This presentation was based on the work of Jian Sun and Qiankun Niu, and presented at Morgan Stanley Global Modeling Meeting by Qiankun Niu on August 27, 2014. We thank Peter Carr for his invitation.Market Model is classified as the approach to model the implied volatility surface directly,...

Bond Yield curve is an important indicator of the borrowing costs and lending returns, is also one of the most observed indicator by traders in fixed income trading desk among investment banks. The shape of the yield curve can be normal, flat or inverted. In most cases, bond yield curve is...

Post-crisis bank regulations raised market-making costs for bank-affiliated dealers. We show that this can, somewhat surprisingly, improve overall investor welfare and reduce average transaction costs despite the increased cost of immediacy. Bank dealers in OTC markets optimize between two...

We study a continuous-time model of long-run employment relationship with fixed wage and at-will firing; that is, termination of the relationship is non-contractible. Depending on his type, the worker either always works hard, or can freely choose his effort level. The firm does not know the...

Herein, a novel catalyst with three-dimensional molecularly imprinted channels (3D-MICs) was proposed to preferentially remove the noxious organic micropollutants (OMPs) from wastewaters. Benefited from the synergy of template effect, spatial confinement, and size-exclusion effect , the 3D-MICs...

Accurate location of high-resistance grounding faults in distribution lines is of great significance for improving the power supply reliability of power systems. In this study, a simulation model of a 10 kV three-phase distribution line is built using a numerical simulation platform. Further, a...

This paper studies the effect of the standardization of the strategy translation process on procedural fairness in budgeting and firm performance. Analysis of 250 valid questionnaires using a structural equation model shows that the strategy translation process (STP) affects firm performance not...