We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing therma...We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.展开更多
Based on macroeconomic analysis since 2003, this article holds that a trend towardsoverheating has surfaced in Chinas economy. Chinas rapid economic expansion hasaffected the quality of its growth, with rising materia...Based on macroeconomic analysis since 2003, this article holds that a trend towardsoverheating has surfaced in Chinas economy. Chinas rapid economic expansion hasaffected the quality of its growth, with rising material and energy consumption and imbalancedeconomic structure as the main manifestations. Regarding macroeconomic policy options in2004, decision-makers should shift the policy focus from control of deflation to preventionof inflation; the pace of economic growth should be properly set; a balance betweenconsumption and investment should be strengthened by controlling excessive expansion ofinvestment, and industrial restructuring should be conducted in a coordinated manner onthe basis of properly controlling the overly rapid industrial growth; policies should becontinued to boost exports and sustainable growth of foreign investment; and more effortsshould be made to accelerate the change in the mode of economic growth.展开更多
Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition. The levitation of import...Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition. The levitation of importance beyond support roles has raised IT investment decisions to high priority in chief executive officers＇ agendas. Corporate planning groups as well as lines of business are increasingly applying techniques of IT applications portfolio management in a more systematic fashion to improve decision-making and resource-allocation processes. Recent advances in software engineering and IT service delivery methodologies have achieved the logical separation of business functions from implementation. This separation has made a new breed of innovative IT project possible with a new project risk structure; the adjustment of portfolio management techniques is appropriate. We present an integrated portfolio management model so that the corporation can focus on organic growth through sources at both the department and top management levels. The research gives clear advice as to how top management can seek economic growth by selecting an entrepreneurial strategic posture, implying a strong risk-taking propensity. By integrating a risk-return model and risk-tolerance paradigm to cope with today＇s risk structure, overall capabilities can improve the decision process and the corporation＇s performance as well. The application of the integrated technique to a Japanese manufacturing firm is described.展开更多
文摘We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.
文摘Based on macroeconomic analysis since 2003, this article holds that a trend towardsoverheating has surfaced in Chinas economy. Chinas rapid economic expansion hasaffected the quality of its growth, with rising material and energy consumption and imbalancedeconomic structure as the main manifestations. Regarding macroeconomic policy options in2004, decision-makers should shift the policy focus from control of deflation to preventionof inflation; the pace of economic growth should be properly set; a balance betweenconsumption and investment should be strengthened by controlling excessive expansion ofinvestment, and industrial restructuring should be conducted in a coordinated manner onthe basis of properly controlling the overly rapid industrial growth; policies should becontinued to boost exports and sustainable growth of foreign investment; and more effortsshould be made to accelerate the change in the mode of economic growth.
文摘Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition. The levitation of importance beyond support roles has raised IT investment decisions to high priority in chief executive officers＇ agendas. Corporate planning groups as well as lines of business are increasingly applying techniques of IT applications portfolio management in a more systematic fashion to improve decision-making and resource-allocation processes. Recent advances in software engineering and IT service delivery methodologies have achieved the logical separation of business functions from implementation. This separation has made a new breed of innovative IT project possible with a new project risk structure; the adjustment of portfolio management techniques is appropriate. We present an integrated portfolio management model so that the corporation can focus on organic growth through sources at both the department and top management levels. The research gives clear advice as to how top management can seek economic growth by selecting an entrepreneurial strategic posture, implying a strong risk-taking propensity. By integrating a risk-return model and risk-tolerance paradigm to cope with today＇s risk structure, overall capabilities can improve the decision process and the corporation＇s performance as well. The application of the integrated technique to a Japanese manufacturing firm is described.
