GARCH模型中美式亚式期权价值的蒙特卡罗模拟算法

我们运用 Longstaff和 Schwartz最近提出的用蒙特卡罗模拟法计算美式期权的方法在 GARCH模型中求解美式亚式期权 ,我们的结果表明和其它数值方法相比 ,这个方法不仅有相当的精确度 ,而且使用简便并具有更广泛的适用性 ,对于 GARCH模型中运用格点法难以求解的浮动执行价格的美式亚式期权同样可以得到稳定解 .     

基于扭曲混合Copula和ARMA-GARCH-t模型的投资组合风险分析——以上证综指、中证综合债和上证基金为例

利用扭曲混合Copula和ARMA-GARCH-t模型,对包含2015年股灾和2016年熔断期间的上证综指、中证综合债和上证基金的投资组合风险相关性进行建模分析。研究表明:扭曲混合Copula模型较混合Copula模型能更好地拟合各资产日收益率间的相关结构,尤其是"厚尾"特性。并运用蒙特卡罗模拟法计算各资产的风险价值、预期损失和中位数损失并讨论其差异性,以期为关注风险管理的人们提供更多借鉴。     

基于数值流形法的降雨入渗与坡面径流耦合算法研究

降雨时坡地的入渗-产流分析，是降雨型滑坡、泥石流等地质灾害机理研究中的重要课题之一.为实现边坡降雨-入渗-产流的全过程数值模拟，进一步提高计算效率，考虑将降雨入渗面视作坡面径流与坡体渗流的内部域，基于一维运动波方程和二维压力水头格式的Richards方程建立耦合模型，并推导出其总体控制方程，采用数值流形法(numerical manifold method, NMM)实现其数值求解，通过编制相应的计算程序分析了边坡降雨产流过程.数值分析结果表明：所建模型的计算结果与试验数据及前人模拟结果吻合良好，验证了该文模型及计算方法的有效性与可靠性；降雨强度越大，产流时间越早，坡面积水深度越大，对坡体内的水分分布影响范围越广.研究表明，所建模型能真实反映边坡降雨-入渗-产流全过程，可为降雨诱发的各类地质灾害分析提供计算依据.     

攀登伪蒙特卡罗积分法在Sobolev和Korobov空间中的随机化误差

攀登伪蒙特卡罗积分法是由伪蒙特卡罗与蒙特卡罗方法混合而成的一种新方法，它体现了两者的优点．本文研究这种积分法在Sobolev空间和Korobov空间中的随机化误差．我们证明攀登(λ，t，m，s)-网积分法在这两个空间中的随机化误差的渐近阶为n^3/2[logn]^(s-1)/2。     

非仿射随机波动率的欧式障碍期权定价

研究非仿射随机波动率模型的欧式障碍期权定价问题时,首先介绍了非仿射随机波动率模型,其次利用投资组合和It^o引理,得到了该模型下扩展的Black-Schole偏微分方程.由于这个方程没有显示解,因此采用对偶蒙特卡罗模拟法计算欧式障碍期权的价格.最后,通过数值实例验证了算法的可行性和准确性.     

二项线性随机效应模型的拟蒙特卡罗估计

讨论了如何运用拟蒙特卡罗方法对二项线性随机效应模型进行参数估计.首先写出观测数据的边缘对数似然函数,然后用拟蒙特卡罗方法将函数中的积分写成求和的形式,接着利用Newton-Raphson算法计算参数的极大似然估计.以一组种子数据为例,说明该方法是简单可行的.     

