中国外汇储备与货币供给量的关系——基于双对数模型

2001年以来,持续的双顺差促使外汇储备量迅速积累,人民币升值压力增大,为了维持人民币汇率的稳定,政府不得不加大货币投放量来回笼外汇市场上过多的外汇。通过建立外汇储备和货币供给量(M1、M2)之间的双对数模型,进行实证分析得出结论:外汇储备的增加确实推动了中国货币供应量的增加,并且外汇储备变动给M1带来的影响大于M2。因此,应适当控制外汇储备规模消除外汇储备超额增长的制度性原因,完善货币政策工具,积极进行金融创新。     

Real options under a double exponential jump-diffusion model with regime switching and partial information

We consider the irreversible investment in a project which generates a cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the pricing and timing of the option to invest. With partial information, i.e. if the expected return is unobservable, we provide an explicit project value and an integral-differential equation for the pricing and timing of the option. We provide a method to measure the information value, i.e. the difference between the option values under the two different cases. We present numerical solutions by finite difference methods. By numerical analysis, we find that: (i) the higher the jump intensity, the later the option to invest is exercised, but its effect on the option value is ambiguous; (ii) the option value increases with the belief in a boom economy; (iii) if investors are more uncertain about the economic environment, information is more valuable; (iv) the more likely the transition from boom to recession, the lower the value of the option; (v) the bigger the dispersion of the expected return, the higher the information value; (vi) a higher cash flow volatility induces a lower information value.     

旅游轨道悬挂式单轨局部双线三方向立体疏解方案研究

长治太行山旅游轨道大峡谷经八泉峡至川底段采用悬挂式单轨制式,其中八泉峡景区为核心景区,客流量大,与其他景区线路需进行三方向立体疏解。结合长治市旅游规划整体布局,阐述长治太行山旅游轨道车流组织、系统制式及线路规划,为达到局部疏解的目的,研究"区间四线""车站疏解""区间疏解"3个线路局部方案,以及"外包疏解""环形疏解""平行疏解"3个车站疏解方案,经综合分析,推荐局部采用车站疏解,站内采用环形疏解的交通创意。疏解方案将有效、合理地解决三方向双线的交通矛盾问题,实现乘降便捷性与交通快捷性。     

高职汽修专业实施“双证书”制度的现状与对策探讨

汽修专业是汽车检测与维修技术专业的俗称,是我国高职院校工科类常设专业之一,也是实施"双证书"制度较早和较成熟的专业之一。通过对目前高职汽修专业实施"双证书"制度现状的调研,发现在其运行过程中还存在一些不容忽视的问题。针对这些存在的问题,结合汽修专业学生"眼高手低"和就业困难的实情,分析了问题产生的原因,并提出了相应的改善对策。     

“双导师”制在高职学生顶岗实习中的实践与探索

通过分析目前高职院校在实施顶岗实习过程中存在的种种问题,提出了"双导师制"的顶岗实习管理制度,通过该制度的实施,稳固了校企合作关系,同时解决了学生在顶岗实习期间出现的诸多问题,切实保证了顶岗实习的效果。     

Performance-based resource allocation for higher education institutions in China

How to allocate limited resource to higher education institutions has always been a critical problem with significant social and economic relevance. Researchers and educational administrators have long proposed that resource allocation should be linked to performance. In this paper, we develop a performance-based method for a central planner to allocate research funding to different universities to better stimulate the research output. The method builds on existing works on resource allocation via efficiency analysis. The method takes multiple dimensions of research performance into account, including number of publications, number of patents, and revenue from knowledge transfer. We apply the method to a set of 64 major universities in China based on performance in 2014–2016. The application is particularly pertinent at the moment, since the Chinese government is developing a new funding program called the “double first-class” plan, which features performance-based funding as a central pillar of government funding.     

Probability of multiple crossings and pricing of double barrier options

This paper derives pricing formulas of standard double barrier option, generalized window double barrier option and chained option. Our method is based on probabilitic approach. We derive the probability of multiple crossings of curved barriers for Brownian motion with drift, by repeatedly applying the Girsanov theorem and the reflection principle. The price of a standard double barrier option is presented as an infinite sum that converges very rapidly. Although the price formula of standard double barrier option is the same with Kunitomo and Ikeda (1992), our method gives an intuitive interpretation for each term in the infinite series. From the intuitive interpretation we present the way how to approximate the infinite sum in the pricing formula and an error bound for the given approximation. Guillaume (2003) and Jun and Ku (2013) assumed that barriers are constant to price barrier options. We extend constant barriers of window double barrier option and chained option to curved barriers. By employing multiple crossing probabilities and previous skills we derive closed formula for prices of 16 types of the generalized chained option. Based on our analytic formulas we compute Greeks of chained options directly.     

基于收益共享和成本共担的供应链双向激励协调

在供应商和销售商组成的二级供应链中,供应商隐藏关于生产成本的私人信息,销售商隐藏关于销售努力的行动,且双方地位相当,此时协调主体不明确。为了解决该问题,文章引入虚拟第三方为利他的委托人,站在供应链整体利润最大化的角度,设计基于收益共享和成本共担的协调契约,对供应商和销售商实施双向激励。研究结果表明:当收益共享比例和成本共担比例满足一定条件时,供应链实现了协调。此时,该契约调动了供应商降低生产成本、销售商提高努力水平的积极性,合作双方达到了"双赢"。笔者通过数值实验对结果进行了验证,表明了结果的有效性。     

Pricing of vulnerable exchange options with early counterparty credit risk

The exchange option is one of the most popular options in the over-the-counter (OTC) market, which enables the holder of two underlying assets to exchange one with another. In OTC markets, with the increasing apprehension of credit default risk in the case of option pricing since the global financial crisis, it has become necessary to consider the counterparty credit risk while evaluating the option price. In this study, we combine the vulnerable exchange option and early counterparty default risk to obtain the closed-form formula for the vulnerable exchange option with early counterparty credit risk by using the method of dimension reduction, Mellin transform, and the method of images. Moreover, we examine the pricing accuracy of the option value by comparing our closed-form solution with the formula derived by the Monte-Carlo simulation.     

Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion settings. The model comprehensively considers the leptokurtosis and heteroscedasticity of the underlying asset’s returns, rare events, and an SIR. Using the model, we deduce the pricing characteristic function and pricing formula of a European option. Then, we develop the Markov chain Monte Carlo method with latent variable to solve the problem of parameter estimation under the double exponential jump-diffusion model with SIR and SV. For verification purposes, we conduct time efficiency analysis, goodness of fit analysis, and jump/drift term analysis of the proposed model. In addition, we compare the pricing accuracy of the proposed model with those of the Black–Scholes and the Kou (2002) models. The empirical results show that the proposed option pricing model has high time efficiency, and the goodness of fit and pricing accuracy are significantly higher than those of the other two models.