“设计——品牌”为中国家纺业插上腾飞翅膀——记第十二届中国国际家用纺织品及辅料博览会

2006年8月30日，第十二届中国国际家用纺织品及辅料博览会于上海新国际博览中心圆满落幕。     

纺织品吸湿排汗性能测试方法的研究

[目的] 正确评价吸湿排汗纺织品的功能性、服用性.[方法] 采用芯吸高度和水分蒸发率法对纺织品进行测试.[结果] 随着Coolplus纤维含量的增加,织物的吸湿排汗功能增大,测试结果与产品应具有的客观性能效果和不同组分含量引起的性能变化规律一致,多次试验重现性差异小.[结论] 该方法操作简便,重复性好,能够反映纺织品的吸湿排汗特性,具有实际应用价值.     

中国与欧美等国纺织品贸易争端的化解

2005年5月中旬以来,中美、中欧之间关于纺织品贸易摩擦急剧升温。美国连续两次设限,欧盟5月27日宣布对中国纺织品启动“紧急特保”,而中国在5月30日进行反击,取消了81 种纺织品的出口关税。在这之后,     

SURVEYS OF STUDENT LIFE AND ATTITUDES: PRACTICAL EXPERIENCE OF SURVEY RESEARCH METHODS FOR UNDERGRADUATE HOME ECONOMISTS

This paper describes the operation of a course in Social Research Methodology for undergraduate home economists. The advantages of a practically based course are stressed. Results from the students 'surveys on student life and attitudes are outlined and briefly discussed.     

市场经济模式中国的借鉴·选择·创造

通过对西方三种典型市场经济模式的比较,既明晰了市场经济的共性,更突出了市场经济模式的差异及其根源.市场经济模式只是分类的一种抽象,任何标准模式都不能照搬,只有进行比较借鉴与选择.中国要建设社会主义的市场经济模式,必须从本国国情出发进行模式创造.     

按劳分配与市场机制再分析

按劳分配是;社会主义条件下的个人收入分配原则,在社会主义市场经济条件下,个人收入的分配方式也应该以按劳分配为主体,但由于市场机制的介入,按劳分配的实现条件等发生了变化,因此,为了进一步发展和完善社会主义市场经济体制,充分发挥挥劳分配的积极作用,必须理清按劳分配与市场机制的关系,本文拟从马克思的按劳分配与市场机制的不相容性和社会主义市场经济条件下按劳分配与市场机制的相容性来分析两者的关系。     

对知识经济时代企业思想政治工作的探讨

加强学习，是加强知识型企业管理中思想政治工作的前提；应对时代转型要开创知识型企业管理中思想政治工作的新路子。     

A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a risk neutral model that matches a set of observed market prices. This risk neutral model can then be used to price more exotic, illiquid, or over‐the‐counter derivatives. We observe that our model matches the equity option implied volatility surface well since we properly account for the default risk in the implied volatility surface. We demonstrate the importance of accounting for the default risk and stochastic interest rate in equity option pricing by comparing our results to Fouque et al., which only accounts for stochastic volatility.     

央地关系或将进入新阶段

自1978年中国改革之后,中国的经济重心下移,各级地方政府在整个经济活动中开始扮演十分活跃的角色。虽然,央企在1990年代末期的崛起,引发了中国整个经济在结构上的某种变化,但从整体上,各级地方政府仍然是经济活动的核心,是中国经济增长第一号的组织者与参与者。在这个意义上,中央政府常常挂在嘴边的所谓宏观调控,实际上经常是在调控地方政府。     

拓宽乳业消费市场的途径探讨

我国乳制品消费有了长足的增长,但市场快速扩张的难度逐渐增大.本文从消费者的角度分析了影响乳制品消费的一些相关因素,并提出了相应的对策.由于消费者的观念和知识对乳制品消费影响甚大,建议企业在培养市场和教育消费者方面进行更加积极的工作.重视媒体的作用,注重开拓农村和小城镇市场,重视培养小消费者,是市场拓展的重要策略.     

