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Derivative pricing under asymmetric and imperfect collateralization and CVA

QUANTITATIVE fINANCE 2013年第5期13卷 749-768页

作者： fujii, Masaaki Takahashi, Akihiko Univ Tokyo Grad Sch Econ Bunkyo Ku Tokyo 1130033 Japan

The importance of collateralization through a change of funding cost is now well recognized among practitioners. In this article, the authors have extended previous studies of collateralized derivative pricing to more generic situations, i.e. asymmetric and imperfect collateralization with the associated counterparty credit risk. By introducing the collateral coverage ratio, their framework can handle these issues in a unified manner. Although the resultant pricing formula becomes a nonlinear forwardbackward stochastic differential equation and cannot be solved exactly, its first-order approximation is provided using the Gateaux derivative. The authors have shown that it allows one to decompose the price of a generic contract into three parts: a market benchmark, a bilateral credit value adjustment (CVA), and a collateral cost adjustment (CCA) independent of the credit risk. Each term is studied closely, and the significant impact is demonstrated of asymmetric collateralization through CCA using numerical examples.

关键词： Collateral CSA CVA Basis spreads f f3 f31 G G1 G12 G13 G15 P P3 P34

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free the Jena Six! Racism and the Circuitry of Black Solidarity in the Digital Age

Free the Jena Six! Racism and the Circuitry of Black Solidar...

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作者： Greenlea,Stephanie,Ph.D. Yale University

学位级别：Ph.D.

free the Jena Six! presents a case study of mass black protest emerging in 2007 after six black teenagers were criminally prosecuted for the injury of a white student at their high school in Jena, Louisiana. At its height, the protests mobilized tens of thousands of people--most of them black--in an explicit challenge to contemporary racism. Revisiting the indigenous perspective proposed by sociologist Aldon Morris in Origins of the Civil Rights Movement , this project argues that the Jena Six protests emerged from pre-existing bases of power within black communities. Moreover, in-depth exploration of strategic framing, the novel role of Internet-based organizing, and everyday uses of new technology reveals how this collective action both extends established traditions of black protest and bears the marks of a distinctly digitizing age. Interdisciplinary analysis of data drawn from web content, in-depth interviews with movement participants, media coverage and organizational records reveals the dynamics of the emergent collective actor. free the Jena Six! argues centrally that the affirmative and often subversive technological imaginations and praxis of black folks creates a latent potential for mass participatory direct action. free the Jena Six! addresses lacunae at the intersections of technology studies, social movement studies, and studies of race and racism toward a more sustained analysis of race, power, and technology in the black experience.

关键词： R a c e , T e c h n o l o g y , C i v i l r i g h t s , A f r i c a n - A m e r i c a n ,

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Essays on Dynamic Mechanism Design

Essays on Dynamic Mechanism Design

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作者： Liu, Heng University of Rochester

学位级别：Ph.D.

This dissertation is a collection of two papers studying both the theoretical and the applied aspects of dynamic mechanism design. In Chapter 1, we address the problem of implementing socially efficient allocations in dynamic environments with interdependent valuations and evolving private information. In the case where the agents' information is correlated across time, we construct efficient and incentive compatible direct dynamic mechanisms. Unlike the mechanisms with history-independent transfers in the existing literature, these mechanisms feature history-dependent transfers. Moreover, they are reminiscent of the classical VCG (Vickrey-Clarke-Groves) mechanism, even though the latter is not incentive compatible with interdependent valuations. In settings where agents' private information evolves independently, we construct the dynamic counterpart of the generalized VCG mechanism in one-dimensional environments. In Chapter 2, we study the problem of designing efficient trade agreements when countries involved in trade can use "disguised protections" in the form of domestic policies. We take a dynamic mechanism design approach to examine the interaction between trade and domestic policies. In particular, we show that allowing countries to make transfers can solve the incentive problems associated with private information. However, due to lack of commitment, these transfers may or may not be self-enforcing, depending on the persistence countries' private information. Our results indicate the possibility for WTO to improve the existing trade agreements through financial transfers.

