.

Smart Metering: A Better Way To Monitor Consumer Electricity Usage

<div>This paper presents the development and implementation of a low-cost smart meter.</div><div>The smart meter is one of the major components of the distribution network. The</div><div>proposed low-cost smart meter is compared with already existing smart meters</div><div>deployed in the market. The comparison metrics involve cost, security, installation,</div><div>and lifetime. In this study, we have presented the market segment and the beachhead</div><div>market of the proposed product. The TAM size is calculated for better market</div><div>analysis by calculating the overall customer size. A complete proposed process flow</div><div>is explained for cost saving comparison, along with a complete market survey. In this</div><div>paper, the whole technology and hardware needed for the low-cost smart meter is</div><div>explained in detail along with the total cost of testing and installation.</div>

Smart Metering: A Better Way To Monitor Consumer Electricity Usage

<div>This paper presents the development and implementation of a low-cost smart meter.</div><div>The smart meter is one of the major components of the distribution network. The</div><div>proposed low-cost smart meter is compared with already existing smart meters</div><div>deployed in the market. The comparison metrics involve cost, security, installation,</div><div>and lifetime. In this study, we have presented the market segment and the beachhead</div><div>market of the proposed product. The TAM size is calculated for better market</div><div>analysis by calculating the overall customer size. A complete proposed process flow</div><div>is explained for cost saving comparison, along with a complete market survey. In this</div><div>paper, the whole technology and hardware needed for the low-cost smart meter is</div><div>explained in detail along with the total cost of testing and installation.</div>

Duality theory under model uncertainty for non-concave utility functions

The main goal for this paper is to study the robust utility maximization functional, i.e. sup_{X\in\Xi(x)} inf_{Q\in\mathsf{Q}} E_Q [U(X_T)]; of the terminal wealth in complete market models, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In the previous literature, this problem was studied for strictly concave utility functions and we extended existing results for non-concave utility functions by considering their concavization.