COMPLEX DYNAMICS IN A SIMPLE INPUT-OUTPUT MODEL WITHOUT THE FULL CAPACITY UTILIZATION HYPOTHESIS

The paper takes up a multi-sectoral dynamic input-output model of Duchin and Szyld (⇐A dynamic input-output model with assured positive outputs ⇒, Metroeconomica, vol. 37, 1985) and develops it further in two respects. On the one hand, also a decrease of productive capacities is allowed for. On the other hand, an endogenously determined ⇐ correction term ⇒ is built into the investment function. It reflects a certain kind of risk-aversion and serves to absorb the explosive tendencies to be found in the original model. Subsequently the one-sector version, which nevertheless comprises already four state variables, is studied by means of computer simulations. Depending on the choice of a behavioural parameter, persistent but seemingly quite irregular cycles are generated. For a more sophisticated investigation spectral analysis is employed. The model itself could succintly be characterized as an elaborated multiplier-accelerator model.     

TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market‐consistent evaluation procedure which we call “two‐step market evaluation.” This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two‐step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time‐consistent and market‐consistent is a two‐step market evaluation. We also give characterization results and examples in terms of g‐expectations in a Brownian‐Poisson setting.     

CAPACITY UTILIZATION,INVESTMENT AND NORMAL PRICES: SOME ISSUES IN THE SRAFFA-KEYNES SYNTHESIS

Drawing on recent debate over the theoretical significance of (Sraffian) normal prices this paper begins by outlining an interpretation of the relation between normal prices and administered pricing. This interpretation takes the anticipated average or normal rate of capacity utilization in each sector as data in the calculation of prices and profit rates. However, anticipated average utilization in each sector, in a cyclically disturbed system, will depend on relative prices and thus on distribution. This interdependence between prices, profit rates and utilization has an important bearing on certain issues arising out of attempts at a Sraffa-Keynes synthesis. The paper attempts to shed light on those issues by exploring further the links between pricing, utilization and investment, using a simplified three-sector model.     

THE IMPACT OF DEMAND UNCERTAINTY AND CONFIGURATION CAPACITY ON CUSTOMER SERVICE PERFORMANCE IN A CONFIGURE‐TO‐ORDER ENVIRONMENT

This paper examines the simultaneous impact of demand variability, demand skew, and configuration capacity on customer service in a configure‐to‐order environment. Simulation is done in ARENA and data are analyzed using ANOVA and MANOVA. The findings indicate that the factors studied have differential impact on performance both individually and interactively.     

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.     

BOT模式在我国城市污水治理中的应用

随着我国城市化进程的不断推进 ,城市污水的治理逐渐成为摆在人们面前的重要课题。如何改变传统的建设、运营及管理模式 ,引入市场机制 ,提高经济效益和社会效益 ,是解决问题的关键。近年来 ,我国城市污水治理领域的融资模式取得了一定的成绩 ,探索出了一些新的方式 ,其中BOT模式是一个新的发展方向。但我们必须认识到 ,BOT模式的运用还需要一些配套措施 ,如 ,相关法律制度的完善、政府的支持等。     

THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF‐NIELSEN AND SHEPHARD IN COMMODITY MARKETS

We consider the non‐Gaussian stochastic volatility model of Barndorff‐Nielsen and Shephard for the exponential mean‐reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log‐spot prices possess a stationary distribution defined as a normal variance‐mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean‐reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff‐Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.     

THE PUBLIC SECTOR IN A MODEL OF GROWTH AND DISTRIBUTION À LA PASINETTI: EXISTENCE OF ONE‐ OR TWO‐CLASS ECONOMIES

This paper explores the implications of different regimes of taxation and fiscal policies on the existence of a one‐ or two‐class economy in the Kaldor–Pasinetti approach of growth and income distribution. A simple model and its diagrammatical representation provide a complete taxonomy of the possible steady state equilibria and synthesize some early and recent contributions. It shows that the distribution among factors and the personal distribution among socio‐economic classes depend on the fiscal policy of the government, the behavioural parameters of actors and technology; but, provided that some conditions are fulfilled, the Cambridge Theorem and its distributional implications hold.     

中国经济“高增长率与高失业率并存”原因探析

近几年 ,中国经济在保持较高增长速度的同时 ,也存在较高的失业率 ,这种经济现象是与西方经济学理论相悖的。文章依据中国国情 ,从高经济增长率与高失业率并存的客观现实出发 ,分析造成此种经济现象的原因 ,并提出相关建议、对策 ,以期中国经济在保持较高增长速度的同时 ,提高就业弹性系数 ,把失业率降到最低限度。     

OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL

We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves.     

THE WIENER–HOPF TECHNIQUE AND DISCRETELY MONITORED PATH‐DEPENDENT OPTION PRICING

Fusai, Abrahams, and Sgarra (2006) employed the Wiener–Hopf technique to obtain an exact analytic expression for discretely monitored barrier option prices as the solution to the Black–Scholes partial differential equation. The present work reformulates this in the language of random walks and extends it to price a variety of other discretely monitored path‐dependent options. Analytic arguments familiar in the applied mathematics literature are used to obtain fluctuation identities. This includes casting the famous identities of Baxter and Spitzer in a form convenient to price barrier, first‐touch, and hindsight options. Analyzing random walks killed by two absorbing barriers with a modified Wiener–Hopf technique yields a novel formula for double‐barrier option prices. Continuum limits and continuity correction approximations are considered. Numerically, efficient results are obtained by implementing Padé approximation. A Gaussian Black–Scholes framework is used as a simple model to exemplify the techniques, but the analysis applies to Lévy processes generally.     

