跳跃过程下的汇率连动期权的定价

假设汇率变化过程服从带跳的几何布朗运动,股票价格遵循带跳的O-U过程,建立汇率连动期权市场模型,利用保险精算方法和Girsanov公式,给出了汇率连动期权的定价公式,获得了欧式看涨和看跌期权定价公式及平价公式．     

Periodic solutions of an iterative functional differential equation with variable coefficients

In this paper, we use Krasnoselskii's fixed point theorem to study the existence and uniqueness of periodic solutions of an iterative functional differential equation Copyright © 2016 John Wiley & Sons, Ltd.     

基于博弈论视角的稀土矿区环境治理及监管策略研究

针对稀土矿区环境治理的复杂性,本文通过建立地方政府和稀土企业之间的动态演化博弈模型,分析了博弈双方在不同情形下的演化稳定策略及其影响因素,并利用matlab对其进行数值仿真。研究表明,地方政府的监管成本、执行环境规制时对稀土企业的奖惩政策、稀土企业的治污成本以及非法开采时的额外收益都会影响地方政府与稀土企业的演化稳定策略,降低地方政府的监管成本、稀土企业的治污成本等都会引导博弈双方的演化稳定策略趋向于{严格监管,合法开采},从而促进矿区环境的可持续性发展。     

资质过剩感知与员工时间侵占行为的关系研究:自我决定感和威权领导的作用

本文以资源保存理论和自我决定理论为切入点,探讨了资质过剩感知与员工时间侵占行为的关系及自我决定感和威权领导在两者之间的作用机制。以402名企事业员工为对象的调查研究显示:资质过剩感知正向影响员工时间侵占行为;自我决定感在资质过剩感知与员工时间侵占行为之间起到了部分中介作用;威权领导调节了资质过剩感知与自我决定感之间的关系,同时调节了资质过剩感知通过自我决定感的降低影响员工时间侵占行为的间接效应。     

Impact of Pr on structural,superconducting and magnetic properties of Y1−xPrxBaSrCu3O7

We study the structural, superconducting and magnetic properties of the Y_1−xPr_xBaSrCu₃O₇ system with x=0.0, 0.20, 0.25, 0.30, 0.40, 0.50, 0.60, 0.75 and 1.0, from X-ray diffraction, AC and DC magnetic susceptibility measurements. X-ray diffraction results reveal that while Pr substitutes isostructurally until x=0.50 in Y_1−xPr_xBaSrCu₃O₇, for x=0.75 and 1.0 few small intensity un-reacted lines are observed in the spectrum. The orthorhombic distortion decreases with an increase in x. Both x=0.75 and 1.0 samples are tetragonal. The c lattice parameter of the substituted samples increases with x, indicating probable substitution of comparatively bigger ionic radii Pr^3+/4+ ion at Y³⁺ in Y_1−xPr_xBaSrCu₃O₇ system. The AC susceptibility results showed that the transition temperature T_c of the Y_1−xPr_xBaSrCu₃O₇ system decreases monotonically with an increase in x. Both x=0.75 and 1.0 samples do not show a superconducting transition down to 4.2 K. The critical concentration of Pr to completely suppress superconductivity in Y_1−xPr_xBaSrCu₃O₇ is higher (0.75) than that reported (0.55) for Y_1−xPr_xBa₂Cu₃O₇. DC magnetic susceptibility measurements done on PrBaSrCu₃O₇ and PrBa₂Cu₃O₇ samples at 0.5 T revealed that while the Pr ordering temperature seems to be 12 K for the former, the same is 17 K for the latter. These results indicate that the ordering temperature of Pr moments in RE_1−xPr_x : 123-type systems, which decides the Pr^4f hybridisation with the Cu–O conduction band has a direct connection to the suppression of superconductivity. The lower T_N of Pr explains the less destructive effect of the same on the superconductivity of the parent undoped system.     

Capturing decision maker preference: Experimental comparison of decision analysis and MCDM techniques

This paper describes the results of a laboratory study which investigates preference in decision making under certainty with multiple, conflicting objectives and continuous decision variables. Techniques for solving such problems are taken from the fields of decision analysis and optimization: the SMART technique for the former and both the NAIVE and Zionts-Wallenius techniques for the latter. The purpose of the experiment is to determine the ability of each technique to correctly capture decision maker preference. In addition, the relative preference of the decision maker for each technique was obtained. The experiment was conducted on a random sample of business school undergraduates and involved a decision with three criteria. The results give insight into the use of several techniques when confronted with decisions with multiple criteria.     

Mixed integer programming model formulations for dynamic multi-item multi-level capacitated lotsizing

Recently there have been two new proposals to model the dynamic multi-item multi-level capacitated lotsizing problem by variable redefinitions based on either a shortest route or a simple plant location representation of the underlying decision problem. Here we will introduce an extended version of the well-known inventory and lotsize model followed by a new model formulation based on modeling the changes of end-of-period inventory levels explicitly. Secondly, we will compare the suitability of different model formulations when solving problem instances with up to 40 items and 16 periods utilizing state-of-the-art standard MIP software on a personal computer.     

Thermodynamics and weak cosmic censorship conjecture of an AdS black hole with a monopole in the extended phase space

The first law of black hole thermodynamics has been shown to be valid in the extended phase space.However,the second law and the weak cosmic censorship conjecture have not been investigated extensively.We investigate the laws of thermodynamics and the weak cosmic censorship conjecture of an AdS black hole with a global monopole in the extended phase space in the case of charged particle absorption.It is shown that the first law of thermodynamics is valid,while the second law is violated for the extremal and near-extremal black holes.Moreover,we find that the weak cosmic censorship conjecture is valid only for the extremal black hole,and that it can be violated for the near-extremal black holes,which is different from the previous results.