标的股票服从更新跳跃-扩散过程的欧式期权定价

市场中重大信息的到达会引起股票价格的跳跃.假设关于标的股票的重大信息到达服从更新过程,利用套期保值和无套利的思想,研究了欧式期权的定价.给出了更新跳跃情况下股票的价格公式和欧式期权应满足的偏微分方程,用Feynman-Kac公式求得欧式买权的价格,并用计算结果进行了验证.     

PPP项目中政府补偿与社会资本投资运营决策研究

从社会资本的视角出发研究了政府部门补偿额度的大小对PPP项目中社会资本投资决策和运营决策的影响,通过将政府部门的补偿分为不同的等级,并结合实物期权理论建立模型求解出了不同等级下社会资本投资的临界值和退出的临界值。算例分析表明在考虑政府补偿的情形下,项目经营阶段社会资本退出的临界值远低于其经营成本,项目投资阶段社会资本投资的临界值严格大于其退出的临界值,并且随着政府补偿额度的增加,投资和退出的临界值严格递减。     

Modelling and Numerical Valuation of Power Derivatives in Energy Markets

In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process. We focus on the derivation of the partial integro-differential equation (PIDE) which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation. For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part. Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven. Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters. In particular, the effects of number of exercise rights, jump intensities and dividend yields will be investigated in depth.     

数字图像处理在棉花异性纤维检测中的应用

针对棉花中混杂的与棉纤维颜色、形态十分相似的异性纤维,提出了一种新的检测方法。把异性纤维与棉纤维在近红外的吸收特性差别转化为两者图像的灰度特征差别,运用数字图像处理算法可达到高精度的检测。     

中国外汇储备规模适度性研究与预测

2005年,我国的外汇储备已经达到8188.72亿美元,且在近几年呈高速增长的势态.我国的外汇储备是否过多,这种增长是否会继续,面对高额的外汇储备,我们应该采取怎样的态度和政策?利用1979年—2005年的年度数据,运用协整分析的方法对外汇储备及相关变量进行分析,并通过得出的结论对上述问题给出一个解答.     

Cloning of a marine cyanobacterial promoter for foreign gene expression using a promoter probe vector

A marine cyanobacterial promoter was cloned to allow efficient foreign gene expression. This was carried out using chloramphenicol acetyl transferase (CAT) as a marker protein. For rapid and simple measurement of CAT activity, a method based on a fluorescently labeled substrate was improved by utilizing HPLC equipped with a flowthrough fluorescent spectrophotometer. This method was used in conjunction with a newly constructed promoter probe vector. Cyanobacterial transformants, harboring plasmid containing a cloned 2-kbp marine cyanobacterial genomic fragment, showed a 10-fold higher CAT activity, compared with that achieved using the kanamycin-resistant gene promoter. From the sequence analysis of the cloned fragment, a putative promoter region was found.     

A reduced form model for ESO valuation

In this paper we extend a reduced form model for the valuation of employee share options (ESOs) to incorporate employee departure, and company takeover. We also allow for performance linked vesting and other exotic features specific to ESOs. We clarify the assumptions underlying the reduced form model, and discuss their implications. We analyze the probabilistic structure of the model which includes an explicit characterization of the set of equivalent martingale measures, as well as the computation of the variance optimal martingale measure and the minimal martingale measure. Moreover, we deduce an additive decomposition of the relative entropy. Particular ESO specifications are studied emphasizing different aspects of the proposed framework. In this context, we also provide strict no-arbitrage bounds for ESO prices by applying optimal stopping. Furthermore, possible limitations of the proposed model are explored by examining departures from the crucial assumptions of no-arbitrage, i.e. by considering the effects of the employee having inside information.     

Expression of Human Hepatitis B Virus Surface Antigen Gene in Transgenic Tobacco

Expression of Human hepatitis B virus surface antigen (HBsAg) gene in plant was reported for the first time. The recombinant plasmid pRoKⅡ-HBsAg was constructed by inserting HBsAg gene into the downstream of CaMV 35S promoter of binary vector pRoKⅡ and then introduced into Agrobacterium tumefaciens LBA4404. The kanamycin-resistant plants were obtained by Agrobacterium-mediated transformation system. It was shown that HBsAg gene was expressed in transgenic tobacco plants and their progenies by ELISA. The spherical particles of ψ 22 nm in the leaf extract of trangenic tobacco were observed by immunosorbent electron microscopy.     

有供应方限制的临时价格折扣与最优存贮模型

供应方提供临时价格折扣，一般都附带特别定货量限制。购买方可在所提供折扣价格条件下从有限种订货量中选择最小的订货量，但不一定是最优订货量。本文提出有供应方限制的临时价格折扣条件下的最优存贮模型和订货策略。并给出应用实例。     

American option valuation in a stochastic volatility model with transaction costs

In the present paper we analyse the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton–Jacobi–Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the utility function, we shall provide a numerical example illustrating how American options prices can be computed in the present modelling framework.