基于Copula的VsR度量与事后检验

估计VaR的传统方法有三种:协方差矩阵法、历史模拟法和蒙特仁洛模拟法。通常,文献中认为刚蒙特卡洛模拟法度量VaR有很多方面的优点。但是,本文通过实证检验发现,使用传统蒙特卡洛模拟法估计的VaR偏小,事后检验效果很不理想。本文引入Copula函数来改进传统的蒙特卡洛模拟法。Copula函数能将单个边际分布和多元联合分布联系起来,能处理非正态的边际分布,并且它度量的相关性不再局限于线性相关性。实证检验表明,基于Copula的蒙特卡罗模拟法可以更加准确地度量资产组合的VaR。     

波动性变化下的VaR历史模拟法实证研究

VaR(在险价值)方法是当今运用得最为广泛的金融市场风险度量方法。历史模拟法作为计算VaR的主要方法之一,其计算出来的VaR的风险度量效果需要得到现实金融市场数据的检验。本文通过选取上证综指日收益率的历史数据,分别在市场波动性不发生改变、市场波动性变大和市场波动性变小三种情况下对历史模拟法的有效性进行检验,检验结果表明在市场波动性不发生变化的情况下,历史模拟法计算的VaR能够有效地度量市场风险;在市场波动性变大的情况下,该方法会低估市场风险;在市场波动性变小的情况下,该方法会高估市场风险。通过对历史模拟法的计算原理进行分析,历史样本自身的时滞性是导致该方法在市场波动性发生变化时无效的原因。     

Duane-LR模型下复杂系统的动态可靠性增长评定

基于复杂系统可靠性增长试验的特点，运用Duane可靠性增长模型结合数理统计中的线性回归方法对新批次产品的可靠性参数进行预测。结合产品的少量现场试验数据，利用Bayes方法对系统的可靠性增长试验结果进行评定。文中首先给出了可靠性增长分析的模型，然后运用历次阶段试验中的可靠性增长数据建立动态参数的递推估计模型，在此基础上，运用随机变量函数的分布，给出各阶段可靠性增长试验中可靠性参数的Bayes估计。文中对Weibull、指数和二项分布三种试验结果进行分析，给出计算公式。     

蒙特卡罗方法计算定积分的进一步讨论

介绍了蒙特卡罗方法计算定积分的原理和方法.给出了用蒙特卡罗方法计算定积分的一个简单证明,从而揭示了蒙特卡罗方法和定积分定义间的内在联系.针对蒙特卡罗方法收敛慢的特点,提出将蒙特卡罗方法与相应的数值计算方法相结合,提高计算结果的精度.此外,将蒙特卡罗方法推广到反常积分上去.     

培养学生科学思维和创新能力的研究与实践——谈大学数学研究型教学

通过从一个导数值等式的证明谈起,探讨教师在课堂教学中如何根据教学内容创设能激起学生新异感的问题情景,启发和引导学生发散思考,类比、联想、猜想,探索和发现新问题并给出解答.使学生思维不断攀升,丰富教学内容,激发学生兴趣,培养学生科学思维方法和创新能力.     

Cartesians,Strawsonians and the univocal meaning of mental predicates

The paper examines the Cartesian and the Strawsonian answers to the question of why self-applied and other-applied mental predicates mean the same. While these answers relate to different, complementary aspects of this question, they seem and are usually considered as incompatible. Indeed, their apparent incompatibility constitutes a major objection to the Cartesian answer. A primary aim of the paper is to show that the Strawsonian answer does not pose a real problem to the Cartesian answer. Unlike other attempts to show this, the paper does not seek to undermine the Strawsonian answer. Indeed, its second aim is to defend this answer against these other attempts. The paper’s strategy in defending the Cartesian answer is to show that the framework underlying this answer can — indeed, for internal reasons, must — accommodate the Strawsonian answer. By showing this, the paper also shows that a Cartesian framework can provide a comprehensive answer to the aforementioned question, which is its third aim.     

