城镇地价因素在旧城改造资金平衡过程中的作用及其政策性意义

本文在对旧城改造有关理论问题分析的基础上,系统地研究了旧城改造区地价评估方法及其在旧城改造资金平衡过程中的作用．并提出了实现旧城改造资金平衡的途径、原则和思路;并进一步阐述了城镇地价因素在旧城改造中的政策性意义．     

Introduction to duality in optimization theory

A systematic exposition of duality theory is given on what appears to be the optimal level of generality. A condition is offered which implies that the ideal of duality theory is achieved. For the case of linear programming, our approach leads to two novel features. In the first place, primal and dual LP-problems and complementarity conditions are defined canonically, without choosing a matrix form. In the second place, without deriving the explicit form of the dual problem, we show that the following well-known fact implies that the condition mentioned above holds: the polyhedral set property is invariant under linear maps. We give a new quick algorithmic proof of this fact.The author would like to thank Jan Boone for his helpful comments on a preliminary version of this paper.     

Knight不确定下基于无穷纯跳Levy过程的一般风险资产的动态最小定价

研究了具有Knight不确定性的金融市场下的一般风险资产的动态最小定价,利用倒向随机微分方程(BSDE)理论以及时间-风险折现方法,推导出了基于无穷纯跳Levy过程的一般风险资产在实际概率测度下的动态定价公式及其在Knight不确定性控制集合上的动态最小定价.最后给出了一个欧式看涨期权动态最小定价的例子,并导出期权价格的显示表达式.在Knight不确定环境下,引入Levy过程来描述股票价格的动态走势,更加符合实际市场,可广泛地应用于一般风险资产的定价过程,这为投资分析提供一定的理论依据.     

具有时滞响应的择好期权定价

假设市场是完备的,在文中使用了计价单位变换,等价鞅测度理论和无套利原理研究了股票价格具有时滞的欧式择好期权,得到了欧式择好期权的定价公式和对冲交易策略。     

国内外期铜价格之间的长期记忆成分和短期波动溢出效应

本文区分国内外期铜市场价格的长记忆成分和短期波动溢出效应,采用信息共享模型和永久一瞬时模型分离出不同期铜市场价格间的长记忆成分,得到不同市场期铜价格对"隐含有效价格"的贡献度;而且,利用t分布的BEKK模型分析两个市场期铜价格的短期波动溢出.特别,我们在BEKK基础上定义了不同变量间的波动溢出项,对两个市场期铜价格的波动溢出进行了度量.根据测算结果,我们发现国内外期铜价格有着紧密的联系,无论在长期,还是在短期,国外市场期铜价格的影响力都较大.     

Cationic photopolymerizations of thick polymer systems: Active center lifetime and mobility

Cationic photopolymerizations are essentially non-terminating and the long-lived active centers may lead to “dark cure” long after the illumination has ceased. In this contribution, it is shown that long cationic active center lifetimes known to be responsible for dark cure can also lead to “shadow cure” of unilluminated regions of thick systems. “Shadow cure” occurs when the active centers migrate out of the illuminated region, leading to polymerization of unexposed monomer. Photopolymerizations of a cycloaliphatic diepoxide monomer were performed in which active centers were produced in the first 0.7 mm of a thick system by illuminating one end of the sample, and the shadow cure was monitored up to 8 h. A polymerization front (with a highly crosslinked polymer matrix on one side and unreacted monomer on the other) was observed to move from the illuminated region into the shadow region at a rate proportional to the square root of time. The effective shadow cure diffusion coefficient at 50 °C was found to be 1 × 10⁻⁵ cm²/s, and the temperature dependence of the diffusion coefficient was well described by the Arrhenius relationship with an activation energy of 89 kJ/mol. Studies based upon photoinitiator counter-ions of differing size revealed that the system with the larger counter-ion (and therefore a correspondingly higher propagation rate constant) exhibited a significantly higher effective shadow cure diffusion coefficient. All of the experimental observations are consistent with the hypothesis that the active center mobility responsible for shadow cure arises largely from reactive diffusion.     

中国东中西部城市房价波动的涟漪效应——以中国东中西部代表的九城市为例

针对中国东中西部城市房价波动的是否存在涟漪效应的问题,提出综合运用格兰杰因果检验、协整一体化及二阶段检验法,即弗里德曼非参数秩排序检验方法和商业周期定点分析方法来检验分析自2005年7月至2010年3月东中西九城市房屋销售价格的月度数据进行实证分析,结果表明:(1)认为中国九城市房价波动存在涟漪效应,可划分为三个层级:东部的上海、深圳、杭州为第一层级;中部的武汉、合肥、太原为第二层级;西部的成都、西安、兰州为第三层级。(2)房价波动的涟漪效应从东部城市开始,传向中部城市,最后向西部城市传递。结论为东部城市的房价波动为主要调控对象,关注中部城市房价,同时避免西部城市房价出现意外波动。建议为对各个层级城市的房价制定差别性的调控政策,能够更有效地对整个房价体系的波动进行控制。     

The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes

We present and further develop a new approach to modeling power prices with spikes proposed earlier by the author. In contrast to other approaches, we model power prices with spikes as a non-Markovian stochastic process that allows for modeling spikes directly as self-reversing jumps. We show how this approach can be used to value European contingent claims on power with spikes as well as to value and dynamically hedge European contingent claims on forwards on power for power with spikes in a practically important special case of the scaling probability distribution for the magnitude of spikes.     

货币政策对房地产价格影响的非对称性分析——基于LSTVAR模型

由经济学理论分析可知,货币政策对房地产价格的具有显著的影响.利用LM检验和LR检验得到,包含货币政策变量和房地产价格变量的VAR模型具有非线性特征,并构建了相应的LSTVAR模型.运用广义脉冲响应函数研究了货币供应量与利率变化对中国房地产价格动态影响的非对称性.     

An economic order quantity model with partial backordering and a special sale price

A constant unit purchase cost is one of the main assumptions in the classic economic order quantity model. In practice, suppliers sometimes offer special sale prices to stimulate sales or decrease inventories of certain items. In this paper we develop an EOQ model with a special sale price and partial backordering. We prove the convexity of the cost-reduction function if a special order is placed at the special sale price. A solution method is proposed and numerical examples are presented.