Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.     

Development of extraction procedures for the determination of imidacloprid: application to residue analysis and dynamics of two formulations in Chinese cabbage

This study was undertaken to investigate whether an additional column clean-up procedure can affect the accuracy of an analytical method developed for the determination of imidacloprid residues in Chinese cabbage. Thereafter, the residue levels and the degradation rates of imidacloprid were investigated in experimental Chinese cabbage plots after treatment with two different commercial formulations: emulsifiable concentrate (EC) and wettable powder (WP). The analyte was determined using high-performance liquid chromatography-ultraviolet detection (HPLC-UVD) and confirmed by high-performance liquid chromatography-mass spectrometry (HPLC-MS) in the select ion-monitoring mode. The mean recoveries ranged from 75.34 to 98.00% and 96.95 to 100.97%, with relative standard deviations of 0.86-4.14 and 1.22-3.52%, in samples treated with and without additional column clean-up procedures, respectively. The minimum detectable amount of imidacloprid was 4 ng, while the limits of detection and quantitation were 0.2 and 0.5 ppm, respectively. The degradation of pesticide was monitored throughout a period of 13 days under greenhouse conditions. Although the behaviors of the EC and WP formulations appear to be similar, the absolute residue levels obtained with EC and WP treatments differed slightly. When imidacloprid formulations were applied (as foliar treatments) according to the recommended rate, the final residues (13 days post-treatment) in Chinese cabbage were much lower than the maximum residue limit (MRL = 3.5 ppm) established by the Korean Food and Drug Administration. Taken together, our study suggests that the analysis of imidacloprid can be performed without an additional column clean-up procedure, and the decline curve and the residue levels in Chinese cabbage could change if the same active ingredient is used in different formulations.     

基于分形B-S定价模型的认购权证价格行为实证分析

针对证券收益率呈现"尖峰厚尾"的分布特征,在分析传统B-S权证定价模型的不足基础上,本文提出了基于分形理论的B-S权证定价模型,并利用分形B-S权证定价模型和传统B-S模型分析认购权证价格变化的行为。实证结果发现,两种模型的理论价格均低估了市场价格,且低估的程度具有显著统计性,其中以分形B-S模型评价结果最接近市场价格,评价绩效好。探讨影响分形B-S权证模型理论价格与市场价格差异的主要因素,结果发现距到期日时间的长短、价内外程度以及流动性在解释价差程度上具有统计的显著性。     

面向时间敏感型顾客的服务系统速率-成本决策模型

针对一类客户资源集中、时间敏感性强、质量要求高的服务系统决策问题,建立M/M/1排队模型,分析稳定状态下顾客参与服务系统的均衡到达率、服务价格之间的关系以及服务商最优速率.结果表明:服务速率与顾客单位时间等待成本无关,而均衡到达率和服务价格均与顾客单位等待成本呈负相关;当基准服务质量达到一定水平时,企业要提高利润就要追加投资,降低顾客等待效用,提高顾客满意度.     

基于价格选择的集配一体化车辆路径问题研究

在家电的集配一体化过程中,回收价格不仅影响企业的回收成本,而且同样影响车辆路径,然而在家电集配过程中回收价格因素一直未能引起足够的重视.为此,以回收价格为出发点,通过定价系统根据产品可再生利用价值与制造商所给的回收价格的差别研究车辆路径优化问题,建立该问题的数学规划模型,同时结合家电集配一体化的实际性和复杂性的要求设计了改进遗传算法.最后,结合算例进行仿真计算,验证了模型与算法的有效性.     

Nano/Biomimetic Tissue Adhesives Development: From Research to Clinical Application

Wound closure and healing have been a problem that humans have faced since the ancient eras. An appropriate tissue connector must hold the edges of injured tissues close together to support healing and also prevent the leakage of biological fluids when resisting against the tensile forces. Even though clinical usage of mechanical methods is convenient for wound closure, their application has some limitations and drawbacks such as being painful for patients and hard to apply for surgeons when the injured site is not in touch. Furthermore, they do not have desirable cosmetic results. To solve these problems, closing the wounds with sticky materials has been introduced to prevent bleeding and induce the wound healing process. To this regard, many types of surgical adhesives including tissue adhesives have been developed to be a suitable alternative for sutures and staples. There is also a new approach which aims at producing bioadhesives by mimicking the nature along with applying nanotechnology methods. Today, many studies have been done to develop new adhesives inspired by nature. We have attempted to introduce the fundamentals of wound healing along with the different types of bioadhesives, their properties, and clinical applications in a simple and illustrated comprehensive way.     

房价波动的财富效应对城镇居民收入的影响——基于湖南省的协整检验分析

基于微观视角,梳理房地产财富效应的作用机理,构建了房价影响居民收入的理论基础,并利用湖南省1998~2014年数据实证检验了房价波动对居民收入的影响程度.实证结果表明,房价与居民收入之间具有长期协整关系,若房地产市场繁荣致使房价增长1%,则居民收入相应增长0.519%.通过向量误差修正模型检验发现,当短期房价波动偏离长期均衡值时,以负0.33的力度反向作用机制将波动拉回到长期均衡值.     

需求弹性在价格决策中的应用

将着眼点由总收益改变为总利润,对于需求弹性用于价格决策,利用微积分方法,分5种情况进行推导,得到的结论修正和补充了现行"经济数学"、"市场营销学"和"管理经济学"等教科书里讲的内容,并在此基础上进一步研究了最佳调价量问题.     

购买价格递减的在线租赁问题策略设计

运用在线问题与竞争分析的方法研究了购买价格递减的在线租赁问题。通过揭示相关费用函数的性质,先后给出了最优离线策略以及在线策略。通过竞争比分析,证明了我们给出的在线策略是该问题唯一最优策略,而且该策略的竞争比随购买价格的优惠率的增加呈严格递减趋势。竞争分析结果表明考虑购买价格递减因素能够改进在线策略的竞争比从而提高决策效率。     

基于投资者情绪的市场均衡分析

在行为金融研究框架下,通过分析情绪投资者与理性投资者的市场均衡条件,构建基于投资者情绪的资产定价模型,并对模型进行了数值模拟。结果表明,投资者情绪是影响资产价格的重要因素:被情绪投资者高估的资产,其回报将下降;被情绪投资者低估的资产,其回报将增加;资产回报的变化程度与情绪投资者卖出低估资产的份额正相关,与资产预期回报金额的相关系数负相关;并且,乐观情绪与悲观情绪对资产价格的作用是非对称的。