Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields

Differences between yields on comparable‐maturity U.S. Treasury nominal and real debt, the so‐called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums (IRP) from the BEI rates. We provide such decompositions using an affine arbitrage‐free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long‐term inflation expectations have been well anchored over the past few years, and IRP, although volatile, have been close to zero on average.     

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applied to a wide range of valuation problems including complicated contingent claims associated with the term structure of interest rates. We illustrate our method by giving two examples: the valuation problems of swaptions and average (Asian) options for interest rates. Our method gives some explicit formulas for solutions, which are sufficiently numerically accurate for practical purposes in most cases. The continuous stochastic processes for spot interest rates and forward interest rates are not necessarily Markovian nor diffusion processes in the usual sense; nevertheless our approach can be rigorously justified by the Malliavin–Watanabe Calculus in stochastic analysis.     

Term frequency – function of document frequency: a new term weighting scheme for enterprise information retrieval

In today's business environment, enterprises are increasingly under pressure to process the vast amount of data produced everyday within enterprises. One method is to focus on the business intelligence (BI) applications and increasing the commercial added-value through such business analytics activities. Term weighting scheme, which has been used to convert the documents as vectors in the term space, is a vital task in enterprise Information Retrieval (IR), text categorisation, text analytics, etc. When determining term weight in a document, the traditional TF-IDF scheme sets weight value for the term considering only its occurrence frequency within the document and in the entire set of documents, which leads to some meaningful terms that cannot get the appropriate weight. In this article, we propose a new term weighting scheme called Term Frequency – Function of Document Frequency (TF-FDF) to address this issue. Instead of using monotonically decreasing function such as Inverse Document Frequency, FDF presents a convex function that dynamically adjusts weights according to the significance of the words in a document set. This function can be manually tuned based on the distribution of the most meaningful words which semantically represent the document set. Our experiments show that the TF-FDF can achieve higher value of Normalised Discounted Cumulative Gain in IR than that of TF-IDF and its variants, and improving the accuracy of relevance ranking of the IR results.     

Macro-economic determinants of consumer price knowledge: A meta-analysis of four decades of research

For the past four decades, dozens of researchers have studied consumer price knowledge, often with disagreements on the extent of consumer' ignorance about prices. While some of these disagreements have been attributed to research design variations among studies, no inquiry has yet been made on the role of the economic environment on consumer price knowledge. Nevertheless, environmental factors such as interest rates, unemployment, and economic growth may significantly influence consumers' knowledge of prices. Certain economic environments may therefore provide marketers with the ability to utilize pricing tactics which rely on limitations in consumers' knowledge of product prices. Using a meta-analytic framework, this paper synthesizes the results of 297 previous price knowledge studies to document the effects of inflation, unemployment, GDP growth, interest rates, country of study, and passage of time on consumer price knowledge. The meta-analysis results demonstrate that economic factors have considerable influence on explaining variations in consumer price knowledge. Managerial and public policy implications of the findings in light of turbulent economic environments are discussed.     

三表联动法计算新建项目国内借款偿还期

国内借款偿还期作为项目评价的一项重要指标， 一向受到贷款者和投资者的重视。借款方式多样化， 造成了其计算过程的复杂， 初学者往往只看实例项目中的计算结果而不能对三表联动法计算国内借款偿还期引起足够的重视，本文以一实例简述了用三表联动法计算此项指标的主要过程和一些应引起注意的问题，并就该实例提出了电算化计算项目国内借款偿还期的主要思路，对项目评价初学者和致力于项目评价电算化的人士提供了一定帮助。     

劳动合同服务期之探讨

劳动合同服务期不同于一般的劳动合同期限,两者在适用前提以及违约后果等方面都存在一定区别。服务期规定的出台体现了《劳动合同法》平衡劳动关系双方当事人权利义务的立法理念,适应了不同人群的需要,但服务期条款也存在规定不甚具体、内容不甚明确的缺陷,因而需对其作进一步探讨,厘清相关问题,以发挥服务期条款的应有作用。     

正项级数收敛性的判别法的进一步研究

用初等方法深入研究了正向级数判别法,基于比值判别法和根值判别法判别法思想,研究了更高精度判别法,给出不断提高精度的判别法的构造思想以及一般性定理。     

The market price of risk of the variance term structure

In this paper I examine the market price of risk of the variance term structure. To this end, the S&P 500 option implied variance term structure is used as a proxy for aggregate variance risk. Principal component analysis shows that time variation in the variance term structure over the 1996–2012 period can be explained mainly by two factors which capture changes in the level and slope. The market price of risk of each factor is estimated in the cross-section of stock returns. The slope of the variance term structure is the most significant factor in the cross-section of stocks returns and carries a negative risk premium. The slope factor has also some predictive ability over long horizon equity returns.     

工作记忆训练:研究现状及发展前景

工作记忆能够预测个体在认知加工任务中的表现,工作记忆容量具有相对稳定的特征,但近年来研究表明工作记忆容量可以通过训练得到改进。工作记忆训练直接影响额叶皮层、颅顶部皮层等大脑皮层活动以及中枢系统多巴胺受体浓度。工作记忆训练效应可以对未经过训练的工作记忆任务产生迁移,与工作记忆相关的神经网络亦能通过训练获得发展。工作记忆训练可以帮助个体减小因低工作记忆容量对学业成就、日常生活带来的影响。     

建立城市长效管理机制存在的问题与对策——以新疆乌鲁木齐市为例

本文分析了欧亚大陆腹地大城市——乌鲁木齐城市管理中体制不顺,基础设施建设滞后;违章占道;户外广告缺乏统一标准等现状问题,提出了建立城市长效管理机制的对策。