我国权证类金融衍生品价格与价值偏离问题研究

权证的定价是发行者和投资者关心的难点问题。沪深权证市场交易量曾超过股票市场交易量,2006年底更是一跃成为全球最大权证交易市场之一。国外、中国香港和台湾地区权证类金融衍生产品利用BS-IV模型尤其是HW-IV模型定价,其结果绝大部分与实际价格相差在5%以下,而沪深权证价格与这些模型定价结果相差非常大,尤其是有些理论价值较低的权证,被市场高估达几百倍。在国内外学者研究的基础上,针对欧式认购权证提出了五因素模型,并作了实证研究。结果表明,这些因素的确对权证价格影响较大。     

中国证券市场的波动性——一个开收盘角度的实证研究

本文采用上证180的100只典型个股为样本对上海股市开收盘的波动性进行了实证研究,实证结论表明我国股市开盘回报的波动性显著大于收盘波动性。本文进一步对影响波动性的因素进行考察,认为开盘方式和开盘交易过程中释放的私人信息是造成上述现象的重要原因,因此着重从信息的代理指标-交易量的角度考察回报的波动性的差异。     

商品期货便利收益的期权定价及实证检验

本文根据国外便利收益理论,深入研究便利收益的期权性质及其定价,并采用修正的Black-Scholes期权定价模型对中国期货便利收益进行分析.研究表明中国商品期货便利收益具备看涨期权的特性并可以运用期权定价模型对其定价,此外中国商品期货便利收益表现出与理论相异的特性,即呈现周期性的循环变化.     

充分发挥信访工作四项功能的思考

信访工作者要充分发挥信访工作的疏导化解功能、信息调研功能、协调功能和监督功能 ,就必须尊重法律赋予人民群众的民主权利 ,全心全意为群众排忧解难 ,并将信访工作纳入法制化轨道 ,着力维护社会安定 ,推动廉政建设     

Value-Based Routing and Preference-Based Routing in Customer Contact Centers

Telephone call centers and their generalizations—customer contact centers—usually handle several types of customer service requests (calls). Since customer service representatives (agents) have different call-handling abilities and are typically cross-trained in multiple skills, contact centers exploit skill-based routing (SBR) to assign calls to appropriate agents, aiming to respond properly as well as promptly. Established agent-staffing and SBR algorithms ensure that agents have the required call-handling skills and that call routing is performed so that constraints are met for standard congestion measures, such as the percentage of calls of each type that abandon before starting service and the percentage of answered calls of each type that are delayed more than a specified number of seconds. We propose going beyond traditional congestion measures to focus on the expected value derived from having particular agents handle various calls. Expected value might represent expected revenue or the likelihood of first-call resolution. Value might also reflect agent call-handling preferences. We show how value-based routing (VBR) and preference-based routing (PBR) can be introduced in the context of an existing SBR framework, based on static-priority routing using a highly-structured priority matrix, so that constraints are still met for standard congestion measures. Since an existing SBR framework is used to implement VBR and PBR, it is not necessary to replace the automatic call distributor (ACD). We show how mathematical programming can be used, with established staffing requirements, to find a desirable priority matrix. We select the priority matrix to use during a specified time interval (e.g., 30-minute period) by maximizing the total expected value over that time interval, subject to staffing constraints.     

Call Center Delay Announcement Using a Newsvendor‐Like Performance Criterion

The problem of estimating delays experienced by customers with different priorities, and the determination of the appropriate delay announcement to these customers, in a multi‐class call center with time varying parameters, abandonments, and retrials is considered. The system is approximately modeled as an M(t)/M/s(t) queue with priorities, thus ignoring some of the real features like abandonments and retrials. Two delay estimators are proposed and tested in a series of simulation experiments. Making use of actual state‐dependent waiting time data from this call center, the delay announcements from the estimated delay distributions that minimize a newsvendor‐like cost function are considered. The performance of these announcements is also compared to announcing the mean delay. We find that an Erlang distribution‐based estimator performs well for a range of different under‐announcement penalty to over‐announcement penalty ratios.     

关于《楚辞·大招》的几个问题

《大招》所招之人应是一位王侯,这位王侯既不是楚怀王,也不是楚襄王,而是西汉的淮南王刘安;所招之魂不是亡灵,而是刘安的生魂;《大招》的作者是汉代人;《大招》是本为楚人而又是淮南王刘安所赏识的宾客伍被为劝诫淮南王刘安所作。因《大招》是为招生魂而作,所以才冠以“大”字。     

人力资源管理职业经理人刍议

人力资源管理行业职业经理人的匮乏严重阻碍了人力资源管理行业今后的健康发展和创新。企业要实现人力资源管理目标和成效,则需要大量的有理论有实践的人力资源管理职业经理。     

多媒体码分多址系统的呼叫接纳控制

提出了一种适合于多媒体码分多址系统的呼叫接纳控制策略,对于新呼叫和切换呼叫,接纳控制策略设置了不同的干扰门限值,切换呼叫的门限高于新呼叫的门限。当新呼叫或切换呼叫到达时,首先确定新呼叫和切换呼叫的干扰门限,然后计算小区内多址干扰和小区间多址干扰,从而得到总干扰,将总干扰与干扰门限值进行比较,只有低于门限值的总干扰允许呼叫接入。     

人力资源期权定价方法探讨

通过对现有的几种人力资源计量模式进行评价,着重指出了它们存在的问题。针对现有计量模式的计量时间过长、主观估计较多、计量不准确等不足,分析了复杂人力资源的特殊性;运用看涨期权思想,引入Black—Scholes定价公式,探讨一种较为客观的人力资源价值计量方法———期权定价法,并结合实例进行分析。