从对冲套利看可转债资产替换

在缺乏卖空机制的环境下，可转债相对价值的实现将主要来源于转债与股票之间的资产替换。尤其是在杠杆放大的资产替代策略下，可转债投资的盈利模式将出现根本性变化，股票价格的波动成为影响策略应用效果的最重要因素。本从对冲套利的角度，通过对等额和杠杆放大资产替换策略的模拟与分析，就资产替换策略的应用环境、杠杆选择与实证效果等问题进行了较为详尽的研究。     

Regulation and investment behaviour in the telecommunications sector: policies and patterns in US and Europe

This paper reports the results of the quantitative analysis of international experience of the relationship between infrastructure investment in the deployment of capacity that can carry large volumes of voice and data traffic and regulatory policy changes in the telecommunications sectors. It looks at the relationship between infrastructure investment for these infrastructure assets and the access pricing régimes for local exchange carriers in the United States and Europe. It then looks at the relationship between various aspects of regulatory and institutional policy changes in Europe and how they affect access prices.The paper finds that a lower access price promotes greater deployment of digital technology among US incumbent local exchange carriers (ILECs). Based on this finding, it suggests that it is in the ILECs interest to have access to their networks encouraged.The European data for interconnection are recent and far reaching conclusions are not feasible, but the findings, however, suggest that competition has worked by facilitating new entry through decreasing interconnection prices, although path dependencies, of existing and traditional concepts, in the mindsets of operators as well as regulators, may account for these findings.     

Impacts of e-Commerce and Enhanced Information Endowments on Financial Services: A Quantitative Analysis of Transparency, Differential Pricing, and Disintermediation

Some implications of e-Commerce financial services firms are becoming clear. The web drives transparency, and increases the information endowment of all market participants. It is harder to manipulate customers' behavior, or to overcharge them. Transparency drives differential pricing. Not all customers can or should be charged the same prices. Transparency reduces the viability of cross-subsidies between customers can or between products. The differential pricing enabled by the web transforms distribution channels, and enables direct distribution and alternative forms of distribution. Some intermediateraries may be bypassed altogether, while others may rapidly lose their best, most profitable, and previously most loyal customers.     

我国开展离岸ABS的现实思考

近年来，ABS（资产证券化）的热潮席卷全球，成为一种新型的融资方式。国内许多人也主张将这一创新工具引入我国，为我所用。然而，我国现实的条件决定了目前在我国尚不具备大规模开展ABS的条件。因此，我们必须寻找到突破口，另辟蹊径，将此项业务开展起来，而离岸ABS则成为可取的一条道路。     

油田井口防喷器产品用户满意度评价

顾客满意度（CSD）这一指标的测量和利用在现代企业的组织和生产中显得尤为重要。针对CSD测量结果存在主观多、客观少、定性多、定量少的缺点，提出采用多目标决策的对层分析法，并结合加权平均法，阐述油田井口防喷器满意度评价。     

关于不确定情况下净现值投资评价指标的探讨

文章对在不确定性情况下净现值（NPV）投资评价指标的有效性进行了探讨，提出在运用该指标评价项目时必须要考虑到风险的大小对项目决策的影响，并根据投资项目的统计特征。阐述了在此情况下该指标的计算。最后以实例进一步说明该计算方法的有效性。从而使项目的投资决策更为科学合理。     

Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.     

法国税收法律争端的解决机制

法国税收法律争端包括有关税基确定、税款缴纳、税务机关越权行为和税收法律责任等方面的法律争端。因税基确定引起的争端通常通过非诉讼的行政机制与司法诉讼机制加以解决。涉及税款征缴争端的解决机制,因财政部门或税务部门分别实施税款征收行为而有所区别。其他形式的争端通常通过一般的行政诉讼程序来解决。     

2006年后三季度的货币政策取向

相对于GDP的增长速度,中国的货币供应增长速度偏快,企业贷款增长速度趋慢,但这并不意味着企业融资量的减少和通货紧缩的出现。近年来企业融资结构已发生明显变化,银行贷款比例明显下降。鉴于目前渐进性的汇率政策,央行应始终保持对货币供应偏多的高度警惕,严防通货膨胀隐患的积累。继续在公开市场对冲操作的同时,可适度提高银行法定存款准备金率,收回市场多余的货币。如恐市场波动过大,则同时下调银行超额准备金利率,使银行超存央行的资金进入市场。     

Valuation of vulnerable American options with correlated credit risk

This article evaluates vulnerable American options based on the two-point Geske and Johnson method. In accordance with the Martingale approach, we provide analytical pricing formulas for European and multi-exercisable options under risk-neutral measures. Employing Richardson’s extrapolation gets the values of vulnerable American options. To demonstrate the accuracy of our proposed method, we use numerical examples to compare the values of vulnerable American options from our proposed method with the benchmark values from the least-square Monte Carlo simulation method. We also perform sensitivity analyses for vulnerable American options and show how the prices of vulnerable American options vary with the correlation between the underlying assets and the option writer’s assets.