Mexican high school students' social representations of mathematics,its teaching and learning

This paper reports a qualitative research that identifies Mexican high school students’ social representations of mathematics. For this purpose, the social representations of ‘mathematics’, ‘learning mathematics’ and ‘teaching mathematics’ were identified in a group of 50 students. Focus group interviews were carried out in order to obtain the data. The constant comparative style was the strategy used for the data analysis because it allowed the categories to emerge from the data. The students’ social representations are: (A) Mathematics is…(1) important for daily life, (2) important for careers and for life, (3) important because it is in everything that surrounds us, (4) a way to solve problems of daily life, (5) calculations and operations with numbers, (6) complex and difficult, (7) exact and (6) a subject that develops thinking skills; (B) To learn mathematics is…(1) to possess knowledge to solve problems, (2) to be able to solve everyday problems, (3) to be able to make calculations and operations, and (4) to think logically to be able to solve problems; and (C) To teach mathematics is…(1) to transmit knowledge, (2) to know to share it, (3) to transmit the reasoning ability, and (4) to show how to solve problems.     

Minimizing Labor Requirements in a Periodic Vehicle Loading Problem

In this paper, we address a logistics problem that a manufacturer of auto parts in the north of Spain described to the authors. The manufacturer stores products in its warehouse until customers retrieve them. The customers and the manufacturer agree upon an order pickup frequency. The problem is to find the best pickup schedule, which consists of the days and times during the day that each customer is expected to retrieve his/her order. For a given planning horizon, the optimization problem is to minimize the labor requirements to load the vehicles that the customers use to pick up their orders. Heuristically, we approach this situation as a decision problem in two levels. At the first level, customers are assigned to a calendar, consisting of a set of days with the required frequency during the planning horizon. Then, for each day, the decision at the second level is to assign each customer to a time slot. The busiest time slot determines the labor requirement for a given day. Therefore, once customers have been assigned to particular days in the planning horizon, the second-level decision is a multiprocessor scheduling problem, where each time slot is the equivalent of a processor, and where the objective is to minimize the makespan. A metaheuristic procedure is developed for the problem of minimizing labor requirements in this periodic vehicle-loading problem and artificial as well as real data are used to assess its performance.     

Global entropy solutions to the compressible Euler equations in the isentropic nozzle flow for large data: Application of the generalized invariant regions and the modified Godunov scheme

We study the motion of isentropic gas in nozzles. This is a major subject in fluid dynamics. In fact, the nozzle is utilized to increase the thrust of rocket engines. Moreover, the nozzle flow is closely related to astrophysics. These phenomena are governed by the compressible Euler equations, which are one of crucial equations in inhomogeneous conservation laws.In this paper, we consider its unsteady flow and devote to proving the global existence and stability of solutions to the Cauchy problem for the general nozzle. The theorem has been proved in Tsuge (2013). However, this result is limited to small data. Our aim in the present paper is to remove this restriction, that is, we consider large data. Although the subject is important in Mathematics, Physics and engineering, it remained open for a long time. The problem seems to rely on a bounded estimate of approximate solutions, because we have only method to investigate the behavior with respect to the time variable. To solve this, we first introduce a generalized invariant region. Compared with the existing ones, its upper and lower bounds are extended constants to functions of the space variable. However, we cannot apply the new invariant region to the traditional difference method. Therefore, we invent the modified Godunov scheme. The approximate solutions consist of some functions corresponding to the upper and lower bounds of the invariant regions. These methods enable us to investigate the behavior of approximate solutions with respect to the space variable. The ideas are also applicable to other nonlinear problems involving similar difficulties.     

Developing mathematical competence: From the intended to the enacted curriculum

This study investigates the impact of a national reform in Sweden introducing mathematical competency goals. Data were gathered through interviews, classroom observations, and online surveys with nearly 200 teachers. Contrasting to most studies of this size, qualitative analyses were conducted. The results show that teachers are positive to the message, but the combination of using national curriculum documents and national tests to convey the reform message has not been sufficient for teachers to identify the meaning of the message. Thus, the teachers have not acquired the functional knowledge of the competence message required to modify their teaching in alignment with the reform. The results indicate that for complex reform messages, such as the competency message, to have intended impact on classroom practice, special attention needs to be put on the clarity of the message. To have high-stakes tests, for example, does not alone seem to be sufficient.     

