Volatility of the short rate in the rational lognormal model

A recent article of Flesaker and Hughston introduces a one factor interest rate model called the rational lognormal model. This model has a lot to recommend it including guaranteed finite positive interest rates and analytic tractability. Consequently, it has received a lot of attention among practioners and academics alike. However, it turns out to have the undesirable feature of predicting that the asymptotic value of the short rate volatility is zero. This theoretical result is proved rigorously in this article. The outcome of an empirical study complementing the theoretical result is discussed at the end of the article. European call options are valued with the rational lognormal model and a comparably calibrated mean reverting Gaussian model. unsurprisingly, rational lognormal option values are considerably lower than the analogous mean reverting Gaussian option values. In other words, the volatility in the rational lognormal model declines so quickly that options are severely undervalued.     

道路大件运输的组织与管理

分析了大件运输具有运输特殊性、货物重要性、运输安全要求高等特点,阐述了国内大件运输的法规建设和组织协调模式,对比分析国外大件运输管理的现状,针对国内大件运输组织管理存在的问题提出了改善大件运输管理的措施建议。     

粮食集装箱运输的发展前景分析

粮食集装箱运输具有其独特的优势，利用现有的集装箱运输网络，为客户提供更快、更优的粮食物流服务，粮食集装箱运输前景广阔。     

中美利率与汇率联动关系的实证研究:2005～2008

在经济金融全球化的今天,尤其伴随我国金融业全面开放、人民币国际化进程的逐步推进,中美利率与汇率联动关系的研究显得日益重要。本文在借鉴经济学有关利率和汇率联动关系的理论模型和传导机制的基础上,运用计量经济学理论模型和统计软件Eviews5.0,通过对利率与汇率经济变量的平稳性检验、协整关系检验、因果关系检验、冲击反应分析和方差分解检验,较为全面地对中美利率与汇率的联动关系进行了实证分析。通过实证分析,我们发现中美利率和汇率在长期内存在协整关系,但短期联动关系不足,我国应加快推进利率市场化进程,积极完善人民币汇率形成机制,使我国利率政策和汇率政策相互协调,促进宏观经济向内外均衡发展。     

Recursive Moments of Compound Renewal Sums with Discounted Claims

Under regularity conditions, Le´veille´& Garrido [6] gives a derivation of the first two moments (resp. asymptotic) of a Compound Renewal Present Value Risk (CRPVR) process using renewal theory arguments. In this paper, with the same procedure and assuming that all the moments of the claim severity and the claims number process exist, we get recursive formulas for all the moments (resp. asymptotic) of the CRPVR process.     

浅谈减少石油储运污染的措施

2010年全球范围内多起重大石油污染事件使石油工业的环保理念再次走入到人们的视野。石油工业在保障能源供应的同时,也要坚持做到无污染、无公害。文中就石油储运过程中环保工作的必要性、环保工作现状以及针对问题解决的办法进行分析论述。     

对沿海地区实现交通现代化的思考

交通运输现代化是我国实现现代化的基础，沿海地区目前还存在基础设施建设不平衡、运输装备还不能满足发展需要、运输缺乏协调且效率不高、交通低碳化还相对落后等问题。针对这些问题，文章提出要树立适度超前的现代交通理念，加快国际性海港和空港建设、加强陆地的集疏运网络建设、加快主要场站枢纽建设、推进智慧交通建设、加强交通建设要素保障等。     

论如何做好油气储运管道安全监测工作

文章分析了油气储运管道检测的实际情况和当前我国常用的管道检测技术，提出应用Future Fibre Technologies光纤检测系统可以做好油气储运管道安全检测工作。     

Keynes,Ricardo and the classical theory of interest

Keynes made harsh and repeated attacks on the work of Ricardo, blaming him particulary for what Keynes called the ‘classical theory’ of interest. Garegnani and others argue that Keynes' criticisms of the classical theory of interest apply to later neoclassical writers, but not to Ricardo. This paper re-examines Keynes' criticisms. It argues that Keynes attacked Ricardoapos;s theory of interest despite his awareness that Ricardo did not hold the ‘classical theory’. Moreover, Keynes not only expressed sympathy for Ricardo's understanding of interest, but his criticisms which do apply to Ricardo do not address Ricardo's theory of interest.