关键词： S o c i a l s c i e n c e s , C o n t i n g e n t t r a n s f e r s , D y n a m i c m e c h a

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粉蕉枯萎病病原菌1号小种致病力的分化

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热带生物学报 2014年第2期5卷 136-141,146页

作者：张贺漆艳香刘晓妹张欣蒲金基张辉强谢艺贤中国热带农业科学院环境与植物保护研究所海南海口571101 海南大学环境与植物保护学院海南海口570228

通过采集或交流的方式共得到海南、广东、福建、云南和广西等省区的29个市县的57个粉蕉枯萎病病原菌1号小种(fusarium oxysporum *** Race 1)菌株,并利用盆栽伤根淋灌法接种粉蕉苗,系统评价了57个Race 1菌株的致病力。结果表明:供试的57... 详细信息

通过采集或交流的方式共得到海南、广东、福建、云南和广西等省区的29个市县的57个粉蕉枯萎病病原菌1号小种(fusarium oxysporum *** Race 1)菌株,并利用盆栽伤根淋灌法接种粉蕉苗,系统评价了57个Race 1菌株的致病力。结果表明:供试的57个Race 1菌株表现出很明显的致病力分化,其中,强致病力的菌株有32个、中致病力的有23个、弱致病力的有2个,分别占供试菌株的56.14%,40.35%,3.51%。供试的粉蕉枯萎病病原菌1号小种存在着明显的致病力分化现象,已分化为强、中和弱3种致病型,强致病力菌株为优势菌株。

关键词：粉蕉枯萎病 fusarium oxysporum f sp cubense Race 1 致病力分化

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Structural changes in North American fertilizer logistics

Structural changes in North American fertilizer logistics

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作者： Shakya,Sumadhur,Ph.D. North Dakota State University

学位级别：Ph.D.

Nitrogen-based fertilizer industry in United States is undergoing major changes the demand for which is primarily driven by agriculture. Traditionally, this industry sources anhydrous ammonia through imports from Canada and U.S.-Gulf, the latter comprises bulk of imports, or produces domestically to be supplied as is or converted into urea or UAN variations of nitrogen-based fertilizer with various combinations with other minerals. With change in composition of crops and increasing acreage of crops that are fertilizer intensive, there is an increased demand for nitrogen-based fertilizer in order to promote foliar growth as a standalone form, for example Urea, or in combination, for example Di-ammonium phosphate (DAP). Second compelling reason for change in industry is reduction in prices of natural-gas, in part due to oil exploration, that makes it cheaper to produce anhydrous ammonia domestically. Anhydrous ammonia is perquisite for making other types of nitrogen-based fertilizer and highly energy intensive. Thus, lower natural-gas prices provide incentive for domestic firms to either expand existing fertilizer plants or opens up the possibility of new entrants. Many companies/firms have recently announced their plans to expand existing plants or open new units, exerting competitive pressure on an industry that already has lot of surplus capacity but highly competitive in terms of production costs and technology used. It is to be noted that natural-gas prices are volatile; therefore, any commitment to expand or open new plant is subject to volatility in demand, natural-gas prices, and import price of fertilizers. The purpose of this dissertation is to analyze spatial competition among U.S. nitrogen-based fertilizer plants and their respective market boundaries. This dissertation also derives the structure of the supply chain for nitrogen-based fertilizer in the United States (at macro level); and the stochastic spatial-optimization model to account for risk i

关键词： S p a t i a l , S t o c h a s t i c , S u p p l y c h a i n , C o m p e t i t i o n , f e

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地塞米松对***感染巨噬细胞模式识别受体及炎症因子表达的影响

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皮肤性病诊疗学杂志 2014年第3期21卷 173-176,180页

作者：蔡文莹鲁长明李希清蒋丽孙九峰中山大学孙逸仙纪念医院皮肤科真菌研究中心广东广州510120 广东省疾病预防控制中心广东省公共卫生研究院广东广州511430

目的:探讨***体外感染模型中地塞米松(DEX)对模式识别受体及免疫炎症因子表达的影响。方法:实验分为四组:***与加入DEX的巨噬细胞共培养组、***与巨噬细胞共培养组、单纯加入DEX的巨噬细胞组及巨噬细胞空白对照组。定量PCR检测各组中模... 详细信息

目的:探讨***体外感染模型中地塞米松(DEX)对模式识别受体及免疫炎症因子表达的影响。方法:实验分为四组:***与加入DEX的巨噬细胞共培养组、***与巨噬细胞共培养组、单纯加入DEX的巨噬细胞组及巨噬细胞空白对照组。定量PCR检测各组中模式识别受体Dectin-1、TLR-2、TLR-4的表达;ELISA法测定培养上清中TNf-α的表达量。结果:***与巨噬细胞共培养组相对于空白对照组及单纯加入DEX组的Dectin-1表达显著升高,在加入DEX后Dectin-1表达明显受到抑制(t=121 900,P<0.05);加入DEX的共培养组中TLR-2表达增加,但与***和巨噬细胞共培养组相比,差异无统计学意义(t=3 022,P>0.05);***感染引起TLR-4显著下调,加入DEX对TLR-4表达无影响(t=2 021,P>0.05)。相对于***与巨噬细胞共培养组,DEX共培养组中巨噬细胞分泌TNf-α的量显著下调(t=1 514 000,P<0.05)。结论:DEX可抑制巨噬细胞Dectin-1的表达,并下调TNf-α的表达量,进而使机体处于免疫耐受状态,但对TLR-2、TLR-4表达无明显影响。

