发展外汇衍生类产品业务问题的思考

大力发展外汇衍生类产品业务是我国商业银行和涉外企业的战略选择。外汇衍生类产品业务在我国仍处于发展的初级阶段，存在着很多亟待解决的问题，只有采取加快人才培养、加大监管力度、完善金融市场等措施，才能实现快速发展。     

OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS

We examine the behavior of optimal mean–variance hedging strategies at high rebalancing frequencies in a model where stock prices follow a discretely sampled exponential Lévy process and one hedges a European call option to maturity. Using elementary methods we show that all the attributes of a discretely rebalanced optimal hedge, i.e., the mean value, the hedge ratio, and the expected squared hedging error, converge pointwise in the state space as the rebalancing interval goes to zero. The limiting formulae represent 1-D and 2-D generalized Fourier transforms, which can be evaluated much faster than backward recursion schemes, with the same degree of accuracy. In the special case of a compound Poisson process we demonstrate that the convergence results hold true if instead of using an infinitely divisible distribution from the outset one models log returns by multinomial approximations thereof. This result represents an important extension of Cox, Ross, and Rubinstein to markets with leptokurtic returns.     

存款保险的期权定价模型构造及实证研究

存款保险定价是存款保险制度建设中的核心内容,保险定价效率直接影响制度的功效。碍于现金流贴现估价模型的局限性,从期权的角度阐述了存款保险与期权的关系,指出存款保险合同实质上就是一份看跌期权,从理论和实证两方面论述了如何运用Black-Schole期权定价模型确定存款保险价格的问题,对实践中存款保险的合理定价和制度建设具有重要的指导意义。     

基于风险共担的供应链融资渠道研究

伴随着现代物流进入21世纪,供应链的衍生服务项目——融资服务正在逐渐兴起。资金周转的压力造成生产商急需相关的融资服务来缓解资金流上的时间风险。在采购融资、存货融资、保理业务等核心服务的基础上,3PL开始了自己的金融服务。但是由于信息不对称,3PL遇到了逆向选择问题。实现风险共担的延迟策略不仅解决了库存成本过高的问题,也为供应链带来了新的融资模式。     

U.S. and Latin American stock market linkages

This paper examines to what extent the Latin American equity markets of Argentina, Brazil, Chile and Mexico have become more integrated with the US equity market. We empirically measure integration by finding the dynamic conditional correlation (DCC) between each market and that in the U.S. using a DCC multivariate GARCH model. We then track how these correlations evolve over time using a smooth transition model which not only shows when greater integration first occurred but also how long it took these correlations to transition to their new levels. Our sample period stretches from December 30th, 1988 to March 26th, 2004. Results show an increase in the degree of co-movement between these countries’ equity returns and those in the U.S. although the magnitude and speed of these increases greatly varies across these four countries.     

中国金融创新的政策选择、法律制约与制度突破

创新是中国金融业改革发展的客观要求。虽然金融创新的过程中伴随着各种风险的产生,但这并不能成为抑制金融创新的理由。后金融危机时代的中国金融业应该继续加大创新力度,提高金融市场的竞争能力,在金融创新产品的专利权保护、金融监管、金融业的内部风险管理和外部政策完善等方面寻求制度突破。     

存货购销中最优期权合约交易量研究

在分析利用期权合约规避价格波动风险的原理的基础上,分别给出存货购销两个环节中可以运用的期权策略,然后利用均值方差模型计算使投资组合达到效用最大化时所对应的最优期权合约交易量及其对经营利润的影响,研究发现：在存货采购环节,企业可以通过购入看涨期权、购入看涨期权同时售出看跌期权两种策略控制采购价格波动的风险,在存货销售环节,企业可以通过购入看跌期权、同时购入看跌期权并售出看涨期权两种策略来稳定销售利润;从最优期权合约交易量及其对企业经营利润的影响来看,期权工具在控制存货采购价格、稳定销售利润中可以发挥良好作用。     

Schools Out: Adam Smith and Pre-disciplinary International Political Economy

In this article, I argue that invocations of Adam Smith in international political economy (IPE) often reveal the influence therein of a disciplinary ontological disaggregation of economic and non-economic rationality, which I claim is obscured by the tendency to map its complex intellectual contours in terms of competing schools. I trace the origins of the disciplinary characterisation of Smith as the founder of IPE's liberal tradition to invocations of his thought by centrally important figures in the perceived Austrian, Chicago and German historical schools of economics, and reflect upon the significance to IPE of the reiteration of this portrayal by apparent members of its so-called American and British schools. I additionally contrast these interpretations to those put forward by scholars who seek to interpret IPE and Smith's contribution to it in pre-disciplinary terms, which I claim reflects a distinct ontology to that attributed to the British school of IPE with which their work is often associated. I therefore contend that reflection upon invocations of Smith's thought in IPE problematises the longstanding tendency to map its intellectual terrain in terms of competing schools, reveals that the disciplinary ontological consensus that informs this tendency impacts upon articulations of its core concerns and suggests that a pre-disciplinary approach offers an alternative lens through which such concerns might be more effectively framed.     

From reviving tradition to fostering innovation and changing marketing: the evolution of micro-brewing in the UK and US, 1980–2012

Abstract

The purpose of this article is to explore and examine the impressive growth of small and micro-breweries registered in the UK and US from the early 1980s. While the majority of British and American breweries continue to operate in spatially restricted areas and niche markets, a few businesses expanded significantly in terms of production and turnover, gradually acquiring larger shares of the market and competing with multinational producers at home as well as abroad. The cases of BrewDog and Sierra Nevada, used as case study examples in this article, provide an original account on how once-upon-a-time micro-breweries grew into well established companies by pursuing aggressive strategies in terms of marketing and innovation respectively.     

股票期权的激励机理及再设计

股票期权是西方完善市场机制的产物,作为一种薪酬制度安排,其本质是通过经营者对所获期权时间价值的追逐来实现所有者和经营者的长期激励相容。但在我国目前条件下,考虑到市场的不规则,国企产权的不清晰及相关法律的不健全等现实障碍,在引进的同时加强对股票期权的再设计是比较符合中国的国情的。为此,必须妥善解决好一系列的问题,使股票期权在中国的推行更具有现实性。