Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model

This paper uses a reduced‐form approach to derive a closed‐form pricing formula for defaultable bonds. The authors specify the default hazard rate as an affine function of multiple variables which follow the Lévy jump‐diffusion processes. Because such specification allows greater flexibility in the generation of a valid probability of default, their pricing model should be more accurate than the valuation models in traditional studies, which ignore the jump effects. This paper also proposes a new method for estimating the parameters in a Lévy Jump‐diffusion process. The real data from the Taiwanese bond market are used to illustrate how their model can be applied in practical situations. The authors compare the pricing results for the influential variables with no jump effects, with jump magnitudes following the normal distribution, and with jump magnitudes following the gamma distribution. The results reveal that the predictive ability is the best for the model with the jump components. The valuation model shown in this paper should help portfolio managers more accurately price defaultable bonds and more effectively hedge their portfolio holdings.     

生命周期评价方法及其应用

介绍了生命周期评价的目的、意义和基本方法，并运用该方法对燃煤发电、废纸造纸、废旧塑料气化发电等几种不同工业过程的环境影响进行了分析。     

企业激励机制模型设计中的几个问题

企业激励机制系统的设计必须以产权清晰、资本市场的发展为前提，系统模型的设计者应该是具有专业知识的专门机构，在指标设计中必须处理好数量测度与非数量测度、短期指标与长期指标、静态指标与动态指标之间的关系.     

关于教育系统电子档案的网上接收和归档管理

本文简要说明和阐述了福建省教育系统电子档案的网上接收条件、流程及其归档管理.     

安徽省中小企业学习型组织创建问题探讨

本文在对安徽省中小企业学习型组织创建问题调查的基础上,总结出了其创建过程中存在的一些阻碍因素,从而提出了企业在政府部门的倡导与帮助下创建学习型组织的对策。     

Mortgage-Backed Futures and Options

This paper empirically tests valuation models for the mortgage-backed futures-options contracts that traded on the Chicago Board of Trade (CBOT) from June of 1989 until March of 1992. A simple contingent-claim model is shown to produce call option values on mortgage-backed futures (MBF) contracts that are unbiased estimates of actual futures-options prices. The ability of the MBF contract to hedge positions in current coupon Government National Mortgage Association (GNMA) securities relative to the effectiveness of cross-hedging GNMA positions with T-note and T-bond futures contracts is also examined.     

WPS在处理质检办公文件中的合理使用

通过ＷＰＳ汉字编辑软件在处理质检办公文件的合理应用，提出了使用ＷＰＳ某些功能键的技巧，可使文件处理更规范，更完整。     

中小企业板的推出对我国创业投资的影响

2004年5月，中小企业板在深交所获准设立，一时间，围绕中小企业板对创业投资运作影响的讨论空前热烈。笔者认为，要研究中小企业板对创业投资的影响，就必须从创业板和创业投资的内在机理出发，来研究中小企业板的制度安排是否能保证二者形成良性互动，关键的就是要研究中小企业板在制度上离一个成熟的创业板有多远。目前，学者和业内人士普遍对中小企业板的作用不甚乐观，而近一年来的实践也似乎验证了这一观点，因此，加强中小企业板的制度建设，使之尽快过渡为创业板，已经成了管理者的当务之急。     

Dynamics of the federal funds target rate: a nonstationary discrete choice approach

We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short‐term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by the Fed and are believed to affect decisions to adjust interest rate targets display some nonstationarity over time. The chosen model successfully predicts the majority of the target rate changes during the time period considered (1994–2001) and helps to explain strings of similar intervention decisions by the Fed. Based on the model‐implied optimal interest rate, our findings suggest that there is a lag in the Fed's reaction to economic shocks during this period. Copyright © 2004 John Wiley & Sons, Ltd.