Pricing VIX derivatives with free stochastic volatility model

Review of Derivatives Research - This paper aims to develop a new free stochastic volatility model, joint with jumps. By freeing the power parameter of instantaneous variance, this paper takes...     

Business model innovation: How the international retailers rebuild their core business logic in a new host country

Although research into the business model has received increasing attention, few studies have so far been conducted on business model innovation in an international context. The purpose of the study is to identify different patterns of business model innovation which enables international retailers to rebuild their core business logic in new host countries. On the basis of comparing and contrasting the business model changes of 15 international retailers from various home countries to one single host country (China), our study provides an in-depth understanding of business model innovation in the context of international business. By looking at the firms’ capabilities in rebuilding their core logic in the setting of a host country, we reveal six routes of retail business model innovation. Utilizing the lens of organizational learning theory and internationalization, we identify three patterns of resource deployment by international companies in the process of developing business model innovations. Our study, therefore, provides insights and guidance for multinational companies in general, international retailers in particular, as for how to successfully adapt their business model from home country to host country.     

文秘人员要多学、多思、多写

文秘人员是单位的“笔杆子”,是领导身边的“谋士”,能够写出一手好文章,是对秘书的基本要求,而要想能够笔下生花、游刃有余,绝非一日之工,必须不断积累、持之以恒,通过多学、多思、多写,不断为自己充电,解决本领恐慌和能力不足问题,提高写作能力.     

老年综合征的评估研究

随着现阶段人口老龄化趋势越来越明显，我国的老年综合征患者数量逐渐增多，《老年综合征管理指南》对老年综合征有相关阐述，认为老年综合征是指老年人因多种非疾病原因或是疾病原因所引起的同一（或临床表现）老年病症，例如睡眠障碍、吞咽障碍、跌倒、褥疮等均属于老年综合征病症。     

面向学生群体的高校诚信教育影响因素研究及对策

针对目前高校学生群体存在的信用缺失现象、高校诚信教育体系尚待完善等问题,探索了面向学生群体的高校信用教育体系构建对策。研究了高校学生群体信用缺失的一些新的表象及其影响因素,利用DEMATEL量化分析工具,研究了诸多因素之间的复杂关系,提出了高校诚信教育体系的建设策略。     

How do US options traders “smirk” on China? Evidence from FXI options

In this paper, we study the implied volatility smirk (IVS) of options written on the FXI, the Financial Times Stock Exchange/Xinhua China 50 Index exchange-traded fund (ETF). Using the methodology of Zhang and Xiang (2008, Quant Financ, 8, pp. 263–284), we document the empirical characteristics of the level, slope, and curvature of IVS of the FXI options. We find that, on average, IVS becomes steeper and more convex as time to maturity increases. The level and curvature are usually positive, and the slope is negative. We provide evidence that the information in the quantified IV factors has some predictive power for the future monthly FXI ETF returns.     

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting

We study Arrow–Debreu equilibria for a one‐period‐two‐date pure exchange economy with rank‐dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank‐dependent utility ones, with nonconvex probability weighting functions. The standard approach for convex economy equilibria fails due to the incompatibility with second‐order stochastic dominance. The representative agent approach devised in Xia and Zhou (2016) does not work either due to the heterogeneity of the weighting functions. We overcome these difficulties by considering the comonotone allocations, on which the rank‐dependent utilities become concave. Accordingly, we introduce the notion of comonotone Pareto optima, and derive their characterizing conditions. With the aid of the auxiliary problem of price equilibria with transfers, we provide a sufficient condition in terms of the model primitives under which an Arrow–Debreu equilibrium exists, along with the explicit expression of the state‐price density in equilibrium. This new, general sufficient condition distinguishes the paper from previous related studies with homogeneous and/or convex probability weightings.     

亚太区域贸易协定的经济增长效应*——基于RTAs数量与质量的对比研究

21世纪以来，亚太地区区域贸易协定（RTA）签署的数量激增，学术界理论与现实出现悖论，引发学者思考各国热衷于建立RTAs背后的原因并探索新的研究方法。本文首次从RTAs数量和质量的影响效应哪个更为重要的视角，将发达国家和发展中国家进行对比分析，深入探究发达国家在新时期推进新一代贸易协定规则的原因。通过比对RTA协议的每一条条款，测算出涉及传统WTO+和新一代WTO-X领域的条款覆盖率和法定承诺率指标来衡量RTA的质量，实证分析得出，签署高质量的区域贸易协定能更有效地推动亚太地区的经济增长和人民福利水平的提高，该影响效应在发达国家中更为明显，而发展中国家受限于执行能力在新一代规则下签订RTA对经济增长的作用不显著。     

Dimensional effects of Korean SME’s entrepreneurial orientation on internationalization and performance: the mediating role of marketing capability

This study examines how three different dimensions of entrepreneurial orientation (proactiveness, innovativeness, and risk-taking) each determine internationalization strategies and enhance international performance among small and medium-sized enterprises (SMEs) through the mediating role of marketing capabilities. An integrative theoretical framework built on international entrepreneurship and a resource-based approach was tested in the context of Korean SMEs. Analyses of 401 survey data collected from Korean exporting SMEs revealed the differential effects of each entrepreneurial orientation and the mediating effect of marketing capability on internationalization strategies and performance. Proactiveness and risk taking appeared to function as significant antecedents of marketing capability. Marketing capability, in turn, significantly decreased internationalization scope and increased the financial performance of Korean SMEs, though it did not influence internationalization scale. This study further confirms that the mediating role of marketing capability in entrepreneurial orientation-performance relationships vary by entrepreneurial orientation dimensions. Taking the direct and indirect roles of the entrepreneurial orientation dimensions together, this study recommends the critical prioritization of risk-taking over proactiveness. It extends previous approaches to the triad of resource–capability–performance. Theoretical contributions and insightful managerial implications are also provided.     

预紧力对接触网套管双耳强度的影响分析

本文以失效频率很高的接触网零部件套管双耳作为研究对象,简化其力学模型,考虑预紧力、风载、履冰三种载荷因素对套管双耳最大的应力影响。根据实际情况,分12种工况对接触网套管双耳进行数值模拟。研究结果表明,预紧力对套管双耳强度影响较为显著,在实际安装中以2500N为宜。为接触网套管双耳的静强度可靠性研究和设计提供了参考。