Impact of land fragmentation and resource ownership on productivity and efficiency: The case of rice producers in Bangladesh

The paper analyzes the impact of land fragmentation and ownership of resources on productivity and technical efficiency in rice production in Bangladesh using farm level survey data. Results reveal that land fragmentation has a significant detrimental effect on productivity and efficiency as expected. The elasticity estimates of land fragmentation reveal that a 1% increase in land fragmentation reduces rice output by 0.05% and efficiency by 0.03%. On the other hand, ownership of key resources (land, family labour, and draft animals) significantly increases efficiency. The mean elasticity estimates reveal that a 1% increase in family labour and owned draft animal improve technical efficiency by 0.04% and 0.03%, respectively. Also, a 1% increase in the adoption of modern technology improves efficiency by 0.04%. The mean technical efficiency in rice production is estimated at 0.91 indicating little scope to improve rice production per se using existing varieties. Policy implications include addressing structural causes of land fragmentation (e.g., law of inheritance and political economy of agrarian structure), building of physical capital (e.g., land and livestock resources), improvements in extension services and adoption of modern rice technology.     

我国城市医院经营效率影响因素分析——基于省际面板数据的随机前沿分析

本文利用2003年-2008年我国31个省市自治区医院的面板数据,运用随机前沿模型（SFA）及一阶段估计方法对我国城市医院经营效率的影响因素进行分析。研究结果表明,药品收入比例、卫生技术人员占医院工作人员总人数比例、三级医院占医院总数比例、二级医院占医院总数比例均对医院效率造成影响。而且,通过东、中、西部地区子样本分析得出,在不同地区医院效率及其影响因素之间存在差别,地理因素也应该考虑在医疗改革的政策制定中。因此,医院体制改革应考虑地区间差异,优先改革对一地区造成突出影响的因素。     

CEV模型下有交易成本和随机波动率的亚式期权定价问题的文献综述

随着金融衍生品的发展,对其进行定价成为理论和实务操作中的重点。亚式期权作为一种强依赖路径的衍生品,在金融市场中有套期保值作用,在管理中有经理股票期权激励作用。因此,设计出更加切合市场实际的定价模型非常重要。本文选取了相比较B-S模型更加实际的CEV模型作为标底资产的路径过程,加入随机波波动率服从有限Markov链的情况下有交易成本的亚式期权定价公式。在已有的相关文献参考下,可以得出其偏微分方程。并且通过二叉树算法,实现定价计算。     

International borrowing without commitment and informational lags: Choice under uncertainty

A series of recent studies in economic growth theory have considered a class of models of international borrowing where, in the absence of a perfect investment commitment, the borrowing constraint depends on the historical performances of the country. Thus, a better level of past economic activity gives a higher reputation, thereby increasing the possibility of accessing the international credit market. This note considers this problem in a stochastic setting based on the volatility of the internal net capital. We study how the optimal consumption level and the maximal expected welfare depend on the combined influence of the trajectory of past economic variables and the volatile environment. In particular, we show how the strength of the history effect and the relative weight of the historical performance depend on the degree of risk.     

Pricing equity options everywhere

Finite difference methods are a popular technique for pricing American options. Since their introduction to finance by Brennan and Schwartz their use has spread from vanilla calls and puts on one stock to path-dependent and exotic options on multiple assets. Despite the breadth of the problems they have been applied to, and the increased sophistication of some of the newer techniques, most approaches to pricing equity options have not adequately addressed the issues of unbounded computational domains and divergent diffusion coefficients. In this article it is shown that these two problems are related and can be overcome using multiple grids. This new technique allows options to be priced for all values of the underlying, and is illustrated using standard put options and the call on the maximum of two stocks. For the latter contract, I also derive a characterization of the asymptotic continuation region in terms of a one-dimensional option pricing problem, and give analytic formulae for the perpetual case.     

Modeling approaches for the design of resilient supply networks under disruptions

This paper studies various modeling approaches to design resilient supply networks (SN) for the location-transportation problem under uncertainty. The future environment of the SN is shaped by random demands, and by disruptions perturbing depots capacity and ship-to-point demand processes. The paper proposes several stochastic programming models incorporating alternative resilience seeking formulations. A generic approach to model SN disruptions, and to elaborate and evaluate SN designs is also proposed. Experiments are made to compare the SN design models formulated, and recommendations are drawn on the approach to use to design effective and robust supply networks.     

Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes

Given that underlying assets in financial markets exhibit stylized facts such as leptokurtosis, asymmetry, clustering properties and heteroskedasticity effect, this paper applies the stochastic volatility models driven by tempered stable Lévy processes to construct time changed tempered stable Lévy processes (TSSV) for financial risk measurement and portfolio reversion. The TSSV model framework permits infinite activity jump behaviors of returns dynamics and time varying volatility consistently observed in financial markets by introducing time changing volatility into tempered stable processes which specially refer to normal tempered stable (NTS) distribution as well as classical tempered stable (CTS) distribution, capturing leptokurtosis, fat tailedness and asymmetry features of returns in addition to volatility clustering effect in stochastic volatility. Through employing the analytical characteristic function and fast Fourier transform (FFT) technique, the closed form formulas for probability density function (PDF) of returns, value at risk (VaR) and conditional value at risk (CVaR) can be derived. Finally, in order to forecast extreme events and volatile market, we perform empirical researches on Hangseng index to measure risks and construct portfolio based on risk adjusted reward risk stock selection criteria employing TSSV models, with the stochastic volatility normal tempered stable (NTSSV) model producing superior performances relative to others.     

Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

Revised implied volatility curves and surfaces for the Chinese Yuan (CNY) exchange rate are obtained from market quotations for CNY non-deliverable options by solving an inverse problem of foreign exchange option pricing, which is calculated using a regularization approach in an optimal control framework. To take account of the market expectation for the CNY exchange rate, a stochastic adjusted factor is applied that follows a Vasicek model with parameters fitted from market quotations for CNY non-deliverable forwards. A well-posed numerical scheme is implemented.     

Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

Given an investor maximizing utility from terminal wealth with respect to a power utility function, we present a verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for Heston's stochastic volatility model. We find that only under a specific condition on the model parameters does the problem possess a unique solution leading to a partial equilibrium. Finally, it is demonstrated that the results critically hinge upon the specification of the market price of risk. We conclude that, in applications, one has to be very careful when exogenously specifying the form of the market price of risk.     

Optimal foreign debt for Egypt: A stochastic control approach

This study assesses the foreign debt policy in Egypt and contrasts it versus the optimal policy during the period 1985–2008. It also presents a forecast of the optimal debt during the period 2009–2014. The optimal debt policy was derived using an open economy model for Egypt. The uncertainties in the model stem from the uncertainties in the interest or debt service payments and the uncertainties in the rate of return on investments. The stochastic control approach was used to find the optimal debt policy. It was found that Egypt could borrow externally as long as the trend in the rate of return on investments exceeds the trend in the real interest rate or the trend in the rate of the debt service payments. The analysis finds that Egypt's foreign debt was higher than the optimal level before 1997. After 1997, foreign debt seems to converge to the optimal level. However, Egypt's foreign debt is still below its optimal level which results in an opportunity cost for the economy to grow, otherwise, GDP could have recorded a favorable increase.