用密度函数法对自由表面进行数值模拟

本文从二维非定常N-S方程出发，提出了一种处理自由表面问题的数值方法。引入密度函数法(density-function method)追踪自由表面，在密度函数的传输方程中采用TVD格式达到了二阶精度。对均匀来流中的非定常不可压方柱绕流进行了数值模拟。数值结果成功地捕捉了自由表面波动以及漩涡的生成、分离的时间发展历程。同时验证了本方法的有效性。     

河道及河口一维及二维嵌套泥沙数学模型

建立了一种河道及河口一、二维嵌套的泥沙数学模型，对基本的控制方程、方程的离散和求解方法、嵌套连接条件以及非均匀沙的处理等问题进行了研究。以非恒定非均匀不平衡输沙理论作为本文建模的基础，为方便处理，通过交界面的水位、流量和含沙量等的传递，在每一迭代内进行耦合计算。数值模拟结果与实测资料吻合较好，且计算省时，表明本文建立的嵌套模型是一种解决某些实际工程问题的可靠的和高效的工具。     

Risk based capital for guaranteed minimum withdrawal benefit

The guaranteed minimum withdrawal benefit (GMWB), which is sold as a rider to variable annuity contracts, guarantees the return of total purchase payment regardless of the performance of the underlying investment funds. The valuation of GMWB has been extensively covered in the previous literature, but a more challenging problem is the computation of the risk based capital for risk management and regulatory reasons. One needs to find the tail distribution of the profit–loss function, which differs from its expected payoff required for pricing the GMWB contract. GMWB has embedded two option-like features: Management fees are proportional to the current value of the policyholder’s account which results in an average price of the account. Thus the contract resembles an Asian option. However, the fees are charged only up to the time of the account hitting zero which resembles a barrier option payoff. Thus the GMWB is mathematically more complicated than Asian or barrier options traded on the financial markets. To the authors’ best knowledge, this is the first paper in the literature to formulate and analyse profit–loss distribution using PDE methods of such a product with intricate option-like features. Our approach is much more efficient than the current market practice of rather intensive and expensive Monte Carlo simulations due to the lack of samples for extreme cases.     

On non-ergodic asset prices

We investigate the asset prices dynamics and the long-run market shares of two competing financial mediators who are selected by consumers. We demonstrate that the social interaction among consumers constitutes an endogenous path-depending source of risk in a financial market. Depending on consumers’ evaluation of the mediator’s investment, asset prices may behave in a non-ergodic manner: the price process converges in distribution but the limiting distribution is not necessarily uniquely determined, its multiplicity being characterized by the multiplicity of possible long-run market shares. The convergence of the process is sensitive to initial conditions and depends on the history of noise-trader transactions. Long-run portfolio holdings may be in-efficient since investors holding mean-variance efficient portfolios may not be identified.     

In search of demanded competencies: designing superior compensation systems

Employees' competencies are decisive components in a firm's competitiveness. Accordingly, the purpose of this paper is to assess whether differences in strategy influence employees' competencies and how the design of compensation systems may best take into account the competencies required by a firm. An analysis was conducted on a sample of manufacturing firms using structural equation models. The findings support the existence of generic competencies, such as results and customer orientation, which are found in both prospector and defender strategic contexts, while other competencies – such as innovation, technical expertise and adaptability – are specific to the prospector strategy. In relation to compensation, the results show that skill-based pay is more strongly associated with competencies such as innovation, technical expertise and adaptability, whereas performance-based compensation systems encourage result-based competency. Therefore, the design of a compensation system should be guided by the competencies required as part of a firm's strategy.     

我国消费、投资及净出口与经济增长研究--基于资源与环境的双重约束

基于我国1998-2010年的宏观经济数据,文章通过建立联立方程模型,对我国消费、投资及净出口与经济增长进行实证分析。结果表明：我国的经济增长与资源消耗之间存在着“倒U型”的非线性曲线关系;消费、投资及净出口增长对我国经济增长的拉动效应不同,其中居民消费的拉动效率最强;产业结构升级对资源消耗的抑制作用较为显著。     

A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates

Abstract

Control variates are often used to reduce variability in Monte Carlo estimates and their effectiveness is traditionally measured by the so-called speed-up factor. The main objective of this paper is to demonstrate that a control variate can also be applied to reduce the bias stemming from the discretization of the state variable dynamics. This is particularly valuable when stochastic interest rate models are discretized, since bias reduction through more grid points is computationally expensive.     

Pseudospectral methods for pricing options

Models with two or more risk sources have been widely applied in option pricing in order to capture volatility smiles and skews. However, the computational cost of implementing these models can be large—especially for American-style options. This paper illustrates how numerical techniques called ‘pseudospectral’ methods can be used to solve the partial differential and partial integro-differential equations that apply to these multifactor models. The method offers significant advantages over finite-difference and Monte Carlo simulation schemes in terms of accuracy and computational cost.     

Regional consumption of antibiotics: A demand system approach

Through this paper, we have attempted to model the demand for different classes of antibiotics used for respiratory infections in outpatient care in Switzerland using a spatial version of the linear approximate Almost Ideal Demand System (AIDS) model. This model takes spatial dependency into account by means of spatial lags of antibiotic budget shares. We control for the health status of patients and the potential harmful effects of antibiotic use in terms of bacterial resistance. Elasticities to socioeconomic determinants of consumption and own- and cross-price elasticities between different groups of antibiotic have also been computed in this paper. Significant cross-price elasticities are found between newer or more expensive generations and older or less expensive generations of antibiotics.     

Short‐run and long‐run dynamics of farm land allocation: panel data evidence from Denmark1

This study develops and estimates a dynamic multi‐output model of farmers’ land allocation decisions that allows for the gradual adjustment of allocations that can result from crop rotation practices and quasi‐fixed capital constraints. Estimation is based on micro‐panel data from Danish farmers that include acreage, output, and variable input utilization at the crop level. Results indicate that there are substantial differences between the short‐run and long‐run land allocation behaviour of Danish farmers and that there are substantial differences in the time lags associated with different crops. To our knowledge, this is the first dynamic micro‐model of land allocation estimated on data from the temperate climate zone. Since similar farming conditions are found in northern Europe and parts of the United States and Canada, this result may be of wider interest.