Preferences over Meyer’s Location-Scale Family

This paper extends Meyer’s (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained. Secondly, we introduce and study some general non-expected utility functions defined over the location-scale (LS) family. Special care is made in characterizing the shape of the indifference curves induced by the LS expected utility functions and non-expected utility functions. Finally, efforts are also made to study several well-defined partial orders and dominance relations defined over the LS family. These include the first-, second- order stochastic dominance, the mean -variance rule, and a newly defined location-scale dominance.

Risk-Neutral and Physical Jumps in Option Pricing

When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carlo simulation, we investigate the important difference between risk-neutral and physical jumps in option pricing, especially for medium-and long-term options. 1

Preferences, Lévy Jumps and Option Pricing

This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The derived formulae is general and flexible enough to include some important option pricing formulae in the literature, such as Black-Scholes, Naik-Lee, Cox-Ross and Merton option pricing formulae. The existence of jump risk as a potential explanation of the moneyness biases associated with the Black-Scholes model is explored.  This paper was published in Annals of Financial Economics, p1-39, Volume 3, 2007

MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps

This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investors, if they exist, must be located on a so-called ‘temporal efficient frontier’ (t.e.f.). Analytic and qualitative characterizations of the t.e.f. are provided and are shown to form a hyperbola in the μ-σ plane. This paper also provides insights on (i) dynamic consistency underlying those temporal efficient trading strategies; (ii) mutual fund separation in extending the classical notion of Tobin (1958) and Black (1972) to this continuous-time setting; (iii) risk decomposition in presence of Lévy jumps, and (iv) differences between MPS risk averse investors

Preferences, Lévy Jumps and Option Pricing

This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The derived formulae is general and flexible enough to include some important option pricing formulae in the literature, such as Black-Scholes, Naik-Lee, Cox-Ross and Merton option pricing formulae. The existence of jump risk as a potential explanation of the moneyness biases associated with the Black-Scholes model is explored

Wavelet-based option pricing: An empirical study

In this paper, we adopt a wavelet-based option valuation model and empirically compare the pricing and forecasting performance of this model with that of the stochastic volatility model with jumps and the spline method. Both the in-sample valuation and out-of-sample forecasting accuracy are examined using daily index options in the UK, Germany, and Hong Kong from January 2009 to December 2012. Our results show that the wavelet-based model compares favorably with the other two models and that it provides an excellent alternative for valuing option prices. Its superior performance comes from the powerful ability of the wavelet method in approximating the risk-neutral moment-generating functions

Molecular Imaging in Tumor Angiogenesis and Relevant Drug Research

Molecular imaging, including fluorescence imaging (FMI), bioluminescence imaging (BLI), positron emission tomography (PET), single-photon emission-computed tomography (SPECT), and computed tomography (CT), has a pivotal role in the process of tumor and relevant drug research. CT, especially Micro-CT, can provide the anatomic information for a region of interest (ROI); PET and SPECT can provide functional information for the ROI. BLI and FMI can provide optical information for an ROI. Tumor angiogenesis and relevant drug development is a lengthy, high-risk, and costly process, in which a novel drug needs about 10–15 years of testing to obtain Federal Drug Association (FDA) approval. Molecular imaging can enhance the development process by understanding the tumor mechanisms and drug activity. In this paper, we focus on tumor angiogenesis, and we review the characteristics of molecular imaging modalities and their applications in tumor angiogenesis and relevant drug research

4-Phenyl-2,6-bis­(4-tol­yl)pyridine

The title mol­ecule, C25H21N, situated on the crystallographic twofold axis has a symmetry point group 2. The inter­planar angles between the central pyridyl ring and the phenyl and the methyl­phenyl rings are 32.8 (2) and 23.7 (2)°, respectively. In the crystal packing, the central pyridyl rings of adjacent mol­ecules are involved in π–π inter­actions, forming one-dimensional arrays along the c axis with centroid–centroid distances of 3.714 (1) Å

Aggregation in Incomplete Market with General Utility Functions

This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s utility function. This is done within a general time-state setup with general utility functions and without restrictions on the initial resource allocations. Welfare implications, concerning the social welfare loss resulting from market incompleteness, are readily reflected from the constructed representative agent’s utility function

Mean-Preserving-Spread Risk Aversion and The CAPM

This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if agents are risk averse in the sense of mean-preserving-spread (MPS) the CAPM will necessarily hold, along with two-fund separation. We derive this result without imposing any distributional assumptions on asset returns. The CAPM holds even when the market contains an infinite number of securities and when investors only hold finite portfolios. Our paper complements the results of Duffie(1988) who provided an derivation of the CAPM under some somewhat more technical assumptions. In addition we use simple arguments to prove the existence of equilibrium with MPS-risk-averse investors without assuming that the market is complete. Our proof does not require any additional restrictions on the asset returns, except that the co-variance matrix for the returns on the risky securities is non-singular