Using the Tower of Hanoi puzzle to infuse your mathematics classroom with computer science concepts

This article suggests that logic puzzles, such as the well-known Tower of Hanoi puzzle, can be used to introduce computer science concepts to mathematics students of all ages. Mathematics teachers introduce their students to computer science concepts that are enacted spontaneously and subconsciously throughout the solution to the Tower of Hanoi puzzle. These concepts include, but are not limited to, conditionals, iteration, and recursion. Lessons, such as the one proposed in this article, are easily implementable in mathematics classrooms and extracurricular programmes as they are good candidates for ‘drop in’ lessons that do not need to fit into any particular place in the typical curriculum sequence. As an example for readers, the author describes how she used the puzzle in her own Number Sense and Logic course during the federally funded Upward Bound Math/Science summer programme for college-intending low-income high school students. The article explains each computer science term with real-life and mathematical examples, applies each term to the Tower of Hanoi puzzle solution, and describes how students connected the terms to their own solutions of the puzzle. It is timely and important to expose mathematics students to computer science concepts. Given the rate at which technology is currently advancing, and our increased dependence on technology in our daily lives, it has become more important than ever for children to be exposed to computer science. Yet, despite the importance of exposing today's children to computer science, many children are not given adequate opportunity to learn computer science in schools. In the United States, for example, most students finish high school without ever taking a computing course. Mathematics lessons, such as the one described in this article, can help to make computer science more accessible to students who may have otherwise had little opportunity to be introduced to these increasingly important concepts.     

Truncated Smoothing Newton Method for l_∞ Fitting Rotated Cones

In this paper, the rotated cone fitting problem is considered. In case the measured data are generally accurate and it is needed to fit the surface within expected error bound, it is more appropriate to use l∞ norm than l2 norm. l∞ fitting rotated cones need to minimize, under some bound constraints, the maximum function of some nonsmooth functions involving both absolute value and square root functions. Although this is a low dimensional problem, in some practical application, it is needed to fitting large...     

供应商成本信息不对称下装配系统协同问题研究

本文研究的装配系统由两个供应商和一个制造商组成,其中一个供应商的成本信息为公共信息,另一个供应商的成本信息为其私有信息,制造商通过设计契约来揭示该私有信息。作为装配系统的主导者,制造商一方面以自身利润最大化为目标,另一方面希望通过系统协同来获得更多的利润。研究结果表明,制造商对两个供应商都采用批发价契约时,无法揭示供应商的私有信息;制造商对信息公开的供应商采用批发价契约,对拥有私有信息的供应商采用价格补贴契约时,可以揭示供应商的私有信息,但不能实现装配系统的整体协同;制造商对两个供应商都采用价格补贴契约时,在成功揭示供应商的私有信息的同时,也实现了装配系统的整体协同。数值分析结果表明,同制造商对两个供应商分别提供批发价契约和价格补贴契约时相比,制造商对两个供应商都提供价格补贴契约时,私有信息的揭示区间会变大,系统总利润和拥有私有信息的供应商的利润会增加,信息公开的供应商的利润会降低,制造商的利润可能增加也可能降低。     

求解带线性约束的凸优化的一类自适应不定线性化增广拉格朗日方法

增广拉格朗日方法是求解带线性约束的凸优化问题的有效算法.线性化增广拉格朗日方法通过线性化增广拉格朗日函数的二次罚项并加上一个临近正则项,使得子问题容易求解,其中正则项系数的恰当选取对算法的收敛性和收敛速度至关重要.较大的系数可保证算法收敛性,但容易导致小步长.较小的系数允许迭代步长增大,但容易导致算法不收敛.本文考虑求解带线性等式或不等式约束的凸优化问题.我们利用自适应技术设计了一类不定线性化增广拉格朗日方法,即利用当前迭代点的信息自适应选取合适的正则项系数,在保证收敛性的前提下尽量使得子问题步长选择范围更大,从而提高算法收敛速度.我们从理论上证明了算法的全局收敛性,并利用数值实验说明了算法的有效性.