Quadratic Hedging Methods for Defaultable Claims

We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity.     

琅玡山抽水蓄能电站厂房位置及轴线方向的优化选择

地下厂房位置及轴线方向的选择是一项重要的地质工作,本文在分析琅山抽水蓄能电站厂房区工程地质条件的基础上,就厂房位置及其轴线方向的优化选择,进行了分析和研究。     

论地质灾害防治工程的地质观与工程观

概括前人的经验, 结合作者个人的实践, 本文较详细地讨论了地质灾害防治工程的地质观念与工程观念。提出地质观的核心问题是地质灾害体的变形破坏力学机理分析, 工程观观与工程观运用的最佳耦合。文中还讨论了超前预测的作用, 监测反馈与工程效果检验的关系, 以及地质工程师与设计工程师的关系等, 最后以链子崖危岩体防治工程为例进行了说明。     

A step-by-step guide to building two-population stochastic mortality models

Two-population stochastic mortality models play a crucial role in the securitization of longevity risk. In particular, they allow us to quantify the population basis risk when longevity hedges are built from broad-based mortality indexes. In this paper, we propose and illustrate a systematic process for constructing a two-population mortality model for a pair of populations. The process encompasses four steps, namely (1) determining the conditions for biological reasonableness, (2) identifying an appropriate base model specification, (3) choosing a suitable time-series process and correlation structure for projecting period and/or cohort effects into the future, and (4) model evaluation.For each of the seven single-population models from Cairns et al. (2009), we propose two-population generalizations. We derive criteria required to avoid long-term divergence problems and the likelihood functions for estimating the models. We also explain how the parameter estimates are found, and how the models are systematically simplified to optimize the fit based on the Bayes Information Criterion. Throughout the paper, the results and methodology are illustrated using real data from two pairs of populations.     

A general criterion to determine the number of change-points

A general criterion is proposed to determine the number K of the change-points in a parametric nonlinear multi-response model. Schwarz criterion is a particular case. The change-points depend on regressor values and not on instant of measure. We prove that the proposed estimator for K is consistent. Simulation results, using Monte Carlo technique, for nonlinear models which have numerous applications, support the relevance of the theory.     

顺序等离子体光谱技术测定煤飞灰中常量,少量和微量元素

本文采用顺序等离子体光谱技术测定煤飞灰中主要成份（Ｃａ、Ｍｇ、Ｆｅ、Ａｌ、Ｓｉ、Ｎａ、Ｋ、Ｔｉ）及微量成份（Ｃｕ、Ｓｃ、Ｖ、Ｎｉ、Ｂｅ、Ｍｎ）。用扫描光谱法研究了分析线的选择和光谱背景的扣除。试样用密封罐混酸溶解。测定煤飞灰标准样品ＮＢＳ１６３３ａ的结果与标准值一致。方法用于测定新制备的煤飞灰标准参考物。     

曲线选配的模糊性

对样本进行回归分析时不可避免地遇到曲线类型选配的困难。本文指出，相关关系不确定因素中存在模糊性，即选配曲线是一个模糊问题。     

Job selection and sequencing on a single machine in a random environment

We examine a single machine scheduling problem with random processing times and deadline. Given a set of independent jobs having specified initiation costs and terminal revenues, the objective is to select a subset of the jobs and sequence the selected jobs such that the expected profit is maximized. The job selection aspect considered by us marks a clear departure from the pure sequencing focus found in the traditional scheduling literature. In this paper, we assume an exponentially distributed deadline and do not allow preemption. Even under these conditions, the selection and sequencing problem remains quite difficult (unlike its pure sequencing counterpart); we in fact conjecture that the problem is NP-hard. However, we show that the problem can be efficiently solved as long as the cost parameter is agreeable or an approximate solution is acceptable. To this end, we describe several solution properties, present dynamic programming algorithms (one of which exhibits a pseudo-polynomial time worst-case complexity), and propose a fully-polynomial time approximation scheme. In addition, we study a number of special cases which can be solved in polynomial time. Finally, we summarize our work and discuss an extension where the jobs are precedence related.     

Polarization selection rules in scattering of cavity polaritons

We theoretically discuss scattering of polaritons in semiconductor microcavities by means of a microscopic model. Taking into account the composite character of excitons (formed by an electron and a hole), we analyze the relation between polarizations of incoming and outgoing polariton states under resonant excitation by linearly polarized laser beams with opposite in-plane momenta. In addition to these polarization selection rules, we investigate the nonlinear processes up to the sixth order and we show the origin of an induced anisotropy due to the excitation beams which is responsible for the operation of an optical gate based on polariton–polariton scattering in a microcavity.     

Constrained LQ Problem with a Random Jump and Application to Portfolio Selection

This paper deals with a constrained stochastic linear-quadratic(LQ for short)optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random coefficients. Moreover, there is a random jump of the state process. In mathematical finance, the random jump often represents the default of a counter party. Thanks to the It-Tanaka formula, optimal control and optimal value can be obtained by solutions of a system of backward stochastic differential equations(BSDEs for short). The solvability of the BSDEs is obtained by solving a recursive system of BSDEs driven by the Brownian motions. The author also applies the result to the mean variance portfolio selection problem in which the stock price can be affected by the default of a counterparty.