On hedging in finite security markets

A market is considered where trading can take place only at discrete time points, the trading frequency cannot grow without bound, and the number of states of nature is finite. The main objectives of the paper are to show that the market can be completed also with highly correlated risky assets, and to describe an efficient algorithm to compute a self-financing hedging strategy. The algorithm consists off-line of a backwards recursion and on-line of the solution, in each period, of a system of linear equations; it is a consequence of a proof where, using a well-known mathematical property, it is shown that uniqueness of the martingale measure implies completeness also in our setting. The significance of ‘multistate’ models versus the familiar binomial model is discussed and it is shown how the evolution of prices of the (correlated) risky assets can be chosen so that a given probability measure is already the unique equivalent martingale measure.     

地空导弹武器系统效能评估指标体系研究

地空导弹武器系统效能评估是地空导弹武器系统研制和使用过程中的关键环节.效能评估指标体系的建立是保证效能评估科学、合理的重要基础.针对现代地空导弹武器系统的使用特点,在W SE IAC模型的框架下,构建了地空导弹武器系统效能评估指标体系,并给出了指标的分解及确定方法.研究结果可为地空导弹武器系统效能评估提供支持.     

多维约束下的军队战斗力增长模型

战斗力是军事科学研究中的一个基本概念，其基本要素是人与武器及其相互关系。已有的研究大多采用定性分析的方法探讨了战斗力的重要性、战斗力的组成、影响战斗力的因素等，缺少关于战斗力的量化分析模型。本采用量化分析方法，建立了一个基本的反映军队战斗力大小的模型，在对单因素约束下战斗力增长模型进行较详细的优化分析基础上，建立了多维约束下的战斗力增长模型。     

管理有效性与管理贡献率的测算

生产单元的管理有效性具体体现在优化配置所有参与生产过程的物质资源和人力资源,适时调整生产规模.在这一含义之下,利用等效益面生产函数可将一个生产单元的经济增长分解为三个要素的代数和.他们分别是投入要素的贡献、技术进步和管理效应.其中管理贡献反映的是技术效率的改善,其本质就是偏要素生产率的变化和规模效应即资源配置效率.在其离散型分解式的基础上,可以根据这些要素的不同变化情况,进一步测算管理贡献率.基于等效益面生产函数上的管理贡献率测算方法同时考虑了管理有效性概念的内涵和外延,具有明确的经济意义和几何意义.     

Bimolecular gas-phase processes with the participation of vibrationally excited triplet molecules of aromatic ketones

Time-resolved moderated luminescence of aromatic ketones (benzophenone, aceptophenone) in the presence of neutral and reactive hydrogeneous foreign gases (ethylene, pentane, triethylamine) is investigated. It is shown that the addition of hydrogeneous foreign gases leads to strong quenching of the triplet molecules of aromatic ketones. Effectivenesses of such bimolecular processes as the collision detachment of a hydrogen atom and establishment of vibrational and thermal equilibrium are compared. It is concluded that the vibrational degrees of freedom of the acceptors, the aromatic ketones, are inactive in the photochemical process of collision detachment of a hydrogen atom that takes place after the establishment of vibrational equilibrium. Institute of Molecular and Atomic Physics of the National Academy of Sciences of Belarus, 70, F. Skorina Ave., Minsk, 220072, Belarus. Translated from Zhurnal Prikladnoi Spektroskopii, Vol. 66, No. 1, pp. 73–77, January–February, 1999.     

三峡库区大石板滑坡区排水系统效果评估

结合三峡库区大石板滑坡工程实例 ,以连续 36天的降雨过程为条件 ,利用已有的地下水位观测资料 ,采用人工神经网络方法预测滑坡内地下水位在排水工程实施前后的变化 ,以此作为非饱和—饱和—非衡定地下渗流计算的特定水头边界。根据计算的地下水位进行滑坡稳定性分析 ,结合稳定分析成果对排水系统工程的效果进行评价。结果表明 ,地下排水工程的实施可较大幅度地提高滑坡的稳定性。     

新型平板热管换热器热回收效率特性实验研究

本文针对普通住宅房间设计了一台新型平板式热管换热器,该换热器结构紧凑、体积小巧。为研究该换热器的使用条件,本文开展了不同工质(R113、R141b以及这两种工质的混合物)对该热管换热器换热效率影响的实验研究。整个实验在夏季工况下进行,热管真空度为1×10~(-3)Pa,充液量(灌入热管换热器内的工质体积与热管换热器体积之比)为1/3。实验结果表明:该热管换热器热回收效率较高。在整个风量范围内,R141b作为工质的热管换热器换热效果最好,最高效率达到了58.2%。     

基于C~2R模型的广义链式网络DEA模型

传统网络DEA方法是将传统DEA方法评价过程中的"黑箱"打开,考虑输入到输出的中间环节,对生产过程中的各个环节分别评价。传统网络DEA方法获得的是相对于有效决策单元评价的结果,但有时可能要相对于非有效决策单元或者非决策单元进行评价,传统网络DEA方法无法解决该类问题。为此给出相对于非有效决策单元或者非决策单元进行评价的基于C~2R模型的广义链式网络DEA模型,并探讨相关性质.     

Some applications of L2-hedging with a non-negative wealth process

We consider the problem of L ²-hedging of contingent claims in diffusion type models for securities markets. In contrast to a recent paper of Schweizer (1994) we insist on a non-negative wealth process corresponding to the optimal hedge portfolio. For this reason the usual projection methods cannot be applied. We give some applications of L ²-hedging in this setting including hedging under constraints, a problem of approximating the wealth process of a richer investor and a mean-variance version of it.     

A two-level hedging point policy for controlling a manufacturing system with time-delay,demand uncertainty and extra capacity

This paper focuses on the production control of a manufacturing system with time-delay, demand uncertainty and extra capacity. Time-delay is a typical feature of networked manufacturing systems (NMS), because an NMS is composed of many manufacturing systems with transportation channels among them and the transportation of materials needs time. Besides this, for a manufacturing system in an NMS, the uncertainty of the demand from its downstream manufacturing system is considered; and it is assumed that there exist two-levels of demand rates, i.e., the normal one and the higher one, and that the time between the switching of demand rates are exponentially distributed. To avoid the backlog of demands, it is also assumed that extra production capacity can be used when the work-in-process (WIP) cannot buffer the high-level demands rate. For such a manufacturing system with time-delay, demand uncertainty and extra capacity, the mathematical model for its production control problem is established, with the objective of minimizing the mean costs for WIP inventory and occupation of extra production capacity. To solve the problem, a two-level hedging point policy is proposed. By analyzing the probability distribution of system states, optimal values of the two hedging levels are obtained. Finally, numerical experiments are done to verify the effectiveness of the control policy and the optimality of the hedging levels.