模拟静电场实验中导电介质的选择

通过比较3种静电场描绘仪器的实验结果,分析误差产生的原因,指出选择导电介质应注意的问题。     

A Pricing Model for American Options with Gaussian Interest Rates

In this paper we introduce a new methodology to price American put options under stochastic interest rates. We derive an analytic approximation that can be evaluated very fast and is fairly accurate. The method uses the so-called forward risk adjusted measure to derive analytic prices. We show that for American puts the correlation between the stock price and the interest rate has different influences on European option values and early exercise premiums.     

A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

We present a new approach to asset allocation with transaction costs. A multiperiod stochastic linear programming model is developed where the risk is based on the worst case payoff that is endogenously determined by the model that balances expected return and risk. Utilizing portfolio protection and dynamic hedging, an investment portfolio similar to an option-like payoff structure on the initial investment portfolio is characterized. The relative changes in the expected terminal wealth, worst case payoff, and risk aversion, are studied theoretically and illustrated using a numerical example. This model dominates a static mean-variance model when the optimal portfolios are evaluated by the Sharpe ratio. Received: August 15, 1999 / Accepted: October 1, 2000?Published online December 15, 2000     

我国证券市场风险计量模型的构建

证券风险的计量准确与否,是证券组合理论能否有效运用的前提,在现有研究成果的基础上,结合我国证券市场的特点,选取“流通市值”作为影响我国证券风险的第二个因素,建立了证券风险计量模型,并使用统计软件对模型的适用性进行了检验．     

障碍期权的定价问题

障碍期权是与路径相关的期权 ,因而它的定价计算是非常复杂的 .本文利用反射原理对障碍期权的定价问题进行了简化 ,从而最终给出障碍期权的定价公式 .而文中多次运用 Girsanov定理构造等价鞅测度是解决问题的关键 ,它为反射原理的使用创造了基本条件 .     

一类输水线路的最佳布线问题

主要解决了如下问题 :对于从河流 L取水并输送到 L同岸的两个用水点 A,B的输水工程(图 1) ,当修建各段输水管道的耗资系数分别为 k1,k2 ,k3 时 ,如何确定抽水点 P及分水点 O才能使加权和值w =k1OA+ k2 OB+ k3OP为最小 .     

欧式向下敲出看涨幂期权的Esscher变换定价

首先根据障碍期权的不同类型,对普通欧式向下敲出看涨幂期权、部分时间开始、部分时间结束、一般部分时间欧式向下敲出看涨幂期权给出定义.通过E sscher变换分别给出定价公式.另外,对两资产欧式向下敲出幂期权也给出了定价公式,为实践者提供了理论上的参考价格.最后,阐述了此方法的优点.     

Inverse doubly periodic problem of the theory of bending of a plate with elastic inclusions

Based on the balanced strength principle, a problem of determining the optimal interference for fitting elastic inclusions into holes of an isotropic elastic plate weakened by a doubly periodic system of circular holes is solved. A closed system of algebraic equations is derived, which allows solving this problem. The resultant interference increases the load-carrying capacity of the composite plate being bent. __________ Translated from Prikladnaya Mekhanika i Tekhnicheskaya Fizika, Vol. 47, No. 4, pp. 153–161, July–August, 2006.