DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS1

The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.     

Microenvironment-specific effects in the application credit scoring model

This paper introduces the improved version of a credit scoring model which assesses credit worthiness of applicants for a loan. The scorecard has a two-level multilevel structure which nests applicants for a loan within microenvironments. In addition, the paper proposes a new type of clustering for a hierarchical two-level structure which is more intuitive and efficient in the application to credit scoring. This structure explores living area-specific effects which are viewed as unobserved determinants of default. The primary benefit of the multilevel scorecard compared to a conventional scoring model is higher accuracy of the model predictions.     

Method and analysis in Piero Sraffa's 1925 critique of Marshallian economics

This paper provides an analysis of the logical structure and analytical content of Piero Sraffa's 1925 Italian paper, ‘Sulle relazioni fra costo e quantità prodotta’. It shows that Sraffa's criticism of the supply side of Marshall's theory of value in a competitive partial equilibrium model involves analytical and methodological issues. Endorsing an agressive methodology Sraffa logically reconstructs Marshall's model on variable returns to determine its empirical domain. He demonstrates that the latter encompasses only the empirically irrelevant cases of specific factor industries and specific external economies industries and that it cannot be generalized to non-specific factor industries and to non-specific external economies industries.     

Learning with perfect information

For extensive form games with perfect information, consider a learning process in which, at any iteration, each player unilaterally deviates to a best response to his current conjectures of others' strategies; and then updates his conjectures in accordance with the induced play of the game. We show that, for generic payoffs, the outcome of the game becomes stationary, and is consistent with Nash equilibrium. In general, if payoffs have ties or if players observe more of each others' strategies than is revealed by plays of the game, the same result holds provided a rationality constraint is imposed on unilateral deviations: no player changes his moves in subgames that he deems unreachable, unless he stands to improve his payoff there. Moreover, with this constraint, the sequence of strategies and conjectures also becomes stationary, and yields a self-confirming equilibrium.     

Private and Public Information in Self-fulfilling Currency Crises

Received November 9, 2000; revised version received July 24, 2001     

从成本效益的角度看政府会计监管的界限

在现代市场经济条件下,市场失灵是政府监管的必要条件.因此,本文首先从市场入手,分析了市场失灵的原因.政府作为市场监管的主体,并非对市场介入越深越好,本文通过对政府监管的成本--效益分析,明确了政府监管的界限.适度的政府监管是一个政府与非政府主体相互调适的过程,不能过于强调某一方或忽视某一方.最后,针对政府失灵的领域提出更换监管主体的思想,使政府监管与行业自律相结合,使会计监管兼顾成本--效益的原则.     

房地产投资的量度

根据天津市多年来房地产供求关系的有关资料，将最小二乘法和马尔可夫(Markov)预测法相结合，对天津市(城区)的房地产需求趋势进行了预测，并根据预测结果对未来的房地产需求情况进行了分析，经验证用这种数学模型预测出的结果与事实相符。     

独立维修两部件并联系统可靠性分析

本文考虑了具有独立维修规则的两个不同型部件并联系统可靠性问题,在一个部件的寿命和维修分布为指数分布,而另一个部件的寿命和维修分布为一般连续型分布的条件下,我们得到了并联系统的主要可靠性指标。     

Markov chain modeling of the global technological lifetime of copper

Markov chain modeling is applied to the global anthropogenic copper cycle for the year 2000. The lifetime of copper varies from product to product and region to region, as well as through time. Assumptions of average lifetimes are therefore subject to a high degree of uncertainty. A large state transition table is created that encompasses the life-cycle stages of copper (mining, smelting, refining, fabrication, use, waste management, scrap, and final disposal), five end-uses (buildings, transportation, consumer products, electrical equipment, and machinery) in eight world regions, including trade at every stage. The system requires closure by mass balance, so all possible routes of copper trade and recycling are considered. Transitions between each pair of states are calculated using previous material flow analysis data. The main result is that an atom of copper is used 1.9 times by human society before it enters final disposal. Scaling by the lifetime of copper in each life-cycle stage in each region gives a total average technological lifetime of copper of 60 years. A sensitivity analysis is applied to the model in order to test the robustness of the results. Several scenarios are also considered: increasing the recycling rate in each region to 70%, applying European or North American in-use lifetimes to all regions, and increasing the share of the world copper cathode and scrap markets taken in by Asia to 50%. Several limitations of the Markov chain approach are discussed, as are the further research opportunities it affords.