一个数学建模问题的简单解法

银行利率给出了一个简单计算方法 ,这种方法更符合中学生思维的习惯 .     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

On the theory of vapor — Liquid — Crystal phase transitions

An approach is discussed which allows one to describe within the framework of the single model the aggregative states of a system of atoms obeying the Fermi statistics. A phase diagram is obtained containing both the critical point where the distinctions between the liquid and vapor vanish and the triple point where the liquid, vapor, and crystal are in equilibrium.     

Shape preservation regions for six-dimensional spaces

We analyze the critical length for design purposes of six-dimensional spaces invariant under translations and reflections containing the functions 1, cos t and sin t. These spaces also contain the first degree polynomials as well as trigonometric and/or hyperbolic functions. We identify the spaces whose critical length for design purposes is greater than 2π and find its maximum 4π. By a change of variables, two biparametric families of spaces arise. We call shape preservation region to the set of admissible parameters in order that the space has shape preserving representations for curves. We describe the shape preserving regions for both families. To our friend Mariano Gasca on occasion of his 60th birthday Research partially supported by the Spanish Research Grant MTM2006-03388, by Gobierno de Aragón and Fondo Social Europeo.     

Research on Hawking Radiation as Tunneling from Schwarzshild-anti-de Sitter Black Hole

After taking into account energy conservation and the particle’s self-gravitation interaction, Hawking radiation of the massive particle as tunneling from Schwarzshild-anti-de Sitter black hole is studied by using Parikh-Wilczek’s semi-classical quantum tunneling approach. Meanwhile, Hawking radiation as tunneling from the black hole is reexamined by developing Angheben–Nadalini–Vanzo–Zerbini (ANVZ) covariant method to cover energy conservation and the particle’s self-gravitation interaction. Both the results perfectly generalize those obtained by Parikh and Wilczek, and show that the tunneling rate is related to the change of Bekenstein-Hawking entropy, and the factual emission spectrum is not exactly thermal, but satisfies the underlying unitary theory. PACS: 04.70-s, 9760. Lf.     

Pairwise Correlations in a Multicomponent Anisotropic Liquid

We investigate a multicomponent anisotropic liquid system. The first spatial moment of the direct correlation function is taken into account to obtain asymptotic expressions for the pairwise correlation functions. In this approximation, we obtain the pairwise correlation functions that describe the system behavior not only in the critical-state neighborhood but also in the noncritical domain. We show that the critical parameters for the anisotropic system differ from those for the isotropic system.     

On the blow-up rate of large solutions for a porous media logistic equation on radial domain

In this paper we establish the exact blow-up rate of the large solutions of a porous media logistic equation. We consider the carrying capacity function with a general decay rate at the boundary instead of the usual cases when it can be approximated by a distant function. Obtaining the accurate blow-up rate allows us to establish the uniqueness result. Our result covers all previous results on the ball domain and can be further adapted in a more general domain.     

中国银行间拆借利率扩散模型的极大拟似然估计

本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。并用自助法对众多不同的模型进行了广义拟似然比检验。结论表明:中国货币市场利率具有均值回复效应:利率敏感系数γ值为1.421265,对利率水平具有较高敏感性。     

Lp[0,1]空间Müntz有理逼近的Jackson型估计

设Λ={λn}n∞=1为正的实数数列,且当n→∞时,有λn↘0.本文给出了当λn≤Mn-1/2,n=1,2,…,(其中M＞0为一正常数)时Müntz系统{xλn}的有理函数在Lp[0,1]空间的逼近速度,主要结论为Rn(f,Λ) Lp≤CMω(f,n-1/2)Lp,1≤p≤∞.