ESTIMATION OF IMPLIED VOLATILITY SURFACE AND ITS DYNAMICS: EVIDENCE FROM S&P 500 INDEX OPTION IN POST-FINANCIAL CRISIS MARKET

There is now an extensive literature on modeling the implied volatility surface (IVS) as a function of options’ strike prices and time to maturity. The polynomial parameterization is one of these approaches and it provides a simple and efficient way for practitioners to estimate implied volatility. This project tests the predictive capability of this methodology in the post-financial crisis market. Using data for the period from July 1st, 2012 to June 30th, 2015 for European puts and calls of the S&P 500 index options, we estimate a vector autoregressive model to capture the dynamics of the IVS. Our results show that this methodology has better predictive capability on IVS of index options in post-financial crisis market than on IVS of equity options in pre-financial crisis period

Research on Industry Development Path Planning of Resource-Rich Regions in China from the Perspective of “Resources, Assets, Capital”

The development of industries in China’s resource-rich regions is mainly affected by resource reserves, environmental protection, and industrial structural adjustment. The development of resource-oriented industries that can’t support a high-quality regional economy is large but not well developed. This article considers China’s resource product imports and exports, carbon emissions, and industrial structure ratio factors in recent years. It is believed that China’s resource-rich regions have macro-level development bottlenecks, and the general development of a resource-based industries path is proposed based on the perspective of “resources, assets, and capital”. Taking Guangxi Zhuang Autonomous Region as an empirical case, this article analyzes the pattern of regional industrial development by using the input-output method, calculates the degree of inter-industrial correlation, and constructs a regional industrial development system. The results show the following: 1. China’s overall industrial development pattern has undergone major changes; 2. emerging industries and service-oriented industries have risen in development status, and although resource-based industries have a weaker development momentum, they still have an important position; 3. the hierarchical industry development management model is helpful for forming a regional circular economy innovation development pattern. The results also indicate that the integrated management of “resources, assets, and capital” has a positive effect on the development of resource-based industries in resource-rich regions, which affects the overall industrial development pattern of the region and promotes economic development

Characterization of primary geochemical haloes for gold exploration at the Huanxiangwa gold deposit, China

Recognition of primary geochemical haloes is one of the most important tools for exploring undiscovered mineral resources. This tool is being routinely applied in exploration programs at the Huanxiangwa gold deposit, Xiong'er Mountains, China. Sampling of unweathered rock for multi-element analysis has been undertaken in all completed and ongoing exploration and development work, including drilling and galleries. Samples have been analyzed for 12 elements (Au, Ag, Pb, Zn, Cu, Mo, As, Sb, Bi, Co, Ni and Ba) from unaltered andesites, altered andesites, altered rocks and mineralized altered rocks. To identify multi-element geochemical associations that can be used to recognize enrichment zones, the lithogeochemical datasets were subjected to centered log-ratio transformation to address the closure problem with compositional data, and the log-ratio transformed datasets were subjected to principal components analysis. Results of analyses show that, in the Huanxiangwa deposit, gold mineralization is characterized by a Au±Ag±Cu association, base-metal mineralization by a Zn–Pb–Ag–Cu±As±Sb±Mo association, supra- and/or near-ore primary haloes in mineralized altered rocks by an As±Sb±Bi±Ag±Au±Pb association, sub-ore primary haloes in altered andesites and altered rocks around gold mineralization by a Mo–Bi±Sb±Ba±Zn±Ag association, and the host andesites by a Ni–Co–Ba association. Analyses of axial and longitudinal primary haloes indicate that gold mineralization is overprinted base-metal mineralization in the western and deeper parts of the Huanxiangwa deposit. Modified enrichment indices for Au and linear Au productivity values also indicate extension of gold mineralization with base-metal overprint beneath the western parts of the deposit. Based on this, an exploration target zone extending ca. 200 m below the known ore body was delineated, in which the presence of gold mineralization has been successfully verified by drilling. This study concludes that characterization of primary geochemical haloes associated with known deposits, coupled with analysis of linear element productivities, facilitates vectoring toward ore. Characterization of primary haloes associated with known deposits using lithogeochemical data would benefit highly from applications of log-ratio transformations developed for compositional data analysis