PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS

Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi‐martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative wealths is the primary driver of prices. For utilities with exponential decay, one may price like an exponential investor. For utilities with a power decay, one may price like a power investor after a suitable adjustment to the rate at which the position size becomes large. In a sizable class of diffusion models, limiting indifference prices are explicitly computed for an exponential investor. Furthermore, the large claim limit arises endogenously as the hedging error for the claim vanishes.     

Influences of Identified Victim Images on Processing Fluency

The aim of this study was to explore whether identifiable victim and processing fluency effects would be confirmed in the context of a charity ad encouraging viewers to help a victim in need. The processing fluency was examined by both objective fluency data captured by eye movement and subjective experiences of processing fluency. An eye-tracking experiment (N = 197) found a message that was easy to process required little time to process. A one-way multivariate analysis of variance revealed that participants in the identified victim condition experienced a greater fluency. A victim’s sad face versus happy face caused viewers’ emotional contagion into the victim’s negative emotional state, and this negative affect guided information processing. The objective fluency was found to mediate the effect of viewers’ negative affect on their sympathetic state, which in turn led to a greater willingness to help the victim in need.     

Ownership Sentiments Towards the Customer Care Function in E-Business Situations

ABSTRACT

Effective management of customer care is critically important for successful electronic commerce. The executive in charge of the customer care function in a business based on e-commerce might have a technical IT background, a marketing background, or be from general management. This empirical study examined the degrees to which a sample of 86 marketing and IT managers responsible for customer care in e-commerce environments felt they “owned” the customer care function, and the antecedents and consequences of powerful ownership sentiments. It emerged that heads of department with marketing backgrounds reported significantly stronger feelings of ownership of customer care than heads with IT backgrounds. The level of ownership sentiment varied with respect to the extent of the personal investment a manager had devoted to developing the customer care function, the belief that he or she was an expert in customer care, the person's commitment to the organisation as a whole (rather than to a specific function within it), and the degree of centralisation of the firm's decision making. People who felt strongly that they owned their company's customer care function experienced a heavy sense of responsibility for its effective management. However, the same individuals were more likely to be in conflict with managers of other departments and to resist change.     

基于椭圆球面波函数的数字带通滤波器设计

为设计频谱性能优良的有限冲激响应(FIR)数字带通滤波器,从窗函数的性质及选择指标出发,分析了椭圆球面波函数(PSWF)作为窗函数的优势;在此基础上根据数字滤波器设计的原理和要求,选择0阶基带椭圆球面波函数作为窗函数设计数字带通滤波器,并利用微分方程状态转移矩阵逼近的PSWF求解算法,给出了基于PSWF的FIR数字带通滤波器设计方法。理论分析和仿真结果表明：PSWF数字带通滤波器具有较低的设计复杂度,与Kaiser滤波器和Blackman滤波器相比,其旁瓣衰减有超过7 dB的优势,且具有与两种滤波器相当的通带波纹波动和过渡带宽。     

进一步做好江西省价格公共服务工作的思考

2009年,江西省制定了《江西省开展价格公共服务三年规划》(以下简称《规划》),在全省范围内开展了价格公共服务工作。该省价格公共服务工作要在现有成绩的基础上,进一步提高认识,更新观念,突出重点,紧贴实际,坚持不懈进行下去。     

探析汉语中名词的重叠

多数专家认为汉语中名词重叠使用情况很少,对名词重叠的研究,相对于动词和形容词而言,也较少。但随着语言的发展,出现了越来越多的名词重叠。名词重叠式具有一定的构成形式、语义特征和句法功能。名词重叠式的发展是语言作为开放性的符号系统发展的必然结果。     

DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

We present two analytically tractable diffusion models for an exchange rate in a target zone. One model generalizes a model proposed by De Jong, Drost, and Werker (2001) to allow asymmetry between the currencies which is often an important feature of data. Estimation of the model parameters by the method of Kessler and Sørensen (1999) using eigenfunctions of the generator is investigated and shown to give well-behaved estimators that are easy to calculate. The method is well suited to the models because the eigenfunctions are known so that explicit estimating functions are obtained, and because the state space is a finite interval, for which it is known that the method can be made arbitrarily efficient by including sufficiently many eigenfunctions. The model fits data on exchange rates in the European Monetary System well. In particular, the asymmetry parameter is significantly different from zero for three out of four currencies. An alternative diffusion model is presented with similarly nice properties, but with different dynamics that allow constant volatility near the boundaries of the target zone. No-arbitrage pricing of derivative assets is considered, and the effect of realignments is briefly discussed.     

当前我国宏观经济的内外失衡及调整

我国目前宏观经济运行中内外失衡较为严重,储蓄率过高、消费需求不足、投资低效、失业率上升与国际收支巨额双顺差同时并存。尽管内外失衡是开放宏观经济运行的“常态”,短期内有其存在的必然性,但长期的内外失衡有悖于经济的持续发展。内外失衡并存的根本原因在于内部失衡,协调内外均衡的有效途径就是要转变我国过度依赖外需的经济发展模式．使我国经济发展建立在内需为主的基础之上。     

电子商务环境下中间商的价值转变

信息技术的发展给中间商带来极大的挑战 ,使中间商的传统功能不断弱化 ,这主要表现在信息沟通枢纽作用的下降 ,市场价格发现功能的弱化 ,促进交易实施功能的降低以及资金融通作用的下降四个方面。中间商传统功能的弱化并不代表中间商即将消亡 ,通过建立并分析制造商销售方式选择模型可以发现 ,电子商务环境下中间商出现的只是存在价值的转变。     

论税收政策及其政策目标与政策手段的选择

税收政策是政府社会经济政策的重要组成部分 ,税收政策的运用 ,主要取决于税收政策目标和税收政策手段的选择。从税收政策、税收政策目标及其税收政策手段的内涵及抉择条件入手 ,对现阶段我国税收政策目标的确定、税收政策手段的选择路径提出若干建议