北京市农业生态价值评价研究

农业具有多功能性,生态价值是农业的重要功能。文章以北京市农业生态系统为研究对象,采用生态系统服务价值当量因子法,测算了2003~2012年北京市农业生态价值量和北京市农业生态价值量构成。计算结果表明:2003~2012年,北京市农业生态价值量呈现不断增长趋势。2012年,北京市农业理论生态价值量为2 203.04亿元,现实生态价值量为1 167.61亿元,是农业产值的2.95倍;林业生态价值量占北京市农业生态价值总量的91%以上;怀柔区、密云县、延庆县生态价值量位列北京市前三甲;北京市各区(县)农业生态价值在空间上呈"C"状分布。     

The Impact of Climate Change on the Balanced Growth Equivalent: An Application of <Emphasis Type="Italic">FUND</Emphasis>

The Stern Review added balanced growth equivalents (BGE) to the economic climate change research agenda. We first propose rigorous definitions of the BGE for multiple regions and under uncertainty. We show that the change in the BGE is independent of the assumed scenario of per capita income. For comparable welfare economic assumptions as the Stern Review, we calculate lower changes in BGE between a business as usual scenario and one without climate impacts with the model FUND than the Stern Review found with the model PAGE. We find that mitigation policies give even lower changes in BGE and argue that those policy choices should be the focus of the research effort rather than total damage estimates. According to our results, the current carbon tax should be below $55/tC. Sensitivity analyses show that the Stern Review chose parameters that imply high impact estimates. However, for regionally disaggregated welfare functions, we find changes in BGE that are significantly higher than the results from the Stern Review both for total damage as for policy analysis. With regional disaggregation and high risk aversion, we observe fat tails and with that very high welfare losses.      

Quantifying the Subjective Value of Certainty

Traditional measures of risk preference require that an agent's utility function be twice differentiable and that the risk be miniscule. We introduce a discrete index that requires no assumptions regarding the functional form of utility or the magnitude of the risk. The index quantifies the value of certainty by contrasting the relief that one experiences from the absence of a loss to the regret that (s)he feels at a foregone opportunity for gain. It exhibits a consistent range across different data types, and signals any economically irrational behavior. Empirical estimates are made with reservation price data and reservation probability data.     

A one-factor volatility smile model with closed-form solutions for European options

The common practice of using different volatilities for options of different strikes in the Black-Scholes (1973) model imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper addresses this problem by replacing the Brownian motion or, alternatively, the Geometric Brownian motion in the Black-Scholes model with a two-piece quadratic or linear function of the Brownian motion. By selecting appropriate parameters of this function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed-form solutions for European options, which enables fast calibration of the model to market option prices. The model can also be efficiently implemented in discrete time for pricing complex options.
G1     

Risk and ambiguity in models of business cycles

We inject aggregate uncertainty — risk and ambiguity — into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the most recent recession. We speculate about extensions that might do better along one or both dimensions.     

《资本论》中拜物教思想的理论逻辑与时代价值

马克思的拜物教思想包括商品拜物教、货币拜物教和资本拜物教等三个逐步递进的层次,其中商品拜物教是拜物教思想的逻辑起点,货币拜物教是拜物教思想的发展阶段,资本拜物教则是拜物教思想的完成形态。拜物教思想根源于商品生产关系,并对商品生产、社会生活和人们的思想观念产生切实的危害。在社会主义市场经济建设的过程中,拜物教思想不仅存在并出现了形式上的新变化。只有消除拜物教观念才能真正实现人的自由全面发展,而这将是人类社会长期奋斗的过程。     

ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

We give a condition under which the componentwise stochastic integration with respect to a given R ^d -valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector and the component completeness of a financial market in a special case.     

中国土地生态系统服务当量因子空间修正及价值评估

研究目的:基于生态系统服务功能的地区差异,构建空间异质评估模型,并分析中国2000—2015年土地利用及生态服务价值变化规律。研究方法:数理统计和地理信息技术空间分析法。研究结果:(1)构建了中国地级层面空间异质评估模型;(2)自2000年以来草地和耕地面积减少最多,分别减少2.05×10~4 km~2和1.45×10~4 km~2,建设用地增长最多,增长4.94×10~4 km~2;(3)2015年中国生态系统服务价值为29.12万亿元,其中林地贡献最多,其次为草地和水域;15年间总价值先增后减,共增长7.42亿元;空间分布总体上从东南向西北逐渐降低。研究结论:空间异质生态服务价值评估模型能够为中国土地生态评估和保护提供更客观的参考。     

A Simple Counterexample to Several Problems in the Theory of Asset Pricing

We give an easy example of two strictly positive local martingales that fail to be uniformly integrable, but such that their product is a uniformly integrable martingale. The example simplifies an earlier example given by the second author. We give applications in mathematical finance and we show that the phenomenon is present in many incomplete markets.     

TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK

This paper develops a formula for a transform of a vector point process with totally inaccessible arrivals. The transform is expressed in terms of a Laplace transform under an equivalent probability measure of the point process compensator. The Laplace transform of the compensator can be calculated explicitly for a wide range of model specifications, because it is analogous to the value of a simple security. The transform formula extends the computational tractability offered by extant security pricing models to a point process and its applications, which include valuation and risk management problems arising in single‐name and portfolio credit risk.