随机利率情形下幂型期权定价问题

利用随机微分方程，鞅方法及测度变换等方法，讨论了随机利率情形下的幂型期权定价模型，并得到了随机利率情形下的幂型期权定价公式。     

具有随机寿命的二维期权定价

由于期权合约在到期日之前可能被终止及标的资产的价格可能会因重大信息的到达而发生跳跃 ,文中在假设合约被终止的风险与重大信息导致的价格跳跃风险皆为非系统的风险情况下 ,应用无套利资本资产定价及Feynman kac公式 ,首先研究了标的资产服从连续扩散过程和跳—扩散过程具有随机寿命的交换期权定价 ,得到相应的定价公式 ;然后 ,研究了标的资产服从跳—扩散过程及利率随机变化具有随机寿命的期权定价 ,得到相应的定价公式     

可转换债券的复合期权定价模型

可转换债券是一种内含期权结构的特殊金融产品。可转换债券的内含期权是一种奇异期权——复合期权。本文通过分别对无期权债券和复合期权的定价，获得了可转换债券在风险中性条件下的定价模型。     

市场与认识

当代社会中市场机制成了经济体制的主导与主流,因此我们有必要从认识论的角度考察市场机制。在市场经济中价格具有重要的认识功能,价格是数量化的,它使复杂的市场交易权衡过程有了精确的刻度、标尺,同时通过了解某种商品的价格,在宏观上判断这种商品的市场行情与趋势;市场决策是在有限的认识资源条件下的认识活动,是一种处理不完全信息的理性活动;市场认识的重要特征是预见性,市场认识的重要问题是市场预测的准确性和科学性;市场具有博弈性,掌握市场认识的博弈性质及规律可以丰富认识论的研究;市场经济需要政府干预,但政府在认识和决策时也要受到约束和限制,所以市场与政府的认识是互补的。     

基于图像欧式距离的KPCA SAR图像目标识别算法

针对传统KPCA方法识别SAR图像时需首先对图像进行拉直处理问题进行研究,借助于图像欧式距离,提出了一种基于图像欧式距离的核函数构建方法,给出了3种基于图像欧式距离的核函数,并将其应用SAR图像识别中.以实测MSTAR数据为例,给出了识别结果和仿真分析,结果证明了该算法能够有效克服传统KPCA方法的局限性,是一种可行的方法.     

论军品价格及其控制

改革单一计划价格体制,实行双轨制价格政策,乃是为实现计划与市场相结合的一种科学选择,对我军后勤保障产生着重大的影响,使得军品的价格成为军事经济管理的“神经元”,军工产品定价成为军队和军工企业关注的焦点。为此,探讨军品双轨制价格对军品采购的影响和军工产品定价的控制问题,其理论意义和现实意义都是十分重要的。 (一) 我国40多年的社会主义建设实践告诉我们,计划经济与市场调节必须结合起来。单一的计划经济体制向有计划的商品经济体制转换,价格模式必然相应地由计划价格模式转向计划与市场相     

三种菌种药材勿盲目发展

据专家分析,以下三种菌类药材不可盲目发展。一是灵芝,市场供过于求,价格直泻不止。二是仙人伞(竹荪)。近年生产过剩,价格直坠谷底。该品种属高档药食两用品种,由于价格昂贵,工薪消费者难以接受;部分宾馆用量有限,积压严重,虽价     

团场农业迎接市场挑战的对策

国有农牧团场是兵团发展的基础,农业仍是团场发展的经济支柱,就绝大多数团场而言,可以说,没有农业的发展就没有团场经济的振兴。近年来,团场农业在连续获得多年丰收以后,出现了一些新情况、新问题。国家棉花收购新政策出台以来,产品相继出现销售不畅、价格下跌,职工负担过重、收入下降。团场农业从计划经济、产品经济向市场经济体制转换的过程中,如何通过主观努力化解各种不利因素,迎接新的挑战,必须采取相应对策。一、尽快完成由传统农业向现代农业观念和思路的转变。在计划经济时期,团场农业生产"种什么,种多少"都有统一计划,广种薄收,生产的产品全部交国家,分配上采取平均主义等。而在市场经济的新形势下,生产什么,生产多少,都要受到市场供求关系的影响,企业的产、加、销每一环节都与市场有紧密的联系。从农业发展的总体态势来看,出现了一些新变化:一是农产品自产自足、自食自用的比例越来越小,商品率越来越高,市场的需求和价格状况对农业效益起着决定作用;二是农产品市     

