调节作用下投资策略的评价

本文用实物期权的方法评价调节作用下的投资策略 ,建立期权定价模型。模型中项目价值遵循均值返回过程 ,项目价值的路径采用数值模拟分析 ,文中运用动态规划方法推出期权定价公式 ,通过数值解法求解和分析数值结果 ,得出调节作用对投资的影响。     

跳跃扩散型汇率过程的外汇期权定价

在完全外汇市场环境下 ,讨论了外汇汇率过程受 Brown运动和 Poisson过程共同驱动时外汇欧式未定权益的定价问题 ,并在常系数情形下获得了欧式外汇期权 Black- Scholes定价公式及其套期保值策略 ,最后给出了一种多汇率过程的线性组合式未定权益的定价     

Brownian Optimal Stopping and Random Walks

One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk.     

Optimality with telecommunications network

This paper studies a telecommunications company's optimal networkinvestment strategies. The objective of the company is to maximizethe value of the network. According to our numerical exampleswe are not able to consider a single point-to-point connectionseparately from the network, because the network demands andcapacities affect each other. Therefore, the whole network structurehas to be considered in the point-to-point investments.     

基于PSO-BP神经网络的外贸发展状况的评价

以我国对外贸易的实际情况为基础,建立了评价外贸发展状况的一套指标体系.使用主成分分析方法对所有评价指标进行预处理之后,借助粒子群优化算法改进了BP神经网络算法,构建了外贸发展状况的评价模型.评价模型在具体应用中,评价结果较为准确,具有一定的科学性和合理性.     

Forest of stochastic meshes: A new method for valuing high-dimensional swing options

Swing options generalize American-style options as they allow the holder multiple exercise rights and control over the exercise amounts. In this work, we replace the standard (binomial) trees in the forest of trees algorithm with stochastic meshes, yielding the forest of stochastic meshes; a simulation-based method for valuing high-dimensional swing options. This new method handles general price processes and payoffs, produces high- and low-biased consistent estimators and a true option price confidence interval.     

随机利率下可分离交易可转换债券的鞅定价

从定量的角度分析了可分离式可转换债券的价值构成,并在服从Vasicek利率模型的随机利率下,利用Martingle Pricing方法推导出其定价公式.     

服从分数跳-扩散过程的复合期权定价

用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了欧式复合期权的定价公式.结果推广了Gukhal以及Li等关于传统跳-扩散模型下的欧式复合期权的定价公式.     

转让定价视角下的我国企业对外投资战略博弈

我国企业通过对外投资可以拥有在分处国内外的两个实体间开展转让定价的机会,以此来对抗跨国公司在华通过转让定价谋求战略竞争优势,获取公平竞争机会.以单市场双寡头古诺竞争下的转让定价决策模型为基础,构建了我国企业对外投资后在国内和国外两个市场与跨国公司进行战略性转让定价博弈模型,发现无论我国企业与跨国公司相比是否具有成本优势,都应该通过对外投资获取开展战略性转让定价机会,与跨国公司进行公平竞争.     

A real options approach to labour shifts planning under different service level targets

Firms that experience uncertainty in demand as well as challenging service levels face, among other things, the problem of managing employee shift numbers. Decisions regarding shift numbers often involve significant expansions or reductions in capacity, in response to changes in demand. In this paper, we quantify the impact of treating shifts in workforce expansion as investments, while considering required service level improvements. The decision to increase shifts, whether by employing temporary workers or hiring permanent employees, is one that involves significant risks. Traditional theories typically consider reversible investments, and thus do not capture the idiosyncrasies involved in shift management, in which costs are not fully reversible. In our study, by using real options theory, we quantify managers’ ability to consider this irreversibility, aiming to enable them to make shift decisions under conditions of uncertainty with the maximum level of flexibility. Our model aims to help managers make more accurate decisions with regard to shift expansion under service level targets, and to defer commitment until future uncertainties can be at least partially resolved. Overall, our investigation contributes to studies on the time required to introduce labour shift changes, while keeping the value of service level improvements in mind.