Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

Corporate governance and firm performance in Russia: an empirical study

Using the agency and institutional perspectives, this study advances several hypotheses about the board structure–firm performance relationship within Russia. We tested these hypotheses using survey data. Despite a relatively small sample size, predictions from both theoretical perspectives were supported. Specifically, we found a negative relationship between “informal” CEO duality and firm performance. This finding is noteworthy given the 1996 Russian Federal law which prohibits the CEO from also serving as board chair. Also, we found that the more vigorously the firm pursues a retrenchment strategy, the more negative the relationship between proportion of inside directors and firm performance. Overall, these findings suggest that effective corporate governance may be essential to firm performance in Russia.     

海尔“人单合一”管理模式的演化路径及其价值实现机理——基于波粒二象性的理论视域

“人单合一”模式的演化路径可以用“人”“单”之间相互作用关系的变化过程进行描述,这一路径也可概括为“人的价值实现”从无到有地创生涌现,再形成一种独立力量,对“人单合一”体系以及各组织要素进行反向影响和塑造的过程。无论是表面上的二重性特征,还是在内涵层次、演化路径和发展趋势方面,“波粒二象性”与“人单合一”都具有紧密的对应契合性。文章在分析比较“波粒二象性”与“人单合一”对应契合关系的基础上,结合“人”与“单”之间由“分化对立”到“互补转化”再到“整合创新”关系转化的过程,分析阐释了海尔“人单合一”管理模式的演化路径及其价值实现机理。“波粒二象性”不仅为“人单合一”的内涵转变以及发展路径提供了机理解释,而且从跨学科的视角出发,为组织的管理实践与创新变革提供了思路启示。     

新型工业化与城乡二元工业化的协调发展

由于我国严重的“二元经济结构”和“双重演进”的制度变迁特征,形成了农村工业化和城市工业化同时并存的城乡二元工业化格局。城乡二元工业化格局在促进经济发展的同时,也形成了对经济发展的延迟效应。在新型工业化的实现过程中,既要实现以信息化带动工业化,又要推进城乡工业的协调发展,促进农业工业化的发展,加速完成经典工业化的任务。     

基于国际直接投资的城市竞争力研究——以长江三角洲为例

城市竞争力是区域竞争力的前沿阵地,提升城市竞争力是强化区域竞争能力的关键.基于FDI的区域城市群竞争力提升存在固有缺陷,据此研究了长江三角洲城市群竞争力提升中存在的不可避免的问题.并提出以提高城市竞争力为基础来提升城市FDI集聚能力,是长江三角洲所有城市必须认真面对的重要课题.     

磁放大器的电流放大倍数分析方法

本文对三种磁放大器的电流放大倍数进行了分析,利用磁路与电路的对偶原理,给出了磁放大器的框图及电流放大倍数的统一表达式,并利用磁路定律对所求放大倍数进行了验证。     

Institutional duality and political strategies of foreign-invested firms in an emerging economy

This study investigates how the complex institutional environment surrounding foreign-invested firms (FIEs) affects their corporate political strategies (CPS) in China. Analyses of data on 442 FIEs operating in China show that the relative potency of dual institutional pressure from FIEs’ home and host countries shapes their strategic choices. Institutional factors at the country, region, and firm levels not only affect firms’ adoption of multiple firm-based tactics but also shape their collective-oriented associational activities. Moreover, participation in both foreign and domestic business associations enhances an FIE's adoption of firm-based political tactics, but joining domestic business associations has a stronger effect.     

The Japanese labour market during the global financial crisis and the role of non-standard work: A micro perspective

This paper analyses aggregate labour dynamics during the global financial crisis in Japan and the role of non-standard work using micro data. The analysis proceeds in two steps. First, using comprehensive establishment-level datasets for the period 1991–2009, it provides a detailed portrait of the adjustment behaviour of establishments at the micro level. Second, it compares aggregate labour market dynamics during the global financial crisis with that observed during the 1997 crisis and decomposes the observed differences into components that can be attributed to changes in the micro-adjustment behaviour of Japanese establishments, changes in the incidence of non-standard work and changes in the distribution of shocks across establishments. It finds that the incidence of non-standard work has increased considerably, worker turnover is much higher among non-standard than standard workers and adjustments in working-time are less important for non-standard workers. Counterfactual simulations suggest that the employment response during the global crisis would have been smaller if the incidence of non-standard work remained at the level observed during the 1997 crisis. The relatively small employment response observed during the global financial crisis is therefore driven by factors other than the increase in the incidence of non-standard work.     

Ronald Jones's duality analysis as a foundation for applied general‐equilibrium modeling

Ronald Jones made seminal contributions to general‐equilibrium theory, moving away from an emphasis on the existence of equilibrium to algebraic formulations which enabled us to characterize key relationships between parameters and variables, such as that between tariffs and domestic factor prices and welfare. But the analysis remained limited in value for policy evaluation: the analysis was local, it provided only qualitative results, it was limited to very small models, and strictly interior solutions had to be assumed. The contribution of this paper is largely pedagogic and methodological. I show how the tools and approach pioneered by Jones can be generalized via the use of duality, complementarity and the Karush–Kuhn–Tucker theorem into a global, quantitative analysis of large changes in high‐dimensional models which also allows for regime changes and corner solutions. I then show how the resulting nonlinear complementarity problem directly translates into a numerical model using the General Algebraic Modeling System (GAMS).