军事装备价格管理研究

军事装备是一种特殊的商品,在价格的形成、市场的类型等方面有一些特殊性质。因而,要搞好军事装备价格管理,必须在价格管理制度与工作程序上形成有中国特色的装备价格法规体系,全面落实竞争机制,实行全寿命周期费用管理方法,对不同类型的装备采取不同的价格管理模式。     

军用桥梁随机振动有限元分析研究:多个及分布随机荷载作用下梁的随机响应

本文利用桥梁的振型函数,对多个及分布随机荷载作用下梁的随机振动,用分离变量法将持动微分方程分散为一组常微分方程从而将弹性体的随机振謦换为常系数线性系统的随机振动,通过建立梁的频率响应函数和单位脉冲响应函数,利用有限元方法求解方程。     

Auctions in the post‐change‐order period

A change order is frequently initiated by either the supplier or the buyer, especially when the contract is long‐term or when the contractual design is complex. In response to a change order, the buyer can enter a bargaining process to negotiate a new price. If the bargaining fails, she pays a cancellation fee (or penalty) and opens an auction. We call this process the sequential bargaining‐auction (BA). At the time of bargaining, the buyer is uncertain as to whether the bargained price is set to her advantage; indeed, she might, or might not, obtain a better price in the new auction. To overcome these difficulties, we propose a new change‐order‐handling mechanism by which the buyer has an option to change the contractual supplier after bargaining ends with a bargained price. We call this the option mechanism. By this mechanism, the privilege of selling products or services is transferred to a new supplier if the buyer exercises the option. To exercise the option, the buyer pays a prespecified cash payment, which we call the switch price, to the original supplier. If the option is not exercised, the bargained price remains in effect. When a switch price is proposed by the buyer, the supplier decides whether or not to accept it. If the supplier accepts it, the buyer opens an auction. The option is exercised when there is a winner in the auction. This article shows how, under the option mechanism, the optimal switch price and the optimal reserve price are determined. Compared to the sequential BA, both the buyer and the supplier benefit. Additionally, the option mechanism coordinates the supply chain consisting of the two parties. © 2015 Wiley Periodicals, Inc. Naval Research Logistics 62: 248–265, 2015     

基于VAR的物价对舰船维修工时费率影响的动态计量分析

在相关性、平稳性和协整性检验基础上,建立舰船维修工时费率与物价之间的VAR模型,并借助Granger因果关系检验、脉冲响应函数分析和方差分解对模型进行动态分析.研究发现:物价与舰船维修工时费率之间存在长期均衡关系,两者互为Granger原因;工时费率会对物价变化产生及时的正向响应,并具有长效性,短期内工时费率受自身惯性的影响较大,随后物价对其影响的贡献率迅速上升,达到与其自身惯性相近的均衡状态;物价对工时费率变化的响应有1 a的时滞,且响应程度相对较小.长期来看,两者相互影响的关系使得工时费率呈波动上升的趋势.     

A note on a maximin disposal policy under nwue pricing

For the classical disposal model for selling an asset with unknown price distribution which is NWUE (new worse than used in expectation) with a given finite mean price, this note derives a policy which is maximin. The gain in using the maximin policy relative to the option of selling right away is convex decreasing in the continuation cost to mean price ratio. The relevant results of Derman, Lieberman and Ross also follow as a consequence of our analysis. Our theorem provides a practical justification of their main result on the cutoff bid for the disposal model subject to NWUE pricing.     

Addressing the “headwinds” faced by the European arms industry

ABSTRACT

The European arms industry is challenged by several adverse “headwinds.” Fragmentation leads to costly duplications and, in conjunction with stagnating budgets and sharply increasing costs, prevents firms from exploiting economies of scale and learning. This is exacerbated by size differentials vis-a-vis the leading US arms manufacturers and competition from emerging producers. As some “headwinds” are self-enforcing, far-reaching industrial and policy responses are required to improve the industry's outlook. As exports may not indefinitely compensate for low domestic demand, there is an economic imperative for further cross-border collaboration and consolidation. Despite various EU policy initiatives, progresses regarding the European Defence Equipment Market and strengthening the European Defence Technological Industrial Base have been relatively slow. It remains to be seen whether the European Defence Fund will be the proclaimed “game-changer,” raising competitiveness of the European arms industry. At the same time, the UK's withdrawal from the EU adds uncertainties.     

