Regulation and investment behaviour in the telecommunications sector: policies and patterns in US and Europe

This paper reports the results of the quantitative analysis of international experience of the relationship between infrastructure investment in the deployment of capacity that can carry large volumes of voice and data traffic and regulatory policy changes in the telecommunications sectors. It looks at the relationship between infrastructure investment for these infrastructure assets and the access pricing régimes for local exchange carriers in the United States and Europe. It then looks at the relationship between various aspects of regulatory and institutional policy changes in Europe and how they affect access prices.The paper finds that a lower access price promotes greater deployment of digital technology among US incumbent local exchange carriers (ILECs). Based on this finding, it suggests that it is in the ILECs interest to have access to their networks encouraged.The European data for interconnection are recent and far reaching conclusions are not feasible, but the findings, however, suggest that competition has worked by facilitating new entry through decreasing interconnection prices, although path dependencies, of existing and traditional concepts, in the mindsets of operators as well as regulators, may account for these findings.     

Impacts of e-Commerce and Enhanced Information Endowments on Financial Services: A Quantitative Analysis of Transparency, Differential Pricing, and Disintermediation

Some implications of e-Commerce financial services firms are becoming clear. The web drives transparency, and increases the information endowment of all market participants. It is harder to manipulate customers' behavior, or to overcharge them. Transparency drives differential pricing. Not all customers can or should be charged the same prices. Transparency reduces the viability of cross-subsidies between customers can or between products. The differential pricing enabled by the web transforms distribution channels, and enables direct distribution and alternative forms of distribution. Some intermediateraries may be bypassed altogether, while others may rapidly lose their best, most profitable, and previously most loyal customers.     

Frictions, Heterogeneity and Optimality in Mortgage Modeling

The purpose of this article is to provide a unified framework for incorporating frictions into a theoretical options-pricing model (OPM) for mortgages. This article presents formulation for a frictions-adjustable mortgage model that integrates borrower heterogeneity while simultaneously preserving prepayment and default financial decisions. Our model demonstrates the flexibility of the OPM by simulating separate and concurrent effects of three categories of frictions on the mortgage and mortgage components. Researchers can use our example formulation to determine the effects of specific borrower characteristics on mortgage values without destroying the options theoretic framework.     

Convergence of numerical methods for valuing path-dependent options using interpolation

One method for valuing path-dependent options is the augmented state space approach described in Hull and White (1993) and Barraquand and Pudet (1996), among others. In certain cases, interpolation is required because the number of possible values of the additional state variable grows exponentially. We provide a detailed analysis of the convergence of these algorithms. We show that it is possible for the algorithm to be non-convergent, or to converge to an incorrect answer, if the interpolation scheme is selected in appropriately. We concentrate on Asian options, due to their popularity and because of some errors in the previous literature. This revised version was published online in June 2006 with corrections to the Cover Date.     

Portfolio Optimization under Lower Partial Risk Measures

Portfolio management using lower partial risk (downside risk) measures is attracting more attention of practitioners in recent years. The purpose of this paper is to review important characteristics of these riskmeasures and conduct simulation using four alternative measures, lower semi-variance, lower semi-absolute deviation, first order below targetrisk and conditional value-at-risk.We will show that these risk measures are useful to control downside risk whenthe distribution of assets is non-symmetric. Further, we will propose a computational scheme to resolve the difficultyassociated with solving a large dense linear programming problems resulting from these models. We will demonstrate that this method can in fact solve problems consisting of10⁴ assets and 10⁵ scenarios within a practical amount of CPU time.     

从博弈的角度看中小股东解决纠纷的过程--从一个流行模型的残缺谈起

经研究发现 ,张维迎教授在 2 0 0 1年第五版的《博弈论与信息经济学》中所借用的承诺要胁诉讼博弈例子中对诉讼费用的处理有点不妥 ,便作出了适当的调整 ,但却得出了令人沮丧的结论 :承诺要胁诉讼不成立 !继续研究发现只有打破这种败诉风险由当事人承担的机制 ,才能传递出有力量的信号 ,才能做到真正的威胁 ,那就是建立“生死与共”的竞争性的律师定价机制和保费率真正是胜诉率信号的诉讼费用保险机制与最经济的诉讼程序与非诉讼程序、保障其实现的机制和可供的备选机制。本文论证了其合理性     

不完全信息与网络产业激励性规制改革

规制体制改革的核心是解决信息不对称下的最优激励问题，规制体制设计的关键就是要设计有效的激励合约，为企业提供适当的激励以达到成本效率，从激励角度看，价格上限规制的效率最高，竞争是重要的激励性体制，网络产业竞争体制形成的关键是约束在位运营商排斥竞争行为和建立有效的互联资费政策。     

股票定价理论的发展及其对我国的适用性研究

股票价格的变动存在很多的不确定性，这些不确定性因素为股票的合理定价蒙上了一层神秘莫测的面纱。为揭开这层神秘的面纱，从股票市场诞生之日起，许多学就对这一课题进行了多方面、多角度的研究，从而形成源远流长、种类繁多的有关理论。本将就目前仍普遍流行并起主导作用的一些定价理论作一概述，并分析其对我国的适用性问题。     

经济增长在险水平、条件波动性与经济增长态势研究

经济增长在险水平（GaR）和条件标准差（CSD）能够有效地度量国家经济风险波动的单向性和双向性。利用动态时窗和条件异方差模型，我们发现我国国家经济风险与经济周期波动密切相关，目前的国家风险状态已经体现出明显的稳定性。利用协整关系检验，我们发现我国国家经济风险与经济增长水平之间存在正相关的长期均衡关系，因此采取积极经济政策的“反周期”干预，所诱发的适度经济波动将有且经济快速稳定增长。     

网络信息产品市场的定价模式

信息产品的特性要求产品定价依据从边际成本转向消费者支付意愿，但消费者对信息产品的支付意愿往往差别很大，这要求供应商通过产品差别化与差别定价获得尽量多的消费者剩余，保证收回成本与实现利润最大化。信息产品特性和网络市场的技术特点决定了差别定价将是网络信息产品市场的主要定价模式。本文主要介绍了版本划分和捆绑销售等差别定价模式在网络信息产品市场的应用。