arXiv subjects

Ben-zhang Yang

Publications and source records attributed to Ben-zhang Yang.

4 recordsLinked to original sources

arXiv2019

Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory

In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the equilibrium conditions are determined, with which the optimal insider trading strategy, price impact and price volatility are obtained explicitly. The volatility of the price volatility appears excessive, which is a result of the fact that a more aggressive trading strategy is chosen by the insider when uninformed volume is higher. The optimal trading strategy turns out to possess the property of long memory, and the price impact is also affected by the fractional noise.

q-fin.MF↗

arXiv2018

Social capital at venture capital firms and their financial performance: Evidence from China

This paper studies the extent to which social capital drives performance in the Chinese venture capital market and explores the trend toward VC syndication in China. First, we propose a hybrid model based on syndicated social networks and the latent-variable model, which describes the social capital at venture capital firms and builds relationships between social capital and performance at VC firms. Then, we build three hypotheses about the relationships and test the hypotheses using our proposed model. Some numerical simulations are given to support the test results. Finally, we show that the correlations between social capital and financial performance at venture capital firms are weak in China and find that China's venture capital firms lack mature social capital links.

econ.GN↗

arXiv2018

Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity

In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous model. Moreover, discrete and continuous sampled volatility swap pricing formulas are given by employing transform techniques and the relationship between two pricing formulas is discussed. Finally, some numerical simulations are reported to support the results presented in this paper.

q-fin.PR↗

arXiv2018

Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets

This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous Lévy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure. Moreover, under the forward measure instead of the risk neural measure, we give the closed-form solution for the fair delivery price of the discretely sampled variance swap by employing the joint moment generating function of the underlying processes. Finally, we provide some numerical examples to depict that the values of variance swaps not only depend on the stochastic interest rates but also increase in the presence of jump risks.

q-fin.PR↗