Exit problems in regime-switching models

This paper provides a general framework for pricing of perpetual American and real options in regime-switching Lévy models. In each state of the Markov chain, which determines switches from one Lévy process to another, the payoff stream is a monotone function of the Lévy process labeled by the state. This allows for additional switching within each state of the Markov chain (payoffs can be different in different regions of the real line). The pricing procedure is efficient even if the number of states is large provided the transition rates are not very large w.r.t. the riskless rates. The payoffs and riskless rates may depend on a state. Special cases are stochastic volatility models and models with stochastic interest rate; both must be modeled as finite-state Markov chains. As an application, we solve exit problems for a price-taking firm, and study the dependence of the exit threshold on the interest rate uncertainty.     

Reduction problems in comparison of linear models

It is shown that comparison of linear models with singular covariance matrices may be reduced to the same problem for non-singular covariance matrices. Moreover the problem of linearly sufficient statistics, considered by Drygas (1983) is reduced to comparison of linear models.     

Convergence problems in stochastic programming models with probabilistic constraints

We consider a stochastic programming model with probabilistic constraints and assume to have only empirical estimates of the true probability distribution of the random variables involved in the model. By using properties of semicontinuous and quasi-convex/quasi-concave limetions, we can weaken the traditional assumptions on the functions involved. We generalize both the functional form and the mathematical properties of the functions and then prove the almost sure uniform convergence of the sequence of approximate problems to the true one.     

Causal models of measurement: some problems for theory construction

The use of causal diagrams and interpretations to elaborate the interplay between theory and research has stimulated much interest in the application of theory construction procedures to research practice. However, when applied to efforts to combine structural models and measurement models within a single framework, the application of causal theoretical interpretations can be shown to be flawed in a way that undermines rather than enhances our understanding of the interplay between theory and empirical research. At the heart of the problem is the practice of equating the relationships in the structural model with those in the measurement model through the invocation of “causality” relationships. Abandoning this allows us to avoid the reification of theoretical concepts and provides a basis for understanding multivariate research as a process of theoretical model-building.     

Saaty's consistency analysis: An application to problems in static and dynamic input-output models

Saaty's priority analysis has given us a set of rules to assign weights (priorities) to a multiple of objects in a consistent way. The method has been shown to have great potential for economic application, especially in applied input-output work. In this paper we show that much stronger links exist between priority theory and input-output analysis than observed in the literature thus far. As we shall show, application of Saaty's instrumentarium to the Leontief framework opens the way for a new type of consistency analysis. In static models the dual output and price systems are shown to be consistent, in the sense that both can be described in terms of the same pairwise comparison matrix. In dynamic analysis, these dual systems are shown to be generally inconsistent, the only exception being the case of von Neumann growth.     

An algorithm for the solution of stochastic optimal control problems for large nonlinear econometric models

This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as an illustration of this, the Bank of England's large quarterly forecasting model is used in an example.     

Academic entrepreneurship

This paper proposes a model of the choice to commercialize research, of the amount and type of pre‐commercial research to perform, and of the timing of commercialization by an academic scientist, and analyzes the returns and costs of these choices. The behavior and performance of the academic scientist is compared with that of an industrial researcher. Unlike the industrial researcher, the academic scientist receives direct benefit from performing research, e.g. in the form of publication and peer recognition. However, the type of research that is more effective in reducing commercialization costs may not be the one generating the highest scientific benefit. It is shown that, while in some cases the academic scientist is more reluctant to commercialize research, in other cases she may commercialize faster than a solely profit‐seeking agent would—and perform less research. Academic and non‐academic scientists also select different projects, and this may explain the good performance of academic entrepreneurs found in several empirical studies. The model offers a unified framework to interpret the mixed evidence on the success of, and the arguments in favor and against, the involvement of universities into commercial activities. Managerial and public policy implications are also examined. Copyright © 2009 John Wiley & Sons, Ltd.     

学术学位硕士研究生基本学术能力培养的实践研究

深化研究生教育改革,坚持走内涵式发展道路,提高培养质量,是目前我国研究生教育的首要任务。结合黑龙江科技大学研究生教育实际,通过科学制定培养方案、加强获取知识能力、科学研究能力、实践能力和学术交流能力的培养,提高学术学位硕士研究生基本学术能力,满足研究生职业发展的需要,对提高研究生培养质量具有积极的促进作用。     

高管学术经历与企业社会责任

文章以2009-2017年中国沪深A股非金融类上市公司为样本,考察高管学术经历与企业社会责任之间的关系。研究发现:(1)学者型高管能够提升企业社会责任水平,其中具有高校任职经历的高管对企业履行社会责任的促进作用最强,具有科研协会任职经历的高管次之,而曾在科研机构任职的高管没有发挥显著的促进作用;(2)与国有企业相比,学者型高管对逐利动机更强的民营企业履行社会责任的促进作用更强;(3)媒体负面报道对企业造成的压力越大,学者型高管推动企业履行社会责任越积极;(4)与非学者型高管相比,学者型高管对企业社会责任水平的提升具有更强的价值相关性。     

浅谈学术论文的创新

创新是当今社会的主题,也是学术论文的灵魂所在。学术论文的好坏往往和它的创新性息息相关。本文针对学术论文的选题、创新方法和创新内容、价值等提出了一些建议。     

有价值学术稿源开拓浅析

随着我国出版改革的逐步推进,学术期刊开拓有价值稿源越来越具有迫切性和重要性。当前开拓有价值稿源应重视编辑委员会作用的发挥,充分利用专刊、增刊的影响力,借力各种专业的学术会议论文,了解不同层次作者群体的需求。     

高校学术期刊的品牌建设

对于期刊社而言,期刊品牌代表了一种竞争力与获利能力;对于读者或消费者而言,期刊品牌是质量与信誉的保证。高校学术期刊要站的高,看得远,勇于在市场大潮中通过品牌实力的积累,塑造良好的品牌形象,实现创立名牌与发展名牌的战略目标。     

Academic content,research productivity,and tenure

This study examines the influence of a Finance doctoral program’s academic content on the research productivity of the graduates at the time of the tenure decision. The results of this investigation show that a Finance program’s academic content has no influence on the total number of publications of program graduates, but finds a significant relationship between academic content and graduate’s records of publications in top finance journals by the time of the tenure evaluation. More precisely, doctoral programs requiring more mathematically oriented classes such as Continuous Time Finance and/or Stochastic Calculus produce graduates who have a better record of publication in top finance journals at the time of tenure than those graduating from programs without these requirements.     

论烟草行业学术建设与科技创新

本文从分析我国烟草业发展的现状入手,对进行烟草学术建设和促进卷烟科技创新进行了理论和实践建议上的详细阐述。     

心中的研究会--纪念研究分会成立50周年

走过五十年春秋,见证着行业历史的进程。你是桥梁,驾起企业间交流的平台。你是信息之窗,传递出现代物流前沿信息。你是百宝箱,引着我们畅游于知识的海洋。你是一本教科书,为工作指点迷津,带来希望。你的魅力,穿梭于每个城市的仓库与货场,让商品栖息在高大的宫殿,等待走进千家万