资产负债管理的线性规划模型

本针对公司资产与负债管理的实际，通过对资产投资组合和偿债现金流的分析，构造了单期和多期两种资产负债管理数学模型。通过引入偏差变量将模型转化为线性规划模型。该模型为公司负债管理和资产组合决策提供了一种有效的数量化方法。     

二叉树期权定价方法的一种新推广

对目前普遍使用的期权定价二叉树模型进行了分析,利用随机误差校正方法推广出了一种新型的二叉树参数模型.     

多期动态背景下的债务共谋与产品市场竞争关系模型研究

利用超博弈理论分析方法建立了多期动态背景下的债务共谋与产品市场竞争关系模型并进行了分析。发现在战略替代下，一个产业中公司之间相互竞争程度越高，则维持零负债共谋战略所需要的折现系数就越大，产业竞争程度较高的公司偏离零负债共谋的可能性越大。因此，债务共谋结论重新加强了竞争程度与最优杠杆正相关的观点。     

带机制转换和随机现金流的多期均值-方差资产负债管理问题的均衡策略

文章在马尔可夫机制转换的市场及多期均值-方差框架下研究一个带随机现金流的资产负债管理问题的均衡投资策略.随机的风险资产收益率、外生负债增长率、风险厌恶系数和现金流均依赖于有限多个服从离散时间马尔可夫链的金融市场状态.在博弈论框架下,利用逆向归纳法,文章导出问题的均衡策略、均衡值函数以及均衡有效前沿的解析表达式.此外,文章讨论了几种退化情形下的均衡结果.最后,文章通过数值例子分别分析了机制转换、随机现金流、负债以及投资期限对均衡有效前沿的影响.     

公司负债的鞅定价

鞅作为一种比较新的东西,被应用于多个领域中,尤其在金融领域的定价模型中更是得到广泛的应用.依据公司负债独特的性质,用鞅的方法得出公司负债的定价模型,并对所得模型做出相应的数值分析.     

一类随机利率下的破产时罚金折现期望

本文在经典风险模型下, 引进带有一种随机利率的破产时罚金折现期望的概念, 其利率的随机性通过标准Wiener过程和Poisson过程来描述. 给出破产时罚金折现期望所满足的更新方程, 并利用这个更新方程给出破产时罚金折现期望的渐近公式.     

带相关风险的保险公司的最优分红和再保险问题

本文的研究对象是带两种相关风险业务的保险公司.本文用复合Poisson过程描述这两种风险;应用扩散逼近理论,建立了一个扩散逼近模型.利用动态再保险策略,公司可以降低其破产概率,同时通过给客户分红,公司可以保持竞争力.公司的目标是寻找最优策略和值函数来最大化期望折现分红.因为超额损失再保险策略优于比例再保险策略,所以,本文考虑公司的超额损失再保险及其分红问题.问题分两种情形讨论:分红率有界和分红率无界.在这两种情形下,本文最终得到了值函数和相应最优策略的具体表达式.     

二叉树模型的参数估计

二叉树模型是期权定价中被广泛使用的模型之一, 其参数估计对于期权定价具有重要影响. 本文给出了一种二叉树模型参数估计方法, 该方法克服了二叉树模型经典参数估计方法的缺陷, 特别地, 消除了主观概率设定对参数估计的影响.     

二叉树指标随机场关于分枝马氏链的一类强偏差定理

本文研究了二叉树指标随机场关于分枝马氏链的一类强偏差定理.通过引入渐近对数似然比作为二叉树指标任意随机场与分枝马氏链之间偏差的一种度量,进而构造鞅的方法,获得了二叉树指标随机场关于分枝马氏链的一类强偏差定理,推广得到了二叉树指标分枝马氏链的强大数定理和渐近均分性.     

含信用风险的上限型权证期权定价

本文通过公司价值模型研究一类含信用风险的上限型权证期权的定价.一方面利用鞅的方法推导出公司负债和无风险利率为常数情况下上限型权证期权的定价;另一方面通过概率的方法推导出含信用风险的上限型权证期权定价公式,该公式推广了Black-Scholes的欧式期权定价.     

Valuation of cash flows under random rates of interest: A linear algebraic approach

This paper reformulates the classical problem of cash flow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash flows for a broad class of models of stochastic interest rate process. We show applications of the proposed method by pricing default-free and defaultable cash flows. The methodology developed in this paper is applicable to a variety of uncertain cash flow analysis problems.     

Managing a retail-competition distribution channel with incentive policies

In reality, the multi-retailer channel of distribution has occurred in many industries, such as electronics, appliances, and apparel. The practice of the supplier providing incentives to retailers to promote sales is also quite prevalent in today’s business. This paper considers a two-retailer supply chain in which the supplier provides a cash discount to a specific retailer (a senior company owning more market share and having less pressure on the utilization of capital investment) and a credit period to another (a junior company owning less market share and having more pressure on the utilization of capital investment). The end demand for each channel has a substitute effect in terms of retail prices. The research problem originates from operations of dual-retailer channels in the automotive parts and accessories industry. The objective of the supplier is to determine the cash discount and credit period to maximize his profit. Both retailers determine pricing and ordering policies to maximize profits. This paper applies a Supplier Stackelberg framework to obtain equilibrium solutions for every entity. Numerical analysis is conducted to discuss the influence retailer competition has on the decision behaviors of the supplier and retailers.     

