Vendor managed inventory contracts – coordinating the supply chain while looking from the vendor’s perspective

The paper studies coordination of a supply chain when the inventory is managed by the vendor (VMI). We also provide a general mathematical framework that can be used to analyze contracts under both retailer managed inventory (RMI) and VMI. Using a simple newsvendor scenario with a single vendor and single retailer, we study five popular coordinating supply chain contracts: buyback, quantity flexibility, quantity discount, sales rebate, and revenue sharing contracts. We analyze the ability of these contracts to coordinate the supply chain under VMI when the vendor freely decides the quantity. We find that even though all of them coordinate under RMI, quantity flexibility and sales rebate contracts do not generally coordinate under VMI. Furthermore, buyback and revenue sharing contracts are equivalent. Hence, we propose two new contracts which coordinate under VMI (one of which coordinates under RMI too, provided a well-known assumption holds). Finally, we extend our analysis to consider multiple independent retailers with the vendor incurring linear or convex production cost, and show that our results are qualitatively unchanged.     

Multifactor Heston's stochastic volatility model for European option pricing

In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation expansions is developed to obtain an approximation to European option prices. We also find explicit expressions for some essential functions that are available only in integral formulas in the work of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254]. This finding basically leads to considerable reduction in computational time for numerical calculation as well as calibration problems. An accuracy result of the asymptotic approximation is also provided. For numerical illustration, the multifactor Heston model is calibrated to index options on the market, and we find that the resulting implied volatility surfaces fit the market data better than those produced by the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254], particularly for long‐maturity call options.     

基于TAM理论的顾客心理契约形成机理研究——B2C情景下的实证研究

基于TAM理论研究了B2C情景下顾客心理契约的形成机理。通过相关文献评述,提出了B2C情景下顾客心理契约形成机理模型及假设,通过实证分析验证模型及假设。结果表明:感知易用和感知风险对感知有用具有显著的影响作用;感知有用以及感知易用通过顾客价值观/态度对顾客心理契约具有显著的影响;同时,感知风险和感知易用对顾客心理契约具有显著的直接影响作用。研究结论对B2C情景下服务商保持和维护客户关系具有积极作用,为网络商家建立积极地调控干预机制,促进顾客心理契约正效应感知提供参考。     

考虑RFID应用的资金约束供应链订购决策研究

RFID技术的应用在有效降低商品库存损耗率的同时,也增加了供应链企业的运营成本,尤其是具有资金压力的供应链中小企业。在零售商具有资金约束的二级供应链下分析RFID技术的应用对资金约束供应链绩效的影响,通过构建贸易信贷下基于批发价合同的Stackelberg博弈模型,对比采用RFID前后资金约束供应链成员的均衡决策及期望收益,探讨了该供应链采用RFID的必要条件。结果显示当RFID标签成本低于某个阈值,或RFID库存损耗恢复率高于某个阈值时,供应链成员会选择采用RFID。此外,当RFID单位标签成本或零售商标签成本分摊系数较低,或RFID库存损耗恢复率较高时,制造商会提供比不采用RFID时更高的批发价;在采用RFID的条件下,零售商订购数量低于不采用RFID时的数量。通过设计收益分享契约实现了采用RFID时资金约束供应链的协调。     

阶梯激励合约下代理人行为与合约激励效果

基于委托代理理论研究了阶梯激励合约下的代理人行为,并从委托人角度探讨了最优合约设计的问题。在一般市场需求分布和代理人效用函数下,代理人的效用可能是其努力水平的双峰函数,且存在一个阈值使得当合约绩效奖励超过该阈值时,代理人的努力水平“跳跃式”增加。通过比较阶梯激励合约与其他两类激励合约发现,当代理人是风险厌恶型且代理人的产出完全依赖于其努力水平,委托人总是更偏好阶梯激励合约。     

沪铜期货及其期权的量化定价实证研究

作为最大的铜消费市场,铜在我国占据着最重要地位。随着2018年9月沪铜期货期权正式登陆上海期货交易所,我国铜交易产品进一步与国际接轨。虽然拥有世界领先的铜交易市场,但我国学术领域尚缺乏采用量化方法对沪铜期货及其期权的深入实证研究。在大宗商品量化领域,Schwartz二因子模型^[1]被看作是量化期货定价的基准模型,本文通过实证分析发现经典二因子模型在中国市场应用时会产生“水土不服”,因此本文采用波动参数的思想,修正了Schwartz二因子模型在中国沪铜市场的“水土不服”。另外,根据早期文献对认购期货期权的量化定价模型^[2,3],本文明确了认沽期货期权的量化定价公式,并通过对沪铜期货期权定价模型的实证分析,发现目前沪铜期货期权存在套利空间。     

基于期权契约的应急药品储备模型研究

突发灾害发生后,应急药品需求数量呈现爆发式增长,充足的应急药品对减少和控制人员伤亡、保障救灾效果及减少经济损失具有重要作用。由于应急药品的需求特性和自然属性,我国现行的应急药品储备模式很容易造成应急药品短缺或过期,也无法保证政府与医药企业长久的合作关系,因此如何科学合理地储备应急药品成为政府亟待解决的关键难题。为此,本文引入期权契约到政府与医药企业组成的两级供应链系统,构建了期权契约机制下应急药品储备模型,得出政企最优决策策略及双方成本收益,给出了实现供应链协调与政企双赢的条件。研究表明,应急药品储备模型提高了应急药品储备水平,降低了政府库存风险,有利于保障供应商合理收益及控制政府成本,为政企建立长久的合作关系提供了依据,为应急药品储备提供了可行的操作策略。     

碳交易机制下考虑竞争和信息非对称的供应链协调研究

本文在碳交易机制下,考虑制造商之间存在竞争且减排成本系数为低碳制造商私有信息的情况,分别构建信息完全对称和信息非对称情形下的供应链模型,对低碳制造商减排率和产品销售价格进行决策。通过引入由批发价和成本共担组成的联合契约,促使低碳制造商传递真实的减排成本信息,并通过算例对碳交易价格和减排成本系数等进行灵敏度分析。研究发现:引入联合契约能够使得信息非对称下的供应链利润基本达到集中决策水平;碳交易价格的增加会激励制造商积极减排、降低碳排放总量、提高供应链利润;低碳制造商减排成本系数的降低有助于减少碳排放量、增加产品市场需求、实现供应链利润增长。     

Duality and martingales: a stochastic programming perspective on contingent claims

The hedging of contingent claims in the discrete time, discrete state case is analyzed from the perspective of modeling the hedging problem as a stochastic program. Application of conjugate duality leads to the arbitrage pricing theorems of financial mathematics, namely the equivalence of absence of arbitrage and the existence of a probability measure that makes the price process into a martingale. The model easily extends to the analysis of options pricing when modeling risk management concerns and the impact of spreads and margin requirements for writers of contingent claims. However, we find that arbitrage pricing in incomplete markets fails to model incentives to buy or sell options. An extension of the model to incorporate pre-existing liabilities and endowments reveals the reasons why buyers and sellers trade in options. The model also indicates the importance of financial equilibrium analysis for the understanding of options prices in incomplete markets. Received: June 5, 2000 / Accepted: July 12, 2001?Published online December 6, 2001     

企业经营者股票期权薪酬机制的模型探讨

采用 Black-Scholes期权定价理论 ,建立了激励机制下企业经营者股票期权薪酬机制的分析、操作模型