A quantile-based Time at Risk: A new approach for assessing risk in financial markets

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value such that the likelihood of loss on the asset over the time horizon exceeds this value is equal to the given probability level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical time such that the probability that the return interval of a critical event exceeds this time equals the given probability level. As an empirical application, we applied our model to data from the Tehran Stock Exchange Price Index (TEPIX) as a financial asset (market portfolio) and reported the results.     

非线性Black-Scholes模型下算术平均亚式期权定价问题

在非线性Black-Scholes模型下,研究了算术平均亚式期权定价问题.首先利用单参数摄动方法,将亚式期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了算术平均亚式期权的近似定价公式.最后分析了近似结论的误差估计,并通过数值算例验证了所得近似结论的合理性.     

The multi-attribute grey target decision method for attribute value within three-parameter interval grey number

Based on the grey system theory and methods, the grey-target decision-making problem is discussed, in which the attribute values are grey numbers and the maximum probability of the value of grey number is known. Firstly, the optimal effect vector is the positive bull’s-eye and positive bull’s-eye distance of each scheme is defined. Subjectively or objectively weighting method is integrated to determine the index weight and integrated optimization model of index weight is established. Finally, the critical effect vector is the negative bull’s-eye and negative bull’s-eye distance of each scheme is defined, then relative bull’s-eye distance and comprehensive the bull’s-eye distance of grey target decision-making are given. An example is also presented to illustrate the usefulness and effectiveness of the methods obtained in this paper and provides a new idea for grey target decision-making method research.     

Bombieri's Theorem in Short Intervals

Under the assumption of sixth power large sieve mean-value of Dirichlet L-function,we improve Bombieri's theorem in short intervals by virtue of the large sieve method and Heath-Brown's identity.     

An approach for solving a fuzzy multiobjective programming problem

In this paper we present a new approach, based on the Nearest Interval Approximation Operator, for dealing with a multiobjective programming problem with fuzzy-valued objective functions.     

地下水脆弱性风险预警和评估的区间三角模糊多属性决策模型

应用基于逼近理想解排序法的区间三角模糊多属性决策模型,对三江平原六大分区地下水脆弱性进行了风险预警和评估.评估结果与前人吻合,可为有关决策部门采取相应降低环境风险的措施提供参考.实例验证表明,模型具有更高的计算精度和更好的评价效果,为有关环境风险决策部门对地下水风险预警和评估提供了新的思路和方法.     

Experimental study on wake flow structures of screen cylinders using PIV

Experiments were conducted in a water flume using Particle Image Velocimetry (PIV) to study the evolution of the vortical structures in the wakes of four types of screen cylinders at a Reynolds number of about 3200. The results were compared with that of a bare cylinder. The screen cylinders were made of stainless steel screen meshes of various porosities (37%, 48%, 61% and 67%) rolled into cylindrical shapes. Smoke wire flow visualisations in a wind tunnel were also conducted in support of the PIV tests. Depending on the porosity of the screen mesh, two vortex formation mechanisms for the screen cylinder wakes were identified. One was associated with wake instability and the other was associated with shear-layer (Kelvin-Helmholtz) convective instability which involved merging through pairing and tripling of small-scale vortices within the shear layers. The former was responsible for the formation of large-scale vortices in the bare cylinder and the screen cylinder wakes with 37% and 48% porosities, while the latter was responsible for the screen cylinder wakes with 61% and 67% porosities. The results also showed that with increasing porosity, the vortex formation region was extended farther downstream and the Reynolds shear stress, the Turbulent Kinetic Energy (TKE) and vortex intensity were decreased constantly.