LIBOR and swap market models and measures

A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite number of zero-coupon bonds, even when there is no instantaneous saving bond. Notion of locally arbitrage-free price system is introduced and equivalent criteria established. Stochastic differential equations are derived for term structures of forward libor and swap rates, and shown to have a unique positive solution when the percentage volatility function is bounded, implying existence of an arbitrage-free model with such volatility specification. The construction is explicit for the lognormal LIBOR and swap “market models”, the former following Musiela and Rutkowski (1995). Primary examples of LIBOR and swap derivatives are discussed and appropriate practical models suggested for each.     

经济增长与就业结构的变迁——对1952～2004年中国GDP增长率与就业结构关系的考察

利用统计学、数学方法为分析工具,对建国以来(1952～2004)GDP增长率与就业结构的变迁作了实证考察,找出了经济变量之间的内在联系及其原因,并提出了未来的发展建议.     

Foreign aid and weakest-link international public goods: An experimental study

In this paper, we investigate efficiency differences between income and in-kind transfers as distribution mechanisms of foreign aid to weakest-link international public goods in a laboratory environment. We find that if there is relatively small difference in country size, then income transfers seem to provide a higher provision of the international public good, and thus higher overall welfare level than that of in-kind transfers. However, if there is a large disparity in country size, then in-kind transfers appear to provide a higher level of IPG provision and higher accompanying global welfare.     

Wealth inequality and dynamic stability

We explore the link between wealth inequality and stability in a two-sector neoclassical growth model with heterogeneous agents. We show that when the inverse of absolute risk aversion (or risk tolerance) is a strictly convex function, wealth inequality is a factor that favors instability. In the opposite case, inequality favors stability. Our characterization also shows that whenever absolute risk tolerance is linear, as when preferences exhibit hyperbolic absolute risk aversion (HARA), wealth heterogeneity is neutral.     

国家建设项目跟踪绩效审计重点问题初探

本文从阐述建设项目跟踪绩效审计的概念及优越性入手,提出国家建设项目跟踪绩效审计在项目开工前、施工中及完工后应重点审计的事项及各事项对项目经济性、效率性、效果性的影响。     

"后配额时代"我国纺织品与服装出口的贸易环境

在过去的40多年，世界纺织品和服装贸易一直实行配额制度，这与全球多边贸易体制所倡导的自由贸易精神和原则是相违背的。根据世界贸易组织乌拉圭回合达成的《纺织品与服装协议》，从2005年1月11日起，全球纺织品贸易的配额体制宣告结束，将进入了纺织品贸易的“后配额时代”。然而事实并非如此，我国作为世界上最大的纺织品与服装出口国却面临着更加复杂的贸易环境，贸易摩擦更加频繁。发达国家与发展中国家联合起来为我国纺织品的出口设置各种贸易壁垒，面对这一新情况，我国的纺织品企业必须积极调整发展思路，迎接挑战。     

入世对中国法制建设的影响

加入世界贸易组织 ,意味着WTO规则将在中国国内通过国内法逐步得以实施 ,这使得中国的法制建设面临着新的严峻挑战。改革开放 2 0多年来 ,我国在立法中特别是在制定市场经济的法律法规时 ,特别重视研究、借鉴市场经济发达国家和地区的好经验、好做法。因此中国现行的法律法规与WTO规则是基本一致的。但是加入WTO对中国的法制建设产生了极大的冲击。因此 ,必须按照WTO规则 ,进一步加强我国的法制建设     

工薪起征点调整对企业影响的经济学分析

随着中国经济快速发展,中国的个人所得税税制已经不能适应实际需要,工薪起征点过低是目前个人所得税存在的主要问题之一,提高工薪起征点的个人所得税改革势在必行。对此提出了工薪起征点的调整方向,并运用经济学方法分析了工薪起征点调整后对企业净利润和分配政策等的影响。     

广东省各地市科技创新券后补助政策分析

2015年—2017年,广东省连续三年投入财政资金试行开展科技创新券后补助专项工作,支持中小微企业向科技服务机构购买服务。全省各地市积极开展创新券后补助专项工作,该专项对引导中小微企业加大研发投入、促进科技服务机构发展具有很好的推动作用。3年期间,创新券后补助专项共撬动全省中小微企业科技创新投入超16亿元,筛选了一批资质优、诚信好、服务水平高的科技服务机构,推动了科技服务机构的有序健康发展。