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Local volatility model is widely used in the fields of risk management, options pricing, etc. The model can not only describe the "smile" and the term structure of volatility, but can also ensure the completeness of the market. The core goal of local volatility research is to calculate the implied volatility. In this paper, the implied volatility surfaces arc built with both parametric and non-parametric methods to obtain smoother volatility surfaces. Parametric method can ensure the absence of arbitrage. Meanwhile, a closed form of solving the local volatility model with non-parametric method is proposed, which can eliminate the approximation error. In addition, the pricing of Shanghai 50ETF option in China based on the local volatility model is studied by comparing effects of the models from aspects of in-the-sample, out-of-the sample and hedging pricing errors. The empirical results show that the non-parametric method is better than the parametric method for errors in-the-samplc; the parametric method has better results for out-of-sample and hedging effects. Particularly, both the options pricing and hedging effects of the implied volatility modeling methods are better than nn-modeled method in the aspects that the pricing errors can be decreased by more than half and the mean square error can be reduced by 1~2 orders of magnitude. [ABSTRACT FROM AUTHOR]

In social network analysis (SNA), centrality and centralization are two pointer variables of structure position, and power for measuring a person or team in the network, is also two key index to describe power. Paper analyzed the relation of power and relationship in complex projects organization, and method of power quantification, i.e., six index definition and formula: Unit centrality, organization Centralization, unit betweenness centrality, organization betweenness centralization, unit closeness centrality and organization closeness centralization, to measure power of one unit and whole organization. Taking 2010 Shanghai Expo as a case, paper studied power definition distinguish between formal project organization structure and social network, and power compare in this two different views. As a conclusion, two kinds of power description and measuring above are inconsistent, but the latter result more corresponds to practice. [ABSTRACT FROM AUTHOR]

This paper aims to explore whether the warrants in Shanghai and Shenzhen stock exchanges are redundant securities by empirical studies. To obtain an exact analysis, an appropriate sample is selected from August, 2005 to December, 2009, which can exclude the influence of reform of non-tradable shares, dilution effect of warrants and recreation effect of warrants on the return of underlying assets. Wild bootstrap event study methods were employed to overcome the problem of too small sample size, which were performed on abnormal return, cumulative abnormal return, and standardized cumulative abnormal return to test the magnitude effect. The results demonstrate no evidence of magnitude effect after the introduction of warrants. However, the evidence of sign effect is found: the percentage of negative average cumulative abnormal return was bigger than that of the positive average cumulative abnormal return after the introduction of warrants. We claim that this phenomenon is caused by the migration of radical agents from stock market to warrants market and the warrants in Shanghai and conclude that Shenzhen stock exchanges are not redundant securities. [ABSTRACT FROM AUTHOR]