Option pricing for GARCH-type models with generalized hyperbolic innovations

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets being modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function of the state variables, we show that the risk-neutral distribution is unique and again implies a generalized hyperbolic dynamics with changed parameters. We provide an empirical test for our pricing methodology on two data sets of options, respectively written on the French CAC 40 and the American SP 500. Then, using our theoretical result associated with Monte Carlo simulations, we compare this approach with natural competitors in order to test its efficiency. More generally, our empirical investigations analyse the ability of specific parametric innovations to reproduce market prices in the context of an exponential affine specification of the stochastic discount factor.     

An Actuarial Analysis of Participating Life Insurance

An actuarial model is developed to reveal the intrinsic nature of participating life insurance. The basic safe-side criterion is examined. It is established how the first-order prospective net premium reserve includes safety margins or bonus loadings, and it is demonstrated how the bonus loadings are currently released. It is demonstrated how surplus may be distributed and accumulated as a terminal bonus in an equitable way. The level premium is divided into a variable recurrent single premium and a variable natural premium, and an alternative to the prospective net premium reserve is examined. A capitalization of future safety margins or bonus loadings, which are related to past premiums and the paid-up benefit, may allow the insurance company a considerable increase in investment freedom. The theory is illustrated by numerical results.     

Imagining Economics Otherwise: Encounters with Identity/Difference

How can theoretical criticisms to economics introduced by feminist economists be addressed empirically? Feminist scholars outside economics have spent considerable time debating appropriate methods and have often argued that interactive, situated research is more appropriate for answering feminist concerns. By telling the stories of three Palestinian women, I provide examples where qualitative research can enhance and even challenge quantitative research. I argue that our understanding of concepts such as power, individualism and preference formation will be enhanced by the use of qualitative methods and that feminist economists should be among those questioning the narrow definition of acceptable evidence articulated by mainstream economists.     

高职院校服务社会(创业)培训模式的实证研究

本文在理论研究的基础上尝试性的建立了数据结构方程模型,检验高等职业院校服务社会的"培训——创业——增收——幸福"模式。通过研究发现,创业培训与收入增加和生活幸福具有显著相关性,该理论对于高等职业院校的职业培训工作具有实践指导意义。     

企业培训效果制约因素的内部机理研究:基于ISM模型的解释

在系统归纳和整理影响我国企业培训效果制约因素的基础上,借助解释结构模型方法的优势,厘清了各个制约因素间相互作用的内在机理.研究表明:企业培训制度滞后、企业高层对企业培训重视不足以及企业培训职能归属定位模糊对企业培训效果的制约作用最大,而培训需求与企业特征脱节、企业培训财务投入不足以及缺乏有效的企业培训评估机制的制约作用次之,员工缺乏积极性以及受训员工接受能力有限对企业培训效果的制约作用最小.因此,企业应该基于不同制约因素的内在机理有步骤、有重点的提升企业培训效果.     

军用电子设备的选型设计

本文阐述了造型设计的基本概念 ,分析了我国军用电子设备造型设计的现状和差距 ,讨论了美学法则在军用电子设备造型设计中的具体运用以及军用电子设备具体的造型设计方法 ,给出了造型设计实例     

会计准则变迁、公司治理对盈余管理的影响分析——基于结构方程模型的实证研究

本文应用结构方程模型分析了2006年新会计准则实施前后会计准则变迁和公司治理对盈余管理的共同作用。结果表明:会计准则的应用仅改变了上市公司盈余管理的具体方法如从固定资产减值准备转回改为构造债务重组收入,却无法从总体上约束这些企业的盈余管理行为。且新会计准则实行后的2007-2009会计年度,上市公司的盈余质量有降低趋势,但对亏损公司调减利润的行为有改进。     

基于BIM的建筑供应链信息流模型的应用研究

在我国项目管理领域推行建筑供应链管理是一种必然趋势.建筑信息模型(BIM)是数字技术在建筑业中直接表达,信息是项目管理中的重要资源,信息流对建筑供应链管理有着特别重要的意义.文章从BIM和建筑供应链的研究现状出发,提出了将BIM应用于建筑供应链信息流管理的设想,并设计了基于BIM的建筑供应链的信息流模型基本架构,进而研究了如何解决建筑供应链参与方的不同数据接口间的信息交换问题,以及基于BIM的建筑供应链信息流模型在信息共享方面所具有的优势.     

Economic and environmental effects of decoupled agricultural support in the EU

This article reports findings from a simulation model representing the European farming system disaggregated at different scales. This modeling experiment explores the effects of various decoupling options associated with the 2003 European agreement on gross margins, land use, shadow cost of land, and greenhouse gas emissions. Our results show increases in the farmers’ gross margins when decoupled support is maintained equal to the amount of direct aid previously attributed to agricultural production, assuming unchanged prices. Land used for pasture increases at the expense of land used for cereals and protein crops. The extent to which these effects materialize depends on the policy options selected by Member States when implementing the Luxembourg agreement. When they opt for some recoupling of support, adverse net economic impacts occur for producers. Regional differences in impacts are more pronounced than the analysis aggregated at European and national scales suggests. This highlights the need for further work based on geostatistical downscaling.