东北地区与长三角等地区域旅游合作对比研究

文章对比分析了国内区域旅游合作研究与实践的热点地区长三角、泛珠三角、环渤海三个区域的合作过程中取得的成功经验,指出了合作过程中存在的问题。通过东北地区与上述三个区域的对比,分析了东北地区区域旅游合作的基础、优势、存在的问题,针对东北区域旅游合作的实际问题提出了相应建议。     

基于实物期权的延迟策略CODP投资决策分析研究

制造企业实施延迟策略的目的是为了塑造柔性的竞争优势。以过程自由度和过程知识量为维度，分析了延迟策略实施过程中客户订单分离点（CODP）存在的可能性，针对延迟策略CODP定位的特点，利用实物期权的思想，划分了延迟策略实施过程中存在的期权种类，构建了基于延迟期权的CODP投资决策模型，研究结果为实施延迟策略的制造企业定制时机提供了理论指导。     

The Differential Value Relevance of S&P's Core Earnings Versus GAAP Earnings: The Role of Stock Option Expense

In 2002, Standard & Poor's (S&P) introduced Core Earnings as a proprietary, uniform earnings metric, with the goal of improving financial reporting. The distinguishing feature of Core Earnings is its consistent treatment of seven adjustments to GAAP earnings for which there is no consensus adjustment by managers and analysts. We use stock price and return data to assess whether investors perceive Core Earnings to be more value relevant than GAAP earnings. The implementation of FASB 123R changed the calculation of GAAP and Core Earnings. This change allows us to assess the role of stock option expense in the valuation of earnings numbers by partitioning the sample into pre‐ and post‐FASB 123R periods and creating consistent measures of GAAP and Core Earnings. Our price results indicate that Core Earnings is more value relevant than GAAP earnings in the pre‐period after controlling for stock option expense, and in the post‐FASB 123R periods. The price results provide empirical evidence consistent with S&P's expectation that a uniformly calculated earnings measure is a more consistent and useful indicator of current performance and future earnings.     

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple of the cushion , the difference between the current portfolio value and the guaranteed amount. Whereas in diffusion models with continuous trading, this strategy has no downside risk, in real markets this risk is nonnegligible and grows with the multiplier value. We study the behavior of CPPI strategies in models where the price of the underlying portfolio may experience downward jumps. Our framework leads to analytically tractable expressions for the probability of hitting the floor, the expected loss, and the distribution of losses. This allows to measure the gap risk but also leads to a criterion for adjusting the multiplier based on the investor's risk aversion. Finally, we study the problem of hedging the downside risk of a CPPI strategy using options. The results are applied to a jump-diffusion model with parameters estimated from returns series of various assets and indices.     

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor’s theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk‐free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.     

BLACK–SCHOLES REPRESENTATION FOR ASIAN OPTIONS

Asian options are securities with a payoff that depends on the average of the underlying stock price over a certain time interval. We identify three natural assets that appear in pricing of the Asian options, namely a stock S, a zero coupon bond B^T with maturity T, and an abstract asset A (an “average asset”) that pays off a weighted average of the stock price number of units of a dollar at time T. It turns out that each of these assets has its own martingale measure, allowing us to obtain Black–Scholes type formulas for the fixed strike and the floating strike Asian options. The model independent formulas are analogous to the Black–Scholes formula for the plain vanilla options; they are expressed in terms of probabilities under the corresponding martingale measures that the Asian option will end up in the money. Computation of these probabilities is relevant for hedging. In contrast to the plain vanilla options, the probabilities for the Asian options do not admit a simple closed form solution. However, we show that it is possible to obtain the numerical values in the geometric Brownian motion model efficiently, either by solving a partial differential equation numerically, or by computing the Laplace transform. Models with stochastic volatility or pure jump models can be also priced within the Black–Scholes framework for the Asian options.     

论全球碳市场机制的完善及中国的对策选择

本文在全球气候变化的大背景下提出一个可以将世界各国都纳入到减排体系的金融创新方法,在对全球碳市场现状和问题进行分析的基础上,通过引入碳期权来完善碳市场机制,并进一步探讨碳期权的定价策略,提出中国融入全球碳市场机制以及参加国际气候谈判的对策建议。     

关于福建省中小企业网络营销的探讨

文章结合福建省中小企业网络营销的现状,探讨福建省中小、企业网络营销发展过程中出现的障碍及其应对策略。     

Housing-Price Cycles and Prepayment Rates of U.S. Mortgage Pools

Empirical mortgage prepayment models generally have trouble explaining differences in mortgage-prepayment speeds among pools with similar interest rates on the underlying mortgages. In this article, we model some of the sources of termination heterogeneity across mortgage pools, particularly the role of regional variations in housing prices in generating atypical prepayment speeds. Using a sample of Freddie Mac mortgage pools from 1991 to 1998, we compare two classes of empirical models: a rational option-pricing model using a backward-solving pricing algorithm and an empirical hazard model. In both empirical estimation strategies, we find evidence that differences in house-price dynamics across regions are an important source of between-pool heterogeneity. This finding is then shown to be robust to alternative ways of parameterizing pool heterogeneity in mortgage termination models.     

谈发达国家包装要求的发展趋势

商品包装除了保护商品外,还具有促销的功能。但从近年来发达国家的包装要求来看,包装除了以上所提到的两种基本功能外,还出现了一些新的发展趋势,如:以人为本的包装理念越来越突出;“绿色”包装越来越流行;在国际贸易中,包装所带的“壁垒”色彩越来越浓等。本文将对这些趋势作一概述。以期对我出口企业充分了解和应对这些发展趋势有所帮助。