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。     

英语口语教学的制约因素及教学策略研究

英语口语水平的高低是衡量英语学习者语言综合水平的重要体现。在英语教学中,教师和学生都觉得困难得就是口语,教师觉得学生的口语水平不尽如意,怎么训练也提高不快,学生则认为想说的话就是无法用英语流畅的表达出来。本文就影响英语口语进程的障碍因素加以研究,并就如何清除口语障碍提出相应的策略。     

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。     

A Jump-diffusion Model for Exchange Rates in a Target Zone

We propose a simple jump-diffusion model for an exchange rate target zone. The model captures most stylized facts from the existing target zone models while remaining analytically tractable. The model is based on a modified two-limit version of the C OX , I NGERSOLL and R OSS (1985) model. In the model the exchange rate is kept within the band because the variance decreases as the exchange rate approaches the upper or lower limits of the band. We also consider an extension of the model with parity adjustments, which are modeled as Poisson jumps. Estimation of the model is by GMM based on conditional moments. We derive prices of currency options in our model, assuming that realignment jump risk is idiosyncratic. Throughout, we apply the theory to EMS exchange rate data. We show that, after the EMS crisis of 1993, currencies remain in an implicit target zone which is narrower than the officially announced target zones.     

A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations

This paper provides a side-by-side comparison of loan-level statistical models for fixed- and adjustable-rate mortgages. Multinomial logit models for quarterly conditional probabilities of default and prepayment are estimated. We find that the estimated impacts of embedded option values for prepayment and default are generally quite similar across both FRM and ARM loans, providing additional empirical support for the basic predictions of the options theory. We also find that differences in estimates of conditional probabilities of prepayment and default associated with mortgage age, origination period, original LTV, and relative loan size, indicate the continued significance of these other economic and demographic factors for empirical models of mortgage terminations.     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

二手房交易中中介机构的信息屏障及其破解对策

目前房地产中介公司已成为二手房交易的主要渠道,许多中介公司利用买卖主体的信息不对称,有意制造信息屏障,获取额外收益。了解中介公司设置信息屏障的方式方法十分必要,它可以帮助买卖主体有效规避交易风险,减少不必要的经济损失。     

American option valuation under stochastic interest rates

By applying Ho, Stapleton and Subrahmanyam's (1997, hereafter HSS) generalised Geske–Johnson (1984, hereafter GJ) method, this paper provides analytic solutions for the valuation and hedging of American options in a stochastic interest rate economy. The proposed method simplifies HSS's three-dimensional solution to a one-dimensional solution. The simulations verify that the proposed method is more efficient and accurate than the HSS (1997) method. We illustrate how the price, the delta, and the rho of an American option vary between the stochastic and non-stochastic interest rate models. The magnitude of this effect depends on the moneyness of the option, interest rates, volatilities of the underlying asset price and the bond price, as well as the correlation between them. This revised version was published online in June 2006 with corrections to the Cover Date.     

高职高专商务英语听力教学探讨

结合当前社会需求和高职高专商务英语听力教学的特点,探讨了如何提高商务英语听力教学质量并提出了相应的教学改进措施。     

信息不对称对信贷市场结构的影响

文章通过考察信息不对称在多个时期的空间竞争模型中对信贷市场结构均衡的决定作用，特别是对银行进入和退出信贷市场的内生作用，证明信息不对称会对潜在的市场参与者造成市场壁垒——信息壁垒，从而信贷市场的整体竞争程度竞争程度受到抑制。