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

We propose a flexible framework for modeling the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across strikes and maturities as well as options on the VIX volatility index.     

A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large number of conditional expectations by projection of the diffusion on optimal grids designed to minimize the (square mean) projection error ( Graf and Luschgy 2000 ). An algorithm to compute such grids is described. We provide results concerning the orders of the approximation with respect to the regularity of the payoff function and the global size of the grids. Numerical tests are performed in dimensions 2, 4, 5, 6, 10 with American style exchange options. They show that theoretical orders are probably pessimistic.     

区域经济金融合作东亚应对全球失衡的必然选择

东亚在全球经济失衡中的角色 全球经济失衡最显著的特征在于美国国际收支表中巨额的经常项目逆差——2005年美国经常项目逆差达到8049亿美元,占美国GDP的6．5％,相当于全球主要顺差国顺差总额的四分之三,而且这一比重有进一步扩大的趋势。持续的经常项目逆差已经导致美国外债的持续增长。美国的净对外债务余额（即海外净资产为负数）从1996年的3600亿美元升至2005年的超过3万亿美元。东亚国家则是全球经济失衡的另一极。     

NEWS-GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF-NIELSEN AND SHEPHARD TYPE

We consider Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type. The investor can trade in n stocks and a risk-free bond. We assume that the dependence between stocks lies in that they partly share the Ornstein–Uhlenbeck processes of the volatility. We refer to these as news processes, and interpret this as that dependence between stocks lies solely in their reactions to the same news. The model is primarily intended for assets that are dependent, but not too dependent, such as stocks from different branches of industry. We show that this dependence generates covariance, and give statistical methods for both the fitting and verification of the model to data. Using dynamic programming, we derive and verify explicit trading strategies and Feynman–Kac representations of the value function for power utility.     

A FAMILY OF TERM-STRUCTURE MODELS FOR LONG-TERM RISK MANAGEMENT AND DERIVATIVE PRICING

In this paper we propose a new family of term-structure models based on the Flesaker and Hughston (1996) positive-interest framework. The models are Markov and time homogeneous, with correlated Ornstein-Uhlenbeck processes as state variables. We provide a theoretical analysis of the one-factor model and a thorough emprical analysis of the two-factor model. This allows us to identify the key factors in the model affecting interest-rate dynamics. We conclude that the new family of models should provide a useful tool for use in long-term risk management. Suitably parameterized, they can satisfy a wide range of desirable criteria, including:

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  sustained periods of both high and low interest rates similar to the cycle lengths we have observed over the course of the 20th century in the United Kingdom and the United States

       
  
  

A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

We develop a structural risk‐neutral model for energy market modifying along several directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities and electricity demand makes such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the richness of information included in the spot model, we obtain closed‐form formulae for futures prices and semiexplicit formulae for spread options and European options on electricity forward contracts. An analysis of the electricity price risk premium is provided showing the contribution of demand and capacity to the futures prices. We show that when far from delivery, electricity futures behave like a basket of futures on fuels.     

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor’s theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk‐free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.     

ACTION RESEARCH IN SUPPLY CHAIN MANAGEMENT—A FRAMEWORK FOR RELEVANT AND RIGOROUS RESEARCH

In this article we present a framework that researchers can use when they prepare and conduct Action Research (AR) projects. Authors can also use the framework as a guide for how to write relevant and rigorous AR articles. AR is an applied form of case‐based research that can provide exceedingly relevant research in applied fields such as supply chain management. At the same time, AR is also a criticized research approach, particularly in terms of research rigor. With the ambition to address, as well as bridge, the gap between the relevance and rigor within AR research, we first develop a comprehensive research methodology framework that synthesizes the crucial aspects of the AR research methodology. Secondly, we review existing AR articles within logistics, operations management, and supply chain management and present the current state of AR research. After a critical review of the existing articles using our framework, we delineate vital aspects that should be addressed in future AR research. As relevance and rigor are not at odds, we believe that our comprehensive framework will pave the way for a growing stream of rigorous, as well as relevant, AR research.