Lot Sizes for One-Time-Only Sales

The order quantity which minimizes discounted cash flows for a one-time-only sale is determined. Current inventory may be at or exceed the usual reorder point when the sale is consummated. In the latter case, the company may decide to buy nothing, especially if a large minimum order quantity is required in order to obtain the price discount. The same model can also be used to handle the case of an impending price increase. Exact and approximate solutions are presented which recommend the order quantity, the associated cost savings, minimum acceptable percentage price discount and minimum vendor quantity requirements.     

The optimal order and payment policies for deteriorating items in discount cash flows analysis under the alternatives of conditionally permissible delay in payments and cash discount

This study investigates a deteriorating inventory problem in which the supplier simultaneously offers the retailer either a conditionally permissible delay in payments or a cash discount. In the case of a conditionally permissible delay, if the retailer orders more than a predetermined quantity, then he/she has a grace period to make the full payment. Otherwise, he/she must pay the payment for goods of certain proportion first while receiving the goods and has a grace period to pay off the rest. As to a cash discount, if the retailer pays for the entire amount of the order within a certain short period, then he/she will receive a cash discount from the supplier. In additions, from a financial standpoint, all cash outflows related to the inventory control that occur at different points of time have different values. Hence, it is necessary to take account of the factor of time value of monetary when drafting the replenishment policy. In a word, this paper uses an alternate approach-discount cash flow (DCF) analysis to establish an inventory problem for deteriorating items in which the supplier provides the retailer either a conditionally permissible delay or a cash discount. We then study the necessary and sufficient conditions for finding the optimal solution. Furthermore, we establish several theoretical results to obtain the solution that provides the smallest present value of all future cash flows. Finally, several numerical examples are given to illustrate the results and obtain some managerial insights.     

Cash flow optimization in delivery scheduling

The paper examines the inventory routing problem from the perspective of the present value of the cash flow associated with the distribution of a commodity such as propane. We analyze this problem for both deterministic and stochastic customer demands and validate our results on data from a real life distribution operation of propane. The analysis based on the present value of the cash flow indicates that optimization of propane deliveries based on efficiency/cost criteria alone will generate inferior solutions and it would be more advantageous for the company to set deliveries for a large percentage of the customers based on the present value of cash flow. In addition, in the case of stochastic demands, deliveries based on the cash flow consideration will tend to reduce the number of stockouts (i.e. improve both profit and service).     

双渠道下制造商现金流套期保值决策研究

由于汇率、利率、商品价格的变化以及双渠道供应链关系的复杂性,企业的现金流存在较大的波动性。本文研究双渠道销售模式下,制造商对现金流进行套期保值的决策问题。重点关注垄断企业在拥有一个分销商和线上销售的双渠道销售模式下,并利用内部融资将现金流用于提高生产效率时,如何根据现金流的波动程度、市场需求、替代产品敏感系数以及批发价格进行套期保值决策。研究了双渠道销售模式下制造商的均衡问题,比较了两种决策下的均衡解,并通过数值分析给出了直观的结论:市场最大需求与替代产品敏感系数增加时,企业更倾向于选择套期保值;现金流波动程度与批发价格增加时,企业更倾向于不选择套期保值。     

Capital budgeting and optimal timing of investments in flexible manufacturing systems

This paper investigates the financial-economic decision process for investments in flexible manufacturing systems (FMS). Contrary to popular belief, we show that conventional capital budgeting techniques can be used to make such investment decisions. First, we identify theoverall impact of installing an FMS and present guidelines for a cash flow forecasting model. We then present ways in which to incorporate uncertainty in these cash flows within a risk-adjusted discount rate. These expected cash flows and the discount rate are used in calculating the net present value (NPV). Once the capital budgeting analysis is completed, a critical issue facing the firm is the optimal timing of the installation. We reinterpret the general results on optimal timing of investments within the special context of an FMS project. Finally, we illustrate the above technique via a stylized example.     

期权理论在风险投资项目评估中的应用

本在对传统的现金流折现法DCF法分析基础上，引进Block-Scholes期权定价模型，对传统的DCF方法进行改进，克服了DCF方法局限性，增加了风险投资项目决策的科学性。     

Production and payment policies for an imperfect manufacturing system with discount cash flows analysis in fuzzy random environments

ABSTRACT

This paper considers an imperfect manufacturing system with credit policies in fuzzy random environments. The supplier simultaneously offers the retailer either a permissible delay in payments or a cash discount and retailer in turn provides its customer a permissible delay period. We used an alternate approach – discount cash flow analysis to establish an inventory problem. It is assumed that the elapsed time until the machine shifts from ‘in-control’ state to ‘out-of-control’ state is characterized as a fuzzy random variable. As a function of this parameter, the profit function is also a random fuzzy variable. Based on the credibility measure of fuzzy event, the model with fuzzy random elapsed time can be transformed into a crisp model . We establish several theoretical results to obtain the solution that provides the largest present value of all future cash flows. Finally, numerical example is given to illustrate the results and obtain some managerial insights.     

A Study in Equipment Replacement

A Study in optimum replacement of fork lift trucks is described, using two models. The first is related to minimum average costs per truck per year, the second uses the approach of discounted cash flow. The parameters used in these models include the purchase price, the resale value and the maintenance costs of the equipment. The effect of capital allowances for tax purposes is included.