高科技公司的合理定价

在随机控制的框架下，给出了一般的合理定价高科技公司的模型，考虑到高科技公司的管理柔性，采用动态规划和实物期权定价思想和方法，给出高科技公司价值所满足的偏微分方程，在特殊情况下，给出解析解，讨论了参数的影响，最后，给出一个应用实例。     

用实物期权分析方法评价高科技公司

在实物期权分析理论的框架下,开发了更一般的评价高科技公司的模型.利用随机动态规划和实物期权理论,本文得到了高科技公司价值所满足的偏微分方程.在特殊情况下,给出了解析解,并分析参数对高科技价值的影响,最后,给出一个实例来说明本文的结论.     

体制转换市场中股价服从带门限均值回复过程的期权定价

体制转换和门限特征是资产定价过程中的两个重要特征.本文在股价服从带门限均值回复过程而折现率含有状态切换的情况下对欧式看涨期权进行定价.首先给出股价服从无门限均值回复过程的欧式期权定价;然后,结合风险中性定价原理、超合流函数、Laplace变换等方法,给出股价服从一般情形的Volterra积分形式的欧式期权定价公式.为了进一步说明所得结论的适用性,本文最后给出了欧式看涨期权定价的差分格式解.     

LCDS pricing under structural frameworks

文中考虑贷款违约互换(LCDS)的定价模型.影响定价的两个主要因素早偿和违约分别用引入早偿强度和结构化方法来刻画.模型可转换为二维偏微分方程的定解问题,通过降维求其解给出了LCDS的保费的定价公式,并在此基础上给出数值算例.     

基于FFT的区域变换对数均匀跳扩散模型期权定价

本文考虑具有区域变换跳跃幅度服从对数均匀分布的跳扩散模型的期权定价问题.本文给出了这样模型的期权定价方法和计算过程,当中采用了FFT(快速傅里叶变换法),最后给出了数值计算结果.     

考虑绿色等级和递送时间的双渠道绿色供应链

考虑了双渠道绿色供应链的定价决策问题.在集中式、分散式和协调合同条件下分别建立了双渠道绿色供应链的最优定价模型,给出了零售商和供应商的最优定价策略.研究表明,引入利润共享合同后零售商和供应商都会比在分散式决策下获得更多的利润.最后通过数值算例对不同条件下的模型进行了比较.     

指数Lévy跳-扩散模型下欧式期权的COS定价方法

主要研究指数Lévy形式的跳-扩散模型下欧式期权的定价问题.首先,给出了模型在均值修正等价鞅测度下的风险中性特征函数;然后,基于特征函数给出了欧式期权的傅里叶COS定价方法,并对COS方法进行修正,得到了指数Lévy形式跳-扩散模型的期权定价公式;最后,通过数值实验和实证分析检验了COS定价方法有效性,结果表明COS方...     

网络服务中非线性多重两阶段定价策略

本文在基于流量的定价策略基础上,结合非线性定价方法给出了一种多重两阶段定价模型,并结合原单一定价策略构造混合定价,通过分析生产者剩余和消费者剩余,推出该模型存在帕累托改进并给出了具体的改进方法。     

分数布朗运动下奇异期权的定价

本文主要讨论了标的资产受数布朗运动影响的远期开始期权和波士顿期权定价问题,并给出了相对应的定价公式.     

管制者与管制企业的定价博弈:一个双赢策略

管制企业为了利润最大化倾向于定价高于成本较多,而管制者为了社会福利最大化期望管制企业的定价等于成本.考虑管制企业与管制者间的定价博弈问题.通过对问题的仔细分析,得到了在成本信息不对称情况下管制企业与管制者间关于定价博弈的一个双赢定价策略.最后给出了一个数值算例.     

政府对科技保险的最优财政补贴规模研究

运用机制设计理论建立信息激励模型,在完全信息、不完全信息、不完全信息加入可调整项三种情形下,对科技保险进行险种划分,得到在不同信息激励影响下的政府对保险公司的最优补贴规模.运用期望收益理论,针对科技研发成功或不成功、科技企业投保或不投保的情形,建立政府补贴投保企业的最优补贴规模模型,得出政府对投保企业补贴规模的限制范围.     

Modeling of optimal investment in science and technology

The latest achievements in science and technology lead to the development of new and more productive capital that can essentially increase a company’s profit. On the other hand, companies should invest not only in the productive capital, but also in science and technology.

The optimal control of an economic system that divides its output among the production of consumption goods, the accumulation of new capital, and the contribution to science and technology is considered. The model is expressed as nonlinear integral equations with unknowns in the integrands and lower limits of integration. An optimization problem for the profit maximization is suggested. The necessary condition for an extremum and the second variation of the functional are derived. The structure of optimal solutions is analyzed. Interpretation of all results is provided.     

