A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES

We give an example of a subspace K of     such that     , where     denotes the closure with respect to convergence in probablity. On the other hand, the cone   C ≔ K − L ^∞₊  is dense in   L ^∞  with respect to the weak-star topology  σ( L ^∞, L ¹)  . This example answers a question raised by I. Evstigneev. The topic is motivated by the relation of the notion of no arbitrage and the existence of martingale measures in Mathematical Finance.     

A Nonstandard Approach to Option Pricing

Nonstandard probability theory and stochastic analysis, as developed by Loeb, Anderson, and Keisler, has the attractive feature that it allows one to exploit combinatorial aspects of a well-understood discrete theory in a continuous setting. We illustrate this with an example taken from financial economics: a nonstandard construction of the well-known Black-Scholes option pricing model allows us to view the resulting object at the same time as both (the hyperfinite version of) the binomial Cox-Ross-Rubinstein model (that is, a hyperfinite geometric random walk) and the continuous model introduced by Black and Scholes (a geometric Brownian motion). Nonstandard methods provide a means of moving freely back and forth between the discrete and continuous points of view. This enables us to give an elementary derivation of the Black-Scholes option pricing formula from the corresponding formula for the binomial model. We also devise an intuitive but rigorous method for constructing self-financing hedge portfolios for various contingent claims, again using the explicit constructions available in the hyperfinite binomial model, to give the portfolio appropriate to the Black-Scholes model. Thus, nonstandard analysis provides a rigorous basis for the economists' intuitive notion that the Black-Scholes model contains a built-in version of the Cox-Ross-Rubinstein model.     

Futures and forward price differential and the effect of marking‐to‐market: Australian evidence

The objective of this paper is to examine the effects of marking‐to‐market of futures contracts on the price differential between futures and forward contracts based on the predictions of the Cox, Ingersoll and Ross (1981) (CIR) model. Cox et al ., (1981) derive a series of propositions with respect to the relationship between futures and forward prices and a set of testable implications. These are tested empirically in this paper using Australian data from November 1991 to June 1997. The results provide evidence of the presence of significant futures and forward price differences, where the futures price is consistently below the forward price. Only partial support is found for the Cox et al ., (1981) propositions, implying that the effect of marking‐to‐market is not able to fully account for the price differential. Therefore, it is not possible to rule out the influence of other institutional factors on the futures‐forward price difference.     

我国财政转移支付绩效的实证分析

本文主要通过对1994年以来我国财政转移支付绩效的实证分析,探讨转移支付制度对我国各地区之间财力横向均衡的影响,并提出进一步提高财政转移支付绩效的政策建议。     

粮食安全视域下的湖南粮食专业合作社发展研究

粮食安全的内涵包括总量安全、结构安全、质量安全、价格安全、生态安全和产业安全。借鉴国外粮食合作社保障粮食安全的经验,我国发展粮食专业合作社有利于促进粮食生产的市场化、规模化、集约化和现代化,是解决我国粮食安全问题的根本出路。湖南作为我国粮食主产区,其粮食专业合作社的发展面临着规模小、土地流转不畅、产业链短、农田水利基础设施薄弱及融资难等问题,需要采取相应措施加以解决以发挥粮食专业合作社在确保国家粮食安全中的积极作用。     

我国公共租赁房的租金定价模型

公租房补充和完善了我国保障性住房制度,但如何制定合理的公租房租金标准,才能促进公租房健康可持续发展显得尤为重要。公租房租金制定应遵循一定的原则,即成本回收、差别定价和可持续性原则。     

知识流通与创新绩效关系研究--以在孵科技型小微企业为例

为探讨知识流通对科技型小微企业创新绩效的影响以及组织学习能力对其影响的调节效果,文章首先对知识流通和学习能力的相关研究文献进行了综述,设计了知识流量、创新绩效、知识专精度、组织学习能力等变量的量表,在此基础上,对科技企业孵化器中的237家在孵科技型小微企业进行了实证研究。研究结果显示,在孵科技型小微企业所能获得的知识流量越大,且知识专精度越高,越能提升企业的创新绩效;组织学习能力对于企业知识流通与创新绩效中的组织绩效和战略绩效具有正向的调节作用;建议科技企业孵化器应充分利用所掌握的资源与知识,以提升两者之间的知识流通。     

土地财政、住房价格与农村剩余劳动力转移

城乡之间劳动力合理流动是提高资源配置效率的重要举措,是推动城乡经济社会一体化发展的内在要求。本文利用1999—2013年中国31个省级行政区域的面板数据,实证检验土地财政和住房价格对农村剩余劳动力转移的影响,研究发现,土地财政促进了农村剩余劳动力转移,对农村剩余劳动力转移产生倒U型的动态影响效应,而房价则抑制了农村剩余劳动力转移,并且房价部分中介了土地财政对农村剩余劳动力转移的作用。进一步分析发现,土地财政和房价对农村剩余劳动力转移的影响呈现出显著的区域差异和阶段异质性,土地财政显著促进中西部地区农村剩余劳动力转移,但对东部地区影响不显著,2004年以后,随着土地财政收入的快速增加,土地财政对农村剩余劳动力转移的促进作用大幅增强。     

土地市场扭曲如何影响制造业出口产品质量升级——基于土地市场交易数据和制造业企业数据的实证分析

地方政府“以地谋发展”的策略在促进各地区制造业大规模集聚和出口贸易快速增长的同时,也势必会给企业出口产品质量带来深刻影响。本文综合利用中国土地市场网城市土地交易数据、中国工业企业数据、中国海关进出口产品数据和中国城市面板数据,实证检验了土地市场扭曲对企业出口产品质量升级的影响,并对其内在机制进行了探讨。研究发现：中国城市建设用地配置存在明显的工业偏向性,进而导致工业用地价格被低估,产生工业用地应得收益大于实际价格的反向扭曲问题。这种反向扭曲可通过抑制技术进步、阻碍产业结构高级化、弱化集聚经济效应等机制显著降低制造业企业出口产品质量。土地市场扭曲对企业出口产品质量升级的影响具有明显的异质性特征。具体而言,土地市场扭曲不利于一般贸易企业与混合贸易企业出口产品质量提升,但对加工贸易企业出口产品质量提升具有促进作用。土地市场扭曲对企业出口产品质量升级的抑制作用由东到西依次递增。土地市场扭曲不利于外资企业和国有企业出口产品质量提升,对集体企业及民营企业的影响不显著。