IMPLIED VOLATILITY IN THE HULL–WHITE MODEL

We study the implied volatility K ↦ I ( K ) in the Hull–White model of option pricing, and obtain asymptotic formulas for this function as the strike price K tends to infinity or zero. We also prove that the function I is convex near zero and concave near infinity, and characterize the behavior of the first two derivatives of this function.     

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.     

A MODEL FOR LOGISTICS MANAGEMENT IN A POST‐SOVIET CENTRAL ASIAN TRANSITIONAL ECONOMY

The research presented explores the logistics management of European and North American manufacturing companies operating in the unique environment of the post‐Soviet Central Asian transitional economy of Kazakhstan. Combining three alternating phases of quantitative and qualitative analysis, the research identifies the challenges logistics managers face in their efforts to distribute their companies' products into and within Kazakhstan. Then, using cross‐case analysis on a series of eleven case studies of European and North American manufacturing companies operating in Kazakhstan, the article concludes with a grounded theoretical model of logistics management for European and North American companies in Kazakhstan. The model highlights the unexpectedly divergent paths taken by companies from two different industry categories.     

THE EFFECT OF THE TRANSFER IN A TWO-CLASS MODEL

Hamada showed that the income transfer from capitalists to workers does not increase the income of workers in the long run. His result is based on the nonlinearity of the saving functions. If the saving function of capitalists is concave (or convex), the maximum of workers' income is attained by the positive (or the negative) transfer. There exists a case where the after-tax income of capitalists increases by a positive transfer. The global maximum of capitalists' income is attained when workers' income is all transferred to capitalists, while the global maximum of workers' is attained when capitalists enjoy positive income.     

DOCTORAL RESEARCH IN LOGISTICS AND LOGISTICS‐RELATED AREAS: 1992–1998

A total of 317 logistics and logistics‐related dissertations were published in Dissertation Abstracts between 1992 and 1998. Observations about these dissertation abstracts are offered and comparisons made with earlier research studies that examined dissertations published between 1970–1986 and 1987–1991. The number of dissertations published has plateaued although the number of colleges and universities granting doctoral degrees in the area have broadened, with several “new players” entering the arena. Some traditional topics within logistics are being researched to a lesser degree, while others such as supply chain management, general logistics, customer service/satisfaction, international logistics, and human resources/organizational issues, are being examined more frequently.     

THE ROLE AND INTERNALIZATION OF HOMOGENEOUS AND NON‐HOMOGENEOUS DESIGN EFFECTS IN RECYCLING SYSTEMS

This paper considers recycling systems in which producers and a monopolistic recycler are independent agents, while the design of products determined by the producer affects the recycler's productivity. It is found that such design effects could be internalized within the economy, if the monopolistic recycler pays the normative values of the wasted products according to their designs, while the producers formulate design so as to minimize the product's net price. However, if unfortunate, the equilibrium may fall into a local optimum and may not be stable. We also investigate how such property of the equilibrium could be changed if the recycler's productivity is influenced by the diversity in recycle design.     

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

This paper provides a model for the recovery rate process in a reduced form model. After default, a firm continues to operate, and the recovery rate is determined by the value of the firm's assets relative to its liabilities. The debt recovers a different magnitude depending upon whether or not the firm enters insolvency and bankruptcy. Although this recovery rate process is similar to that used in a structural model, the reduced form approach is maintained by utilizing information reduction in the sense of Guo, Jarrow, and Zeng. Our model is able to provide analytic expressions for a firm's default intensity, bankruptcy intensity, and zero-coupon bond prices both before and after default.     

CROSS‐DOCKING AND ITS IMPLICATIONS IN LOCATION‐DISTRIBUTION SYSTEMS

Cross‐docking replaces traditional warehousing, enabling continuous flow of items without storage. Here we model location‐distribution networks, that include cross‐docking facilities, to obtain the latter's impact on the supply chain. We formulate optimization models to minimize total cost in three multi‐echelon networks, each model generalizing the preceding one. The first includes a single manufacturer, one product type, and multiple customers. Cross‐docks are to be located between origin and destinations. Besides solving optimally, a tool for quantitative analysis of direct‐shipment decisions is developed. The second model considers more than one product: We determine a cost‐effective sequence of items for indirect shipment (via cross‐docks). Finally, in a network with multiple origins, optimal solutions are obtained for 40 medium‐sized and larger examples.     

DOCTORAL RESEARCH IN SUPPLY CHAIN MANAGEMENT AND/OR LOGISTICS‐RELATED AREAS: 1999–2004

A total of 410 entries from Dissertation Abstracts have been identified and annotated in this fourth compendium of supply chain management (SCM) and logistics‐related dissertations. Findings relating to this latest study period (1999–2004) are presented and comparisons made to previous compendiums covering 1970–1986, 1987–1991, and 1992–1998. A larger number of colleges and universities are granting degrees in SCM and logistics‐related areas and some “new players” have entered the marketplace, resulting in an upward growth trend in the absolute number of dissertations being published since the early‐1990's. Some traditionally strong institutions have maintained their position in terms of the number of SCM and logistics‐related dissertations published, while others have reduced their outputs. Areas of SCM, decision support systems, inventory management and miscellaneous transportation (models, networks, policy issues, routing & scheduling) topics are the most popular dissertation areas, while traditional transportation, warehousing and storage, DRP, JIT, Kanban, and MRP topics are being researched to a much lesser degree. Engineering logistics, human resources, location analysis, order processing and information systems, packaging, and TQM remain areas with low research interest at the doctoral level.