CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS

Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We present a general analytic approach for pricing discretely sampled generalized variance swaps under the stochastic volatility models with simultaneous jumps in the asset price and variance processes. The resulting pricing formula of the gamma swap is in closed form while those of the corridor variance swaps and conditional variance swaps take the form of one‐dimensional Fourier integrals. We also verify through analytic calculations the convergence of the asymptotic limit of the pricing formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing formulas of the continuously sampled counterparts. The proposed methodology can be applied to any affine model and other higher moments swaps as well. We examine the exposure to convexity (volatility of variance) and skew (correlation between the equity returns and variance process) of these discretely sampled generalized variance swaps. We explore the impact on the fair strike prices of these exotic variance swaps with respect to different sets of parameter values, like varying sampling frequencies, jump intensity, and width of the monitoring corridor.     

商界小说研究的力作——评杨虹的《叛逆与超越——近二十年中国商界小说的文化阐释》

《叛逆与超越》对近20年商界小说的成就与局限,从发生学、本体论、谱系学尤其是文化诗学的角度,通过挖掘与梳理大量的史料来透视商界小说的现代性品格。作者跳出传统审美批评的窠臼,立足文化批评,对商界小说进行多维度的研讨与透视,为我们带来了商界小说研究的重大进展。     

基于多维技术创新地图维法耦合的技术创新路径构建及实例分析

基于现有创新理论并结合当代技术发展特征,创建了多维技术创新地图,构建了基于多维技术创新地图维法耦合的技术创新路径。结合煤层气开采卸压消突创新实例,验证了该方法的可行性和有效性,即提高了技术创新路径构建的客观性,从技术创新本质层面指导技术创新活动的开展,有助于为企业开展技术创新活动提供决策支持。     

浅谈发出存货计价方法的选择

对存货计价问题的产生进行说明,详细介绍了5种发出存货计价方法,并且通过它们之间的比较,重点阐述了企业如何根据自己选择恰当的存货计价方法。这样,选择比较合理的发出存货计价方法,可以有效达到企业管理的目标。     

Unemployment as an Adverse Trigger Event for Mortgage Default

The Journal of Real Estate Finance and Economics - There is limited evidence of the role of household-level adverse trigger events in driving mortgage default, and the evidence based on proxies,...     

我国货币供给内生性研究——基于现金漏损率的分析

货币供给内生性与外生性问题是一个重要的理论和现实问题,正确判断一个经济体的货币供给内外生性对于认识货币供给运行机制、制定正确的货币政策以及提高货币政策的有效性都具有重要意义。本文以现金漏损率为切入点,深入分析其对货币乘数、进而对货币供给量的影响,并得出我国货币供给内生性增强的结论。最后,在该结论的指导下,为我国选择正确的货币政策以及如何提高货币政策的有效性提出了若干建议。     

基于OID编码体系的汽车电子标识编码应用研究

本文为了解决物联网所连接对象的多样性带来的标识体系存在不兼容、相互矛盾的问题，基于车联网RFID汽车电子标识的使用特点，创造性地提出将OID编码和汽车电子标识编码相结合的方案。首先简单介绍了基于发证机构及时间和基于汽车VIN码的两种OID编码规则；然后提出了OID编码在汽车电子标识芯片中的规划，主要是内存分配方案；最后介绍了相应区域的读写操作的具体方法。     

REGIONAL ANTI‐CORRUPTION EFFORT,POLITICAL CONNECTIONS AND FIRM INNOVATION EFFORT: EVIDENCE FROM CHINA

This paper examines how firm characteristics and local anti‐corruption effort moderate the influence of political connections on enterprises’ private R&D investment using data from 2,587 Chinese A‐share listed enterprises. Our results show that the local anti‐corruption institutional environment significantly moderates the strong relationship between political connections and enterprises’ private R&D investment. Firm characteristics (i.e., firm size and firm age) also show a moderating effect on the relationship between political connection and enterprises’ private R&D investment; larger and older enterprises are more likely to have innovative resources and business cooperation partners, and thus are able to reduce their degree of reliance on political connections and government funding. The results of our study suggest the importance of having a transparent and fair institutional environment for enterprise innovation activities.     

液态奶加工中的“过度加热”倾向分析

近年来,我国牛奶加工产业有了迅猛发展,但也存在一些问题,如液态奶加工中的“过度加热”问题。本文通过对过度加热液态奶的判定模式进行探究,分析“过度加热”的危害,总结在液态奶加工中出现“过度加热”的原因,以促进液态奶合理加工,推动我国乳业健康发展。     

全球电子商务：发展现状与趋势

随着技术的成熟,全球电子商务正在经历着强劲增长。通过对全球互联网覆盖现状和全球电子商务发展的研究,分析了全球电子商务发展的基本情况。并对新兴国家电子商务市场和部分典型国家的电商发展状况与趋势进行研究,以供广大读者借鉴。