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Kan Chen Professor Lech Zacher Professor 《Technological Forecasting and Social Change》1978,11(2):97-105
A cross-national understanding of technology policy decision processes and basic premises underlying technology assessment must be established before an effective technology assessment methodology can be developed to conduct substantive technology assessments on an international scale. 相似文献
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In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math. Comput. 2017, 293, 461–479], for pricing European options in the context of the model calibration. A highly efficient method results, with many very interesting and nontrivial components, like Fourier inversion for the sum of log-normals, stochastic collocation, Gumbel copula, correlation approximation, that are not yet seen in combination within a Monte Carlo simulation. The present multiple time step Monte Carlo method is especially useful for long-term options and for exotic options. 相似文献
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Piotr Zientara Lech Kujawski Paulina Bohdanowicz-Godfrey 《Journal of Sustainable Tourism》2013,21(6):859-880
This study, based on data collected from low-ranking employees working in Polish hotels, tests a research model that investigates whether there are links between corporate social responsibility (CSR), operationalized as “self-related” CSR experiences and “others-related” CSR experiences, and job satisfaction and organizational commitment, and between both attitudes and work engagement. Structural equation modelling was used to assess these relationships, using a 20 point questionnaire answered by 412 respondents. The results indicate that “others-related” CSR experiences are positively associated with satisfaction and commitment, while “self-related” CSR experiences with the latter variable. Likewise, organizational commitment, unlike job satisfaction, was linked to work engagement. However, contrary to our a priori assumptions and prior research, it turned out that job satisfaction was not a predictor of commitment. The paper discusses theoretical and practical implications of the findings. The study's most important practical implication is that Polish hotel employees attach weight to responsible behaviour: the hotel industry should perceive CSR in terms of strategic significance. Companies that want a committed and engaged workforce – and, by extension, to enhance their competitiveness – should embrace CSR. The paper concludes by highlighting its limitations and suggesting future research avenues. 相似文献
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In this article we define a multi-factor equity–interest rate hybrid model with non-zero correlation between the stock and interest rate. The equity part is modeled by the Heston model and we use a Gaussian multi-factor short-rate process. By construction, the model fits in the framework of affine diffusion processes, allowing fast calibration to plain vanilla options. We also provide an efficient Monte Carlo simulation scheme. 相似文献
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Anthonie W. van der Stoep Lech A. Grzelak Cornelis W. Oosterlee 《Quantitative Finance》2017,17(9):1347-1366
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant. Finance, 2014, 14, 1899–1922], Piterbarg [Risk, 2007, April, 84–89], Tataru and Fisher [Quantitative Development Group, Bloomberg Version 1, 2010], Lipton [Risk, 2002, 15, 61–66]—and the local volatility model incorporating stochastic interest rates—see e.g. Atlan [ArXiV preprint math/0604316, 2006], Piterbarg [Risk, 2006, 19, 66–71], Deelstra and Rayée [Appl. Math. Finance, 2012, 1–23], Ren et al. [Risk, 2007, 20, 138–143]. For both model classes a particular (conditional) expectation needs to be evaluated which cannot be extracted from the market and is expensive to compute. We establish accurate and ‘cheap to evaluate’ approximations for the expectations by means of the stochastic collocation method [SIAM J. Numer. Anal., 2007, 45, 1005–1034], [SIAM J. Sci. Comput., 2005, 27, 1118–1139], [Math. Models Methods Appl. Sci., 2012, 22, 1–33], [SIAM J. Numer. Anal., 2008, 46, 2309–2345], [J. Biomech. Eng., 2011, 133, 031001], which was recently applied in the financial context [Available at SSRN 2529691, 2014], [J. Comput. Finance, 2016, 20, 1–19], combined with standard regression techniques. Monte Carlo pricing experiments confirm that our method is highly accurate and fast. 相似文献
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Marcin Lech 《投资与合作》2013,(8)
The aim of this article is a presentation of the selected issues concerning the conception and contemporary perception of the legal order dealing with self-contained regime and the significance of the ... 相似文献
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