ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of co‐maturing put options. We assume the put option prices do not admit arbitrage and deduce no‐arbitrage bounds on the weighted variance swap along with super‐ and sub‐replicating strategies that enforce them. We find that market quotes for variance swaps are surprisingly close to the model‐free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi‐infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model‐independent and probability‐free setup. In particular, we use and extend Föllmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the “log contract” and similar connections for weighted variance swaps. Our results take the form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk‐neutral expectations of discounted payoffs.     

COPENHAGEN,CANCÚN AND THE LIMITS OF GLOBAL WELFARE ECONOMICS

The rise of a global welfare economics directed at the environmental challenges facing our planet represents a new policy phenomenon. This paper examines the most ambitious attempt so far to put such economics into practice via the Kyoto Protocol and more specifically the Clean Development Mechanism of the Protocol. The Copenhagen and Cancún climate change conferences have put an end to hopes of the Protocol serving as an effective tool in the mitigation of global warming. This failure of the new global welfare economics is the result of flawed principles, not just defective implementation.     

A constraint-free approach to optimal reinsurance

Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment. The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed-form formulas for the optimal reinsurance are given. If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem, that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset.     

A note on Deaton's theorem on the undesirability of nonuniform excise taxation

The paper provides an extension and a new proof of Deaton's theorem on the undesirability of nonuniform excise taxation when income taxes are affine and preferences over consumption goods are separable from labour–leisure choices, homothetic, and identical across agents.     

从马克思主义经济学看庇古分析与科斯分析之异同及其政策启示

针对外部性市场失效引发的生态环境问题，文章从讨论庇古分析与科斯分析的本质着手，运用马克思主义经济学关于个别生产与社会生产之关系的观点，引入价值体系与价格体系的数学规划模型，通过模型分析，从产权过程的角度，讨论庇古分析与科斯分析之并同和不完备性，从制度工具论的角度，归纳了两大分析的政策启示。     

庇古与科斯的规制理论比较

庇古和科斯的规制理论在观点上有着明显的冲突.庇古认为,由于外部性等原因,部分产品的边际私人纯产值与边际社会纯产值并不相等,因此政府必须界入进行管制,对外部性产品收取庇古税;科斯则认为,产权不清才是外部性成本的原因,由此提出了只要明确产权市场就能良好运行的科斯定理.科斯在庇古的基础上拓展了外部性规制理论,但"科斯定理"并不能超越和替代"庇古税".     

村级财务治理新机制:村务(财务)监督委员会及其制度的学理解析——基于浙江武义县后陈村的调查

本文从浙江武义县后陈村财务监督个案出发,以财务学、制度经济学与法学为主要分析工具,对后陈村村务（财务）监督委员会组织及其制度进行学理解析,最终提出一般性结论与建议.     

一类泛函脉冲微分方程周期正解的存在性

利用Krasnoselskii不动点定理,讨论一类带参数的泛函脉冲微分方程多个周期正解存在的充分条件,在f(x)和I_k(x) 均为非超线性和非次线性的条件下,得到该类微分方程多个周期正解存在的一些新结果。     

关于社会成本问题的评述

本文通过对科斯的《社会成本问题》和《社会成本问题的注释》,以及盛洪的《〈社会成本问题〉的问题》等文章的评论,指出“科斯定理”的核心是认识到社会成本问题的交互性以及权力转移的重要性,并且在交易费用为正的条件下,不同制度安排的选择会影响资源配置的效率,所以制度安排至关重要;另外,本文认为在盛洪的《〈社会成本问题〉的问题》一文中有几个问题值得商榷,即需要根据交易费用是否为零来讨论产权界定不同对收入分配的影响。以及最佳产权的存在性问题。