RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

We study the risk indifference pricing principle in incomplete markets: The (seller's)  risk indifference price        is the initial payment that makes the  risk  involved for the seller of a contract equal to the risk involved if the contract is not sold, with no initial payment. We use stochastic control theory and PDE methods to find a formula for       and similarly for      . In particular, we prove that  where    p _low   and    p _up   are the lower and upper hedging prices, respectively.     

钢铁贸易转折对国内外钢价动态关系的影响

中国钢铁贸易的转折使得中国钢材市场更多地融入了国际市场,并在全球市场上有了"话语权",这一方面有利于国内钢铁企业在扩大开放和对外贸易中利用国际资源和国际市场提升和优化产业结构,但同时也存在不利于中国钢铁行业长期持续的开放发展的隐忧.中国钢铁贸易应遵循持续稳定发展、促进产业结构调整以及兼顾各方利益的发展原则.     

Price Elasticity Dynamics over the Product Life Cycle: A Study of Consumer Durables

Extending the work of Parker (1992), which considers only firstpurchases, and Simon (1989), which considers brand-level sales, weempirically provide support for the hypothesis that total categorysales price elasticities first decease in absolute value but thenultimately increase if the product in question faces the decline phaseof the product life cycle (due to competitive substitutes, changes intastes, and so on). As an interesting artifact of the methodology, thearticle also shows how the Bass model can be easily modified to accountfor total category sales (first plus repeat purchases) and that, in thelimit, the Bass model converges to stochastic repeat purchase models(bridging two radically different modeling traditions). If unadjusted,the Bass model applied to sales data is grossly misspecified when thetime series studied exceeds five to ten years for consumer durables.     

国内外汇投资机构开设外汇虚盘交易的价值评估

通过对国家宏观金融政策的分析,国内开放外汇虚盘交易市场只是时间迟早的问题;针对这一潜在的发展机会,本文采用期权的鞅定价方法,假设国内开放外汇虚盘交易市场的时间为服从指数分布的随机变量T,外汇投资机构的日成交量服从几何布朗运动,对有效执行时刻为随机的新设项目进行实物期权分析并做了价值评估,进而对外汇投资机构的总价值进行评估,并讨论了最优的执行时刻及最佳的有效执行时刻,具有重要的现实意义和借鉴作用.     

The Impact of Regulation on Cost Efficiency: An Empirical Analysis of Wisconsin Water Utilities

The impact of regulation of efforts to minimize costs has been widely discussed, but remains difficult to measure. The sophisticated regulation of water utilities in Wisconsin allows us to attempt such on assessment since different firms can be under different regulatory regimes (price cap or rate-of-return) in the same geographical area at the same time. To measure the impact of regulation on efficiency, we use a stochastic cost frontier approach defining the unobservable efficiency of a water utility as a function of exogeneous variables. Using a panel of 211 water utilities observed from 1998 to 2000, we show that their efficiency scores can be partly explained by the regulatory framework.     

浅析多时期证券投资组合价值与其收益的关系

文章从定量分析的角度,推导了多时期证券投资组合价值与收益过程之间的数学关系,同时还推导了折现价值过程中投资组合价值与收益过程的数学关系。     

European monetary arrangements: Implications for the dollar,exchange rate variability and credibility

This paper uses the recent history of the ERM to gain insights into what might happen to exchange rates on the road to EMU. to do this, the paper examines the variability of exchange rates, the transmission of monetary policy between countries, the role of the dollar in ERM exchange rate crises, and ERM members' credibility as measured by the realignment probabilities prior to the September 1992 crisis. We identify two factors that might have contributed to the September 1992 crisis: high German interest rates and weakness of the US dollar. We find that behaviour of exchange rates has changed over time and differs between ERM and non-ERM currencies. We also demonstrate that changes in German short-term interest rates influence interest rates in other ERM countries and vice versa.