不透明销售的顾客退货政策选择

本文探讨从事不透明销售的零售商对顾客退货政策的选择问题。分别针对零售商垄断和竞争两种市场情况,建立不透明零售商与其它供应链成员(制造商或普通零售商)之间的博弈模型,获得唯一均衡解;对均衡结果进行结构化分析,给出不透明销售方式下采用全额退款政策的判别条件;针对均衡结果,分析零售商垄断情况下产品不透明参数的最优设计,以及零售商竞争情况下的市场分化情况;鉴于净残值参数在退货政策选择中的决定性作用,本文进一步探讨了净残值为正时全额退款政策对各参与方利润及产品需求和价格的影响,分析了净残值在其中的作用机理。本研究能够为不透明零售商制定退货政策和价格以及其它供应链成员制定相关决策提供支持。     

收益管理中单产品动态定价的稳健模型研究

在收益管理的动态定价模型的研究中,由传统的确定性模型和随机模型所得到的定价策略常常受限制于需求估计的准确性,当对需求的估计出现偏差时定价策略可能达不到最大化收益的目的,因此定价策略即最优解的稳健性越来越受到研究者的重视。针对需求函数系数的不确定性,在未知需求分布的条件下,应用稳健最优化思想,提出了一种稳健的动态定价模型,并对模型的最优解和最大收益进行了数值模拟分析。     

银行项目信贷风险决策分析

利用实物期权的方法对银行项目信贷的期权特性进行了讨论,对项目的收益与风险进行了更为准确的数理分析.为使结论更加准确可靠,并对具体的实例进行了剖析,说明了衍生产品在银行的项目信贷过程中也可以很好地理论指导实践,使银行能够更好地对贷前风险进行有效控制.     

波动率服从有限的马尔可夫过程的期权定价

通过对服从有限马儿可夫过程的标的资产价格波动率进行分析,得出了在未来时刻波动的预测模型,并给出了相应的期权定价方法。     

Modeling investment behavior under price cap regulation

Motivated by the frequently observed criticism of the regulatory practice arising from companies in the industries concerned, we investigate the impact of regulation on investment behavior. Therefore, we model the investment timing and volume of a firm acting in a regulated market. When capping prices, the regulatory authority imposes a price ceiling on market prices. Accordingly, we use a real option approach where the price cap that limits possible future firm values enters the firm’s portfolio in form of a short call option position. By comparing this framework to a competitive benchmark model, we derive an optimal price setting rule for regulators. Moreover, it can be shown how deviations from this optimum affect the investment behavior of firms.      

丙烯腈、己二腈和丙腈与水的二元体系液-液相平衡数据的测定和关联(英文)

采用平衡法测定了丙烯腈+水、己二腈+水、丙腈+水三个二元体系在不同温度(303.15、313.15、323.15、333.15K)下的液-液相平衡数据;并采用NRTL(α=0.2,α=0.3)模型和UNIQUAC模型对液-液平衡数据进行了关联.结果显示,NRTL和UNIQUAC模型对三个二元体系在不同温度下的互溶度关联的目标函数值均小于1×10-17,实验值与计算值吻合较好,绝对偏差小于0.009,关联精度较高.该研究结果可为丙烯腈、丙腈和水三元平衡溶解度数据的模拟和预测提供可靠的基础数据,并对电解二聚法生产己二腈中电解液的分离提纯工艺具有一定的指导意义.     

Fourier Inversion Formulas in Option Pricing and Insurance

Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max (S – K, 0) also arises in excess-of-loss or stop-loss insurance, and we show that Fourier methods may be used to compute them. In this paper, we take the idea of using Parseval’s theorem further: (1) formulas requiring weaker assumptions; (2) relationship with classical inversion theorems for probability distributions; (3) formulas for payoffs which occur in insurance. Numerical examples are provided.      

Facile fabrication of superhydrophobic surface with micro/nanoscale binary structures on aluminum substrate

The present work reports a simple method to produce the aluminum superhydrophobic surface based on an interface reaction between an aluminum foil and zinc aqueous solution. The products were characterized by field-emission scanning electron microscopy, X-ray powder diffraction and X-ray photoelectron spectrum. The field-emission scanning electron microscopy images show that the coating surface is composed of micro/nanoscale binary structure, which is similar to the structure of lotus leaf. The wettability of the coating surface was also investigated. It was found that after treatment with stearic acid, the wettability of the aluminum foil changed from superhydrophilic to water-repellent superhydrophobic. The complex micro/nanoscale binary structures along with the low surface energy lead to the high surface superhydrophobicity.     

随机利率下跳-扩散过程的产量保险定价模型

本文研究了农产品价格为一般的跳-扩散模型,随机跳部分为复合Poisson过程,并假设远期利率服从HJM模型,利用测度变换技巧,给出了合同的在此模型下的解析解.