Pricing exotic options with L-stable Padé schemes

In this paper we develop a strongly stable (L-stable) and highly accurate method for pricing exotic options. The method is based on Padé schemes and also utilizes partial fraction decomposition to address issues regarding accuracy and computational efficiency. Due to non-smooth payoffs, which cause discontinuities in the solution (or its derivatives), standard A-stable methods are prone to produce large and spurious oscillations in the numerical solutions which would mislead to estimating options accurately. The proposed method does not suffer these drawbacks while being easy to implement on concurrent processors. Numerical results are presented for digital options, butterfly spread and barrier options in one and two assets. In addition, the methods are tested on the Heston stochastic volatility model.     

提升经营层次推行扁平化管理--从农业银行安徽省分行改革实践探索现代商业银行扁平化管理模式

本文分析了农业银行现行组织模式的弊端,通过安微分行扁平化管理改革的实践探讨了农业银行提升经营层次、推行扁平化管理的具体措施,包括组织框架、业务流程、信息网络以及企业文化等方面的改革方向.本文还对农业银行扁平化管理改革中遇到的一些问题进行了分析,提出了解决问题的政策建议.     

发展农业银行个人消费信贷业务的战略思考

个人消费信贷业务以其风险分散 ,不良资产占比低、市场前景广阔、符合国家宏观调控方向等突出优点 ,受到国内各大商业银行的青睐。本文通过对国内个人消费信贷业务的发展前景及农业银行消费信贷业务现状的分析 ,提出四点建议。     

Alcohol abuse and liver enzymes (AALE): results of an intercompany study of mortality

Evaluation of applicants for life insurance who have elevations of their liver function tests or an increased probability of alcohol abuse has always been difficult for underwriters. This paper reports the results of an intercompany study in which the pooled mortality experience of a group of insureds with evidence of alcohol abuse, an adverse driving record or elevations of the liver transaminases or gamma-glutamyl transferase is summarized.     

入世过渡期：银行内部改革的关键阶段

国有商业银行经过二十年的发展 ,取得了令人瞩目的成果。这些成果主要来源于对专业银行经营体制和经营理念的不断变革。同样国有商业银行目前所面临的问题 ,也都可归因于改革的无序、低效和严重滞后。入世过渡期 ,在极大地增加了改革的紧迫感 ,使前期改革中存在的各种矛盾凸现出来的同时 ,也为国有商业银行加快改革提供了一个历史性机遇。体制改革方面一、改革银行治理结构 ,增强市场适应能力。企业治理结构是描述资本与经营管理人、经营管理人与经营成果及风险之间责权关系定义的总和。目前 ,国有商业银行的治理结构基本上是计划经济时代的…     

Methods of Partial Hedging

In this article we survey methods of dealing with the following problem: A financial agent is trying to hedge a claim C, without having enough initial capital to perform a perfect (super) replication. In particular, we describe results for minimizing the expected loss of hedging the claim C both in complete and incomplete continuous-time financial market models, and for maximizing the probability of perfect hedge in complete markets and markets with partial information. In these cases, the optimal strategy is in the form of a binary option on C, depending on the Radon-Nikodym derivative of the equivalent martingale measure which is optimal for a corresponding dual problem. We also present results on dynamic measures for the risk associated with the liability C, defined as the supremum over different scenarios of the minimal expected loss of hedging C. This revised version was published online in August 2006 with corrections to the Cover Date.     

美国税权划分制度评析与借鉴

美国的联邦、州和地方三级政府各自拥有属于本级的税权,并在同级政府层面上表现为税收立法权、执法权和司法权三者之间的划分与制衡。本文通过分析美国税权划分的主要特点,对我国税权划分改革提出了若干建议:确定税权划分的法定主义原则、税收立法权划分的指导思想、赋予地方适度税权的具体设想、明确划分中央与地方税收执法权限、建立解决地区间税权争议的协调机制、通过一些制度设计完善税收司法权的行使。     

相约评估携手成长共创辉煌（二）——首届全国十佳青年注册资产评估师心声

为弘扬“五四”精神，彰显当代青年评估师的风采，引导青年评估师奉献青春、热爱行业、报效国家，中国资产评估协会举办了资产评估行业首届全国十佳和优秀青年注册资产评估师表彰大会。 中评协开展评选表彰“首届全国十佳和优秀青年注册资产评估师”活动，程序严密、方法科学、评选结果客观公正，充分反映了行业青年风采。从3万多名注册资产评估师中，最终选出了10名“首届全国十佳青年注册资产评估师”和30名“首届全国优秀青年注册资产评估师”。他们是评估行业公认的青年杰出代表，具有较高的政治素质和社会活动能力、专业胜任能力。 为了让读者近距离地了解这些优秀青年注册资产评估师，分享他们耀眼光环背后努力工作的艰辛和成长历程故事，本刊记者对其中的十佳青年评估师进行了对话采访。从这些优秀青年评估师的身上我们看到：他们中有的刻苦学习，具有很高的理论水平；有的勤奋工作，取得了突出的业绩；有的克服各种困难，完成行业交给的重要工作；有的拒绝各种诱惑，坚持独立、客观、公正的原则。他们不仅是评估行业的佼佼者，在社会上也具有良好的影响，有的当选所在省市的“十大财经人物”；有的被评为“全国优秀中国特色社会主义事业建设者”。作为评估这个新兴行业的青年人，能够取得这样的成绩，十分不容易。他们为评估行业争了光，是评估行业的骄傲。十佳青年评估师只是评估行业中的杰出代表，相信更多的青年评估师在与行业一起成长。正因为有了广大青年评估师的开拓进取，努力工作，我们评估事业的发展会更有希望，前途会更加辉煌。     

The role of sharing in the circulation of knowledge

One of the points stressed in ‘A new paradigm in the organization of knowledge’, Futures, 26, 1994, pages 781–786, was the determinant role of sharing in the emergence and configuration of the paradigm of the immaterial. We resume the elements suggested then and develop their analysis in three stages: first, by characterizing the operational singularity of sharing; second, by considering its cognitive and disciplinary incidence; and finally, by pointing out its theoretical consequences, namely in what concerns the thematic of rationality.     

从商业银行的视野看《物权法》的影响

《物权法》的出台和实施，是我国深化改革开放、进一步适应发展社会主义市场经济要求的标志，《物权法》在明确物的归属、保护权利人的物权、鼓励物的利用和发挥物的效用方面进行了有益的探索和创新。作者从正反两个方面探讨了《物权法》对商业银行经营管理的影响，既肯定了其有利于维护银行权益的一面，同时也揭示了目前我国配套法规尚不完善的情况，提出了应该予以关注的问题，对商业银行维护自身权益，防范法律风险，进行了深入的探讨。