关于企业成本管理的探讨

成本管理是预算管理和绩效管理的前提,企业需要正确地将成本进行分类、计量和归集。恰当的成本管理制度可以帮助企业提升运营效率和业务绩效,同时企业的流程改善、突破和优化与成本管理密不可分。另外,管理者需要令客户对产品和服务满意,并且有效控制各项成本。企业成本管理不是单纯地降低成本,而是通过利用成本分析工具,有效地管理和规划资源,进而提高总体运营效率,保证企业总体绩效的持续改善。论文通过成本计算制度的制定方法和业务流程改善分析技术两方面对成本管控进行探讨。     

Hedging and pricing early-exercise options with complex fourier series expansion

We introduce a new numerical method called the complex Fourier series (CFS) method proposed by Chan (2017) to price options with an early-exercise feature—American, Bermudan and discretely monitored barrier options—under exponential Lévy asset dynamics. This new method allows us to quickly and accurately compute the values of early-exercise options and their Greeks. We also provide an error analysis to demonstrate that, in many cases, we can achieve an exponential convergence rate in the pricing method as long as we choose the correct truncated computational interval. Our numerical analysis indicates that the CFS method is computationally more comparable or favourable than the methods currently available. Finally, the superiority of the CFS method is illustrated with real financial data by considering Standard & Poor’s depositary receipts (SPDR) exchange-traded fund (ETF) on the S&P 500® index options, which are American options traded from November 2017 to February 2018 and from 30 January 2019 to 21 June 2019.     

Replacement Investment: Optimal Economic Life Under Uncertainty

Replacement investment is essentially a regenerative optimal stopping problem; that is, the key decision concerns when to terminate the life of existing plant – and hence when to start over again. This paper examines this optimisation problem within a continuous time framework and studies the qualitative and quantitative impact of uncertainty on the timing of new investment (and the criteria that should be used for terminating the life of existing plant).     

A note on the existence of unique equivalent martingale measures in a Markovian setting

Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved.     

Valley floor landscape change following almost 100 years of flood embankment abandonment on a wandering gravel‐bed river

Critical to restoring the nature conservation value of many river corridors is an understanding of how alluvial landscapes will respond to cessation of river management and land use practices that have previously degraded the environment. This paper analyses changes in valley floor landforms and vegetation patch dynamics, in relation to fluvial disturbance, over a period of almost 100 years following flood embankment abandonment on a wandering gravel‐bed river, namely the River Tummel, Scotland. Such rivers were once typical of many draining upland areas of northern maritime Europe. Prior to abandonment the valley floor landscape was agriculturally dominated and the river for the most part was single thread confined between flood embankments. The pattern of landform change and vegetation patch development over time following a decision in 1903 not to maintain embankments was tracked by geomorphic and land cover mapping utilizing successive sets of aerial photography for the period 1946 to 1994. A historical context for these changes was also feasible because the channel planform in 1900 and earlier channel planform changes dating back to 1753 were known due to the availability of old maps and earlier geomorphic studies. The land cover mapping was validated by comparison of results produced from the interpretation work on the 1994 aerial photographs with the field‐based UK National Vegetation Classification protocol. The findings of the study illustrate that bordering the River Tummel fluvial landforms and vegetation patch mosaics, presumably resembling those that occurred before valley floor land use intensification, evolved in less than 50 years after flood embankment abandonment with a resultant increase in habitat diversity. The change relates primarily to flood‐induced channel planform change and moderate levels of fluvial disturbance. The general significance of this change to plant species diversity on the valley floor of the River Tummel and elsewhere is discussed as is possible implications of the upstream impoundment and scenarios for climatically induced changes in flood frequency and magnitude. The overall outcome is the strong possibility that simple changes in river management and land use practices could result in re‐establishment of the nature conservation value of similar river corridors in Europe over the medium term without active restoration efforts. Copyright © 2002 John Wiley & Sons, Ltd.     

Formal business process engineering based on graph grammars

Designing and managing a company's specific landscape and its business processes has been identified as a great challenge for several years. Business processes are highly dynamic and distributed and can only rarely be planned, modeled and analyzed completely. For a computer-aided business process system, which supports the designing and managing process, first of all a powerful uniform formalism is necessary, where all necessary knowledge concerning company's and its processes can be represented. In this paper we will concentrate on the introduction of such a formal methodology to describe business processes, company organization structures and information technology structures in one uniform formalism. The ideas we use are mainly based on methods from graph grammars, process management, Artificial Intelligence and business process (re)engineering.     

QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein–Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed.     

Asymptotically optimal estimation of smooth functionals for interval censoring, part 1

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.     

基于降雨-径流试验的高寒草甸产流机制研究

对黄河源区高寒草甸产流机制进行研究,为河源区生态环境保护、水资源科学规划管理提供基础水文理论认知。基于野外降雨-径流试验,通过回归分析构建考虑坡度和覆被因子的暴雨和中小雨产流计算模式,精度良好,能够反映暴雨和中小雨2种降雨模式下高寒草甸产流的一般特征。试验结果表明,因草甸土-植体系蓄容能力较强,高寒草甸区地表产流主要发生在暴雨模式下,中小雨模式下的地表产流量一般很小。模式应用表明,草甸发生退化后,暴雨和中小雨入渗均有减少,暴雨模式下退化草甸比高覆草甸入渗减少约12%,中小雨模式下减少约3%。     

Benchmarking Fluvial Dynamics for Process‐Based River Restoration: the Upper Rhine River (1816–2014)

Multi‐temporal analysis of river‐floodplain processes is a key tool for the identification of reference conditions or benchmarks and for the evaluation of deviations or deficits as a basis for process‐based river restoration in large modified rivers. This study developed a methodology for benchmarking fluvial processes at river segment level, focusing on those interrelations between morphodynamics (aggradation, erosion, channel shift) and vegetation succession (initial, colonization, transition) that condition habitat structure. Habitat maps of the free‐flowing Upper Rhine River downstream from Iffezheim dam (France–Germany border) were intersected with a geographic information system‐based approach. Patches showing trajectories of anthropization, changeless, progression and regression allowed for the identification of natural and human‐induced processes over almost 200 years. Before channelization, the riverine system was characterized by a shifting habitat mosaic with natural heterogeneity, high degree of surface water connectivity and equilibrium between progression and regression processes. On the other hand, the following 175 years of human interventions led to severe biogeomorphologic deficits evidenced by loss of natural processes and habitat heterogeneity, hydrological disconnection between the river and its floodplain and imbalance of progression versus regression dynamics. The main driving forces of change are found in hydromorphological impacts (channelization, regulation and hydropower plant construction). Regression processes are now almost absent and have to be the objective of process‐based river restoration measures for the studied river‐floodplain system. A sustainable view on water management and river restoration should aim at a more resilient riverine system by balancing the recovery of natural processes with societal needs. Copyright © 2016 John Wiley & Sons, Ltd.