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。     

EU security sector reform in Bosnia and Herzegovina: Reform or resist?

ABSTRACT

Attempts to explain the failure to reform the security sectors in post-conflict countries have often resorted to two sets of explanatory factors: international and local factors. This article seeks to move from that unhelpful dichotomy to an explanation linking both factors. Drawing on a Foucauldian approach and the concept of “counter-conduct,” it examines the rationality and practices of European Union (EU) governmentality and how governing technologies are resisted and reversed by local elites involved in security sector reform (SSR). Instead of understanding power and resistance as binary opposites, this article argues that counter-conduct can be conceived as implicated in the very relations of power that it seeks to resist. To tease out these relations, the article analyzes the EU's efforts in SSR in Bosnia and Herzegovina, where it identifies four forms of counter-conduct: upholding European standards, using the local ownership trap, simulating reforms, and lowering the bar.     

Sharing the load: factors in supporting local armed groups in insurgencies

Most counterinsurgency campaigns have featured the use of some form of local defense forces. Such forces have had a somewhat mixed record, both in their usefulness in actually countering insurgents and in their longer-term impact on internal security. This article focuses on historical cases that provide lessons for the best operational and strategic uses of local defense forces and measures to control their activities.     

Technical note: A computationally efficient algorithm for undiscounted Markov decision processes with restricted observations

We present a computationally efficient procedure to determine control policies for an infinite horizon Markov Decision process with restricted observations. The optimal policy for the system with restricted observations is a function of the observation process and not the unobservable states of the system. Thus, the policy is stationary with respect to the partitioned state space. The algorithm we propose addresses the undiscounted average cost case. The algorithm combines a local search with a modified version of Howard's (Dynamic programming and Markov processes, MIT Press, Cambridge, MA, 1960) policy iteration method. We demonstrate empirically that the algorithm finds the optimal deterministic policy for over 96% of the problem instances generated. For large scale problem instances, we demonstrate that the average cost associated with the local optimal policy is lower than the average cost associated with an integer rounded policy produced by the algorithm of Serin and Kulkarni Math Methods Oper Res 61 (2005) 311–328. © 2008 Wiley Periodicals, Inc. Naval Research Logistics 2009     

A model to design recreational boat mooring fields

This article develops a mathematical model and heuristic algorithm to design recreational boating mooring fields. The boating industry is important to the Florida economy, and boat storage is becoming a concern among those in the industry. The mooring field design problem is formulated to maximize the total number of boat feet moored in the mooring field. In the model, we allow two adjacent moorings to overlap, which introduces a risk that under certain conditions the boats on these moorings could contact each other. We identify the conditions when contact is possible and quantify the probability of contact. The mooring field design problem is formulated as a nonlinear mixed‐integer programming problem. To solve the problem, we decompose it into two separate models, a mooring radii assignment model and a mooring layout model, which are solved sequentially. The first is solved via exhaustive enumeration and the second via a depth‐first search algorithm. Two actual mooring fields are evaluated, and in both cases our model leads to better layouts than ones experts developed manually. The mooring field design model rationalizes the mooring field design and shows that in one case by increasing the risk from 0 to 1%, the mooring efficiency increases from 74.8% to 96.2%. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2009     

Implementing the Global Strategy where it matters most: the EU’s credibility deficit and the European neighbourhood

The EU Global Strategy (EUGS) is a broad and ambitious document in terms of its geographic scope and thematic priorities. However, the EU cannot devote equal attention to all aspects of the EUGS; so there is still scope for more clarity regarding the EU’s core strategic aims. This article argues that in addition to fostering internal cohesion, the EU’s strategic priority must involve stabilizing its own neighbourhood. This task has challenged the EU for decades because of an inherent credibility deficit regarding the EU’s own capabilities, yet the EUGS does not diagnose and remedy this problem as effectively as it could have. Therefore much more work will need to be done in terms of reforming EU institutions and developing common capabilities if the EU hopes to achieve its central internal and external security goals as outlined in the EUGS and related policy statements.     

Implementing sustainable mission command in the Hellenic Army

The modern Mission Command philosophy in military operations originated with the German concept of Auftragstaktik (mission tactics). It emphasizes in general terms the exercise of disciplined initiatives by subordinates during the execution of mission-type orders in the course of military operations that are conducted within the overall intent of a commander. The present paper contains an overview of the historical evolution of the mission command concept and its application. The paper compares the mission command concept with the detailed or linear method of command. This paper focuses on the relevance of the mission command concept for the Hellenic Land Forces (HLF) in Greece. The paper provides a historical account on when and where mission command was successfully exercised by the Hellenic Armed Forces in the modern military history of Greece. The authors support the premise that the mission command concept is essential for safeguarding Greek national security in the current environment of evolving symmetric and asymmetric threats, and in meeting operational challenges in a diverse and difficult terrain. The paper examines the cultural reasons that have impeded the adoption of the mission command concept within the HLF and recommends a three-phase model for its permanent implementation.