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排序方式: 共有75条查询结果,搜索用时 15 毫秒
1.
This paper proposes a pricing model for the FDIC's reinsurance risk. We derive a closed‐form Weibull call option pricing model to price a call‐spread a reinsurer might sell to the FDIC. To obtain the risk‐neutral loss‐density necessary to price this call spread we risk‐neutralize a Weibull distributed FDIC annual losses by a tilting coefficient estimated from the traded call options on the BKX index. An application of the proposed approach yield reasonable reinsurance prices. 相似文献
2.
Vibhas Madan 《The Canadian journal of economics》2000,33(1):53-68
In this paper the structure of intra-firm trade within the context of transfer price manipulation by a multinational firm is endogenized. 'High' and 'low' values of host-country tax rates give rise to intra-firm trade in final goods and intermediate inputs, and 'intermediate' values of the tax rate are associated with intra-firm trade in either the intermediate inputs or the final goods only. Higher tariffs and stricter local content restrictions bias intra-firm trade towards intermediate-good trade and final-good trade, respectively. In the presence of endogenous transfer prices host-country sales may increase if the multinational faces stricter trade restrictions and higher host-country tax rates. JEL Classification: F23, F12
Prix de cession interne et structure du commerce itnra-firme. Ce mémoire endogénéise la structure du commerce intra-firme dans le contexte d'un modèle qui permet la manipulation du prix de cession interne par une firme plurinationale. Des taux de taxation hauts et bas par le pays hôte entraînent un commerce international intra-firme tant dans les biens finaux que dans les intrants intermédiaires; des taux moyens de taxation sont associés à un commere intra-firme soit dans les intrants intermédiaires, soit dans les biens finaux mais pas dans les deux. Des droits de douane élevés et des restrictions sur le contenu intérieur plus importantes créent des distorsions en faveur du commerce intra-firme dans les biens intermédiaires et dans les biens finaux respectivement. Quand il existe des prix de cession interne endogènes, les ventes de la firme nationale peuvent s'accroître si la firme plurinationale fait face à des restrictions au commerce plus importantes et à des taux de taxation plus élevés de la part du pays hôte. 相似文献
Prix de cession interne et structure du commerce itnra-firme. Ce mémoire endogénéise la structure du commerce intra-firme dans le contexte d'un modèle qui permet la manipulation du prix de cession interne par une firme plurinationale. Des taux de taxation hauts et bas par le pays hôte entraînent un commerce international intra-firme tant dans les biens finaux que dans les intrants intermédiaires; des taux moyens de taxation sont associés à un commere intra-firme soit dans les intrants intermédiaires, soit dans les biens finaux mais pas dans les deux. Des droits de douane élevés et des restrictions sur le contenu intérieur plus importantes créent des distorsions en faveur du commerce intra-firme dans les biens intermédiaires et dans les biens finaux respectivement. Quand il existe des prix de cession interne endogènes, les ventes de la firme nationale peuvent s'accroître si la firme plurinationale fait face à des restrictions au commerce plus importantes et à des taux de taxation plus élevés de la part du pays hôte. 相似文献
3.
Madan Annavarjula PhD Jack W. Trifts PhD 《Journal of Teaching in International Business》2013,24(3):222-235
Practical project experience as a means of augmenting traditional classroom learning has long been viewed as a value adding curricular exercise. While students participating in the projects gain valuable skills that will enhance their personal marketability, successful projects also benefit the client companies involved and help enhance the image of the university. Substantial effort goes into planning and implementing such an experience and involves extensive coordination with multiple constituents. This article details how a project-based capstone experience was developed in partnership with the local business community and the College's Center for International Business as part of the degree requirements for a relatively new Bachelor of Science in International Business program. 相似文献
4.
The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite arrival rate of jumps as models for the logarithm of asset prices. These processes may be written as time-changed Brownian motion. We exhibit the explicit time change for each of a wide class of Lévy processes and show that the time change is a weighted price move measure of time. Additionally, we present a number of Lévy processes that are analytically tractable, in their characteristic functions and Lévy densities, and hence are relevant for option pricing. 相似文献
5.
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that are solutions to Ornstein-Uhlenbeck equations driven by one-sided discontinuous Lévy processes permitting correlation with the stock. Positive stock price processes are obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating these processes. The characteristic functions for the log price can be used to yield option prices via the fast Fourier transform. In general mean-corrected exponentiation performs better than employing the stochastic exponential. It is observed that the mean-corrected exponential model is not a martingale in the filtration in which it is originally defined. This leads us to formulate and investigate the important property of martingale marginals where we seek martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date. 相似文献
6.
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 相似文献
7.
For longer horizons, assuming no dividend distributions, models for discounted stock prices in balanced markets are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail to have this property, new models are proposed. The new concept of a balanced market proposed here permits a distinction between such markets and unduly optimistic or pessimistic ones. A tractable example is developed and termed the discounted variance gamma model. Calibrations to market data provide empirical support. Additionally, procedures are presented for the valuation of path dependent stochastic perpetuities. Evidence is provided for long dated equity linked claims paying coupon for time spent by equity above a lower barrier, being underpriced by extant models relative to the new discounted ones. Given the popularity of such claims, the resulting mispricing could possibly take some corrections. Furthermore for these new discounted models, implied volatility curves do not flatten out at the larger maturities. 相似文献
8.
For data on market prices for 246 cliquets we consider pricing these exotic options using a relatively simple path space. The path space is subsequently stressed to market implied stress levels as well as stress levels predicted from contract characteristics. An additive process transitioning from a Sato process to a Levy process is formulated and estimated on vanilla options. Ask prices constructed from predicted stress levels are observed to have an in sample correlation of 92% with market prices. Interestingly, it is observed that capped cash flows have negative stress levels while uncapped products have positive stress levels. We illustrate the effect of hedging cliquet liabilities using call options as hedging assets permitting a 10% reduction in ask prices. 相似文献
9.
Dilip B. Madan 《Review of Derivatives Research》2009,12(3):213-230
We show that there are two distinct ways to make volatility stochastic that are differentiated by their consequences for skewness. Most models in the literature have adopted the relatively tractable methodology of using stochastic time changes to engineer stochastic volatility. Unfortunately, this is also the one that can conflict with the relationship occasionally observed in markets between volatility and skewness. Research enhancing the tractability of the second approach to stochastic volatility based on scaling is called for. 相似文献
10.
Jiatao Li Katherine Xin Madan Pillutla 《International Journal of Human Resource Management》2013,24(2):320-337
Many international joint ventures (IJVs) fare poorly. An important factor is that members of an IJV top management team (TMT), which generally comprises people from different cultures, often find it difficult to work together. In this paper we argue that social identity theory and organizational identification processes can help us understand why this is so. We propose that factionalism in a TMT is a significant hazard posed by member identification with different parents. In addition, identification with both the IJV and a parent firm can lead to significant role conflict for IJV top managers. Factionalism and role conflict in turn can result in poor intra-TMT communications and inefficient decision making. Literature in social identity theory and organizational identification suggests that the relative status and power of parents as well as successes of IJVs can affect TMT members' identification with the IJV or the parent company. Preliminary field interviews provide general support for these propositions. Our analysis suggests that organizational identity and identification can be a valuable tool to facilitate the understanding of TMT functioning and IJV performance. 相似文献