Supply chain coordination with shelf‐space and retail price dependent demand and heterogeneous retailers

We consider supply chain coordination in which a manufacturer supplies some product to multiple heterogeneous retailers and wishes to coordinate the supply chain via wholesale price and holding cost subsidy. The retail price is either exogenous or endogenous. The market demand is described by the market share attraction model based on all retailers'shelf‐spaces and retail prices. We obtain optimal solutions for the centralized supply chain, where the optimal retail pricing is a modified version of the well‐known cost plus pricing strategy. We further get feasible contracts for the manufacturer to coordinate the hybrid and decentralized supply chains. The manufacturer can allocate the total profit free to himself and the retail market via the wholesale price when the retail price is exogenous, but otherwise he cannot. Finally, we point out that different characteristics of the retail market are due to different powers of the manufacturer, and the more power the manufacturer has, the simpler the contract to coordinate the chain will be. © 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010     

Efficiency of equilibria in restricted uniform machine scheduling with total weighted completion time as social cost

In the last decade, there has been much progress in understanding scheduling problems in which selfish jobs aim to minimize their individual completion time. Most of this work has focused on makespan minimization as social objective. In contrast, we consider as social cost the total weighted completion time, that is, the sum of the agent costs, a standard definition of welfare in economics. In our setting, jobs are processed on restricted uniform parallel machines, where each machine has a speed and is only capable of processing a subset of jobs; a job's cost is its weighted completion time; and each machine sequences its jobs in weighted shortest processing time (WSPT) order. Whereas for the makespan social cost the price of anarchy is not bounded by a constant in most environments, we show that for our minsum social objective the price of anarchy is bounded above by a small constant, independent of the instance. Specifically, we show that the price of anarchy is exactly 2 for the class of unit jobs, unit speed instances where the finite processing time values define the edge set of a forest with the machines as nodes. For the general case of mixed job strategies and restricted uniform machines, we prove that the price of anarchy equals 4. From a classical machine scheduling perspective, our results establish the same constant performance guarantees for WSPT list scheduling. © 2012 Wiley Periodicals, Inc. Naval Research Logistics, 2012     

Optimal control of price through restricted production

Consider a regulated monopolist whose current profits would be maximized if they could charge a price p?, where p? exceeds the current market price. By reducing production below current consumer demand the monopolist can create an illusion of a shortage and induce the regulator to allow a price increase. Conditions are given for which the production rate that maximizes the monopolist's expected discounted profits over an infinite horizon will have the property that the amount of unsatisfied consumer demand will be a non-increasing function of current market price.     

Strategic dynamic sourcing from competing suppliers with transferable capacity investment

We study the supplier relationship choice for a buyer that invests in transferable capacity operated by a supplier. With a long‐term relationship, the buyer commits to source from a supplier over a long period of time. With a short‐term relationship, the buyer leaves open the option of switching to a new supplier in the future. The buyer has incomplete information about a supplies efficiency, and thus uses auctions to select suppliers and determine the contracts. In addition, the buyer faces uncertain demand for the product. A long‐term relationship may be beneficial for the buyer because it motivates more aggressive bidding at the beginning, resulting a lower initial price. A short‐term relationship may be advantageous because it allows switching, with capacity transfer at some cost, to a more efficient supplier in the future. We find that there exists a critical level of the switching cost above which a long‐term relationship is better for the buyer than a short‐term relationship. In addition, this critical switching cost decreases with demand uncertainty, implying a long‐term relationship is more favorable for a buyer facing volatile demand. Finally, we find that in a long‐term relationship, capacity can be either higher or lower than in a short‐term relationship. © 2009 Wiley Periodicals, Inc. Naval Research Logistics 2009     

Introduction: one-and-a-half cheers for the EU Global Strategy

EU High Representative Federica Mogherini presented her EU Global Strategy (EUGS) in June 2016. Encircled by security crises, it is difficult to think of something more important for Europe than collective action with the aim of weathering the storm. The EUGS, in this respect, seeks to define common ends and identify means. So what do we make of the EUGS? What does the EUGS tell us about the current role of the EU in global affairs? And how will the withdrawal of the UK from the EU affect foreign and security policy? As a way of introduction to the forum, this article notes that the EUGS focuses on the neighbourhood, puts the interests of European citizens first, identifies civilian means, and has created momentum on security policy. The key question, however, remains whether there is any interest in the EUGS beyond the foreign policy elites.