关键词：地塞米松 f monophora 模式识别受体 Dectin-1 TLR-2

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基于fPGA的高精度频率电压转换系统设计实现

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电子科技 2014年第4期27卷 112-114,117页

作者：葛昀吴宁南京航空航天大学电子信息工程学院江苏南京210016

设计了一种线性f/V转换系统。传感器输出的脉冲频率信号经信号调理电路调理后输入fPGA,fPGA测量脉冲信号的频率,根据系统精度要求,需设计Q格式定点运算,测得的频率经fPGA定点运算后得到与频率大小成线性关系的D/A转换的数字量,控制串行D... 详细信息

设计了一种线性f/V转换系统。传感器输出的脉冲频率信号经信号调理电路调理后输入fPGA,fPGA测量脉冲信号的频率,根据系统精度要求,需设计Q格式定点运算,测得的频率经fPGA定点运算后得到与频率大小成线性关系的D/A转换的数字量,控制串行DAC7551输出相应的电压值。实验结果表明,系统的转换精度优于0.1%,改变系统的设计参数可实现更高精度的频率信号到电压信号的转换。

关键词： f V转换精度 fPGA Q8定点运算 DAC7551

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Essays on international trade and development

Essays on international trade and development

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作者： Lee, Jae Yoon Syracuse University

学位级别：Ph.D.

This dissertation consists of three essays. Using firm-level data from Korea, the first and second chapter examine Korean firms' offshoring strategies and the impact of these offshoring activities on firm-level employment in Korea. In the third chapter, the recent pattern of wage inequality is decomposed using an individual-level Korean labor income survey. This dissertation finds the role of industry capital intensity and firm productivity in the differential choices of global sourcing such as vertical fDI and foreign outsourcing. Also, this dissertation finds that input substitutability and firm exports can affect the impact of offshoring on firms' domestic labor demand. finally, this dissertation finds various workers' characteristics that have affected wage inequality across various quartiles.

关键词： S o c i a l s c i e n c e s , f i r m b o u n d a r i e s , G l o b a l s o u r c i n g , O f

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X-47B验证机完成舰载协同飞行测试

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国际航空 2014年第9期 32-33页

作者：温杰

8月17R，X-47B验证机与f／A-18“大黄蜂”舰载战斗机在罗斯福号航空母舰上完成了一系列协同飞行测试，标志着舰载无人机关键技术验证又迈出了重要一步。

关键词：舰载战斗机飞行测试验证机协同 f A-18 航空母舰罗斯福大黄蜂

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Essays on the political economy of institutions

Essays on the political economy of institutions

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作者： Rath,Chitralekha,Ph.D. The University of Wisconsin

学位级别：Ph.D.

There is a consensus among economists and political scientists that institutions are crucial for economic development. Different attributes of institutions like rule of law, property rights, legal environment, and constraints on executive have profound effects on a nation's prosperity, growth and development. Recently economists have recognized that a system of strong institutions of property rights can enhance efficiency of financial sector. A significant part of the dissertation deals with the question that is it likely that causality operates the other way: Does a mature financial market acts as a strong catalyst for property rights? The first essay develops a theoretical model of financial intermediation with incomplete information to augment the notion. The model predicts that the relationship does exist and is in fact nonlinear. Thus finance acts as propellant for property rights only after crossing a certain threshold. The second essay presents empirical evidence of threshold effects in the cross country relationship between property rights and finance that are consistent with the theory. further, in a panel of countries, I show that the exogenous component of financial development helps predict property rights in a sample of countries where financial markets have crossed a threshold level of development. The final essay of the dissertation deals with the effects of legal environment on financial market. More specifically, it explores the effects of collateral law reforms on firms' perceived access to finance by taking a panel of developing countries. I find evidence that collateral law reforms are effective in improving perceived access to credit. Moreover the effects are more pronounced when they are accompanied by established collateral registries for movable and intangible assets. finally these beneficial effects seem to increase in the size of the firms.

关键词： R u l e o f l a w , P r o p e r t y r i g h t s , L e g a l e n v i r o n m e n t

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