Targeting quality improvement efforts through knowledge of capacity constraints: the case of a low technology ceramics manufacturer

Despite the significant evolution of the science of quality control many companies, for whatever reasons, still eschew TQM and the techniques of SPC. The paper outlines an approach that could help such companies, and more TQM inclined companies, to target their limited skills and resources in quality improvement. The approach relies on applying Goldratt's thinking on production bottlenecks to guide quality improvement. In essence the key to improving quality is to focus on reducing quality loss during and after the bottleneck process. The principle is illustrated via a simple model and by reference to a low technology ceramics manufacturer where improvement activities are targeted on the key decorating process that occurs after the bottleneck of the main firing process. Substantial reductions in quality losses are projected for the company.     

The risk management for technology credit guarantee fund

Technology credit guarantee Fund (TCGF) supports many small and medium companies with high degree of growth potential in technology. Generally, the performance of technology credit guarantee has been evaluated focusing on the probability of default (PD) on the fund recipient companies. But PD itself does not reflect the amount of loss. In this paper, we suggest the way to find the expected loss using the PD, Exposure at Default and Loss Given Default for risk management of the TCGF. Unlike general credit measure, we use the competing risk model in order to estimate the PD for various types of defaults. It is expected that our study can contribute to provide the efficient credit risk management for TCGF and the lending institution.     

低碳经济背景下企业技术创新模式决策机制研究——基于碳税政策视角

为探究低碳经济背景下企业技术创新模式的决策机制,基于低碳技术创新的开放式创新和封闭式创新两种模式,运用演化经济学理论和方法构建企业低碳技术创新模式选择博弈模型,在策略选择的演化稳定性分析基础上,通过数值模拟演示不同决策参数和初始条件下模型的演化结果。结果表明:企业选择开放式低碳技术创新模式的前提条件是当开放式低碳技术创新策略的竞争性收益大于投入成本且系统中选择该种模式的初始企业比例达到一定水平;企业技术吸收能力、开放式低碳技术创新成本和碳税征收强度对低碳经济背景下企业技术创新模式的选择均有重要的影响;为促进企业实施开放式低碳技术创新,政府决策应将碳税征收强度保持在合理范围内,同时重视信息化平台搭建助力企业间知识交流和共享,营造企业实施开放式低碳技术创新的良好环境。     

高科技企业与知识型员工劳资之间的薪酬博弈模型

近年来,一些高科技企业的知识型员工过劳、猝死和自杀事件层出不穷,学者们从工作压力等不同角度对此现象进行了探讨。本文引入不完全信息动态博弈模型,从工资水平和工作压力强度两个方面建立了科技企业和知识型员工的劳资双方多阶段动态薪酬博弈模型,并基于理论推演给出科技企业和知识型员工的博弈效益虚拟数值,进而得到模型的“高薪高工作强度”均衡解。文章揭示了当前高科技企业及其员工倾向于高薪高强度模式的内在机理,也解释了知识型员工采取极端行为的原因,为探究有效平衡经济利益和社会责任的雇佣关系新模式提供借鉴。     

Technology credit scoring model considering both SME characteristics and economic conditions: The Korean case

In order to support small and medium enterprises (SME) with a high degree of growth potential in technology, various kinds of technology credit guarantees are issued to companies that obtain high scores by a technology scorecard in Korea. However, their default rates are reported to be very high. The main goal of this study is to propose a new technology evaluation model that accommodates not only technology-related attributes but also environmental conditions such as firm-specific characteristics and economic situations in the manner of more objective. We then show the superior prediction ability of the proposed model to the existing one. This model also enables to apply to a stress test by considering some worst environmental situations and is expected to be used for the effective management of the various technology funds for SMEs.     

Technology credit rating system for funding SMEs

Technology evaluation has played a crucial role in selecting and supporting companies with innovative technology. Previous studies have focused on developing technology evaluation methods such as scorecard. However, technology credit rating is rarely applied, despite its convenient usage for technology financing. In this paper, we propose a technology credit rating system, called cross matrix, based on empirical data obtained from the technology scoring model and examine their properties. The proposed rating system is expected to provide valuable information for effective management of the technology credit fund.     

基于物元分析的科技人才考评研究

利用可拓学中的物元分析理论,对科技人才考评问题进行了研究.在分析多种相关因素的基础上,从基本素质、学术素质、业务素质和业绩贡献等方面构建了科技人才考评指标体系.对考评指标实行规范化、科学化、定量化的基础上,建立了科技人才考评的物元分析模型.最后应用结果表明,把物元分析理论应用于科技人才考评是可行的,同时,物元分析拓展科技人才考评的研究途径.