光镊技术研究硝酸铵在超粘气溶胶中的挥发性

大气颗粒物中挥发性物质的气粒分配问题是大气科学研究的热点.选择典型的高粘度态模型体系、硝酸铵/蔗糖体系以及硝酸铵/硫酸镁体系，利用光镊-受激拉曼光谱技术原位获得液滴的自发拉曼和受激拉曼信号，同时观察回音壁（WGM）模式，利用米氏散射理论对一系列的WGMs峰位在给定范围内的粒子半径和折射率进行模拟计算，通过Maxwell方程精确计算了两个体系中硝酸铵在不同相对湿度（RH）下的有效饱和蒸汽压值，结果表明，在低湿度下的超粘态液滴中硝酸铵的有效饱和蒸汽压比纯硝酸铵的饱和蒸汽压低1～3个数量级.显然，低相对湿度下，液滴中硝酸铵的挥发受到了抑制.     

Trans-, cis-isomers of (1,1,1-trifluoro-2,4-pentandionato)Pt(II): Volatility, structure and crystal lattice energy

Trans-and cis-complexes of platinum(II) with trifluoroacetylacetone (Pt(tfa)₂) have been prepared and studied. The synthesis and the separation technique for the isomers are described. Temperature dependencies of saturated vapor pressure measured with a spoon gauge are reported for the cis-Pt(tfa)₂ and trans-Pt(tfa)₂ complexes. The isomers show a significant difference in volatility. The structural study of Pt(tfa)₂ isomers has been performed. Molecular packings in the crystal of each isomer are considered on the base of structural data. The calculation of van der Waals energy of the crystal lattice of cis-Pt(tfa)₂ and trans-Pt(tfa)₂ was made by the atom-atom potential technique, their values being compared with experimental ΔH _T ⁰ values of sublimation for the complexes.     

Affine representations of fractional processes with applications in mathematical finance

Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and practical difficulties in computation and calibration. To address these issues, we show that a certain class of fractional processes can be represented as linear functionals of an infinite dimensional affine process. This can be derived from integral representations similar to those of Carmona, Coutin, Montseny, and Muravlev. We demonstrate by means of several examples that this allows one to construct tractable financial models with fractional features.     

Derivatives trading for insurers

We investigate optimal strategies for a constant absolute risk aversion (CARA) insurer to manage its business risk through not only equity investment and proportional reinsurance but also trading derivatives of the equity. We obtain the optimal strategies in closed-form and quantify the value of derivatives trading by means of certainty-equivalence. Some numerical examples and sensitivity analysis are presented to illustrate our theoretical results. Our numerical results show that, unlike standard CRRA investors, the gain from trading derivatives to a CARA insurer is small and the insurer needs to expose itself to a relatively large position to fully enjoy the gain.     

Robust optimal reinsurance and investment strategies for an AAI with multiple risks

This paper studies the robust optimal reinsurance and investment problem for an ambiguity averse insurer (abbr. AAI). The AAI sells insurance contracts and has access to proportional reinsurance business. The AAI can invest in a financial market consisting of four assets: one risk-free asset, one bond, one inflation protected bond and one stock, and has different levels of ambiguity aversions towards the risks. The goal of the AAI is to seek the robust optimal reinsurance and investment strategies under the worst case scenario. Here, the nominal interest rate is characterized by the Vasicek model; the inflation index is introduced according to the Fisher’s equation; and the stock price is driven by the Heston’s stochastic volatility model. The explicit forms of the robust optimal strategies and value function are derived by introducing an auxiliary robust optimal control problem and stochastic dynamic programming method. In the end of this paper, a detailed sensitivity analysis is presented to show the effects of market parameters on the robust optimal reinsurance policy, the robust optimal investment strategy and the utility loss when ignoring ambiguity.     

价格波动幅度变动率——一个新的市场风险度量指标

在度量风险时,一个常用的指标就是收益率的方差.然而,用该指标来度量风险会丢失掉一些非常有用的信息,如一日之内的开盘价,最高价,最低价等.鉴于传统指标的不足,提出用另一种指标---价格波动幅度变动率来度量市场风险.为了说明该指标的合理性及优良性,用标普500指数考察了该指标的主要经验统计特性和动态结构.结果表明新的指标具有近似正态性,建模的简易性及可预测性,因此可以作为一个新的风险度量指标.     

金融系统的非线性分析:交易量对股价波动的非线性影响

如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux 和 Lastrapes 认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.     

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of Schöbel and Zhu (1999) by including stochastic interest rates. Moreover, we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a general correlation structure between the instantaneous interest rates, the volatilities and the underlying stock returns. As insurance products often incorporate long-term exposures, they are typically more sensitive to changes in the interest rates, volatility and currencies. Therefore, having the flexibility to correlate the underlying asset price with both the stochastic volatility and the stochastic interest rates, yields a realistic model which is of practical importance for the pricing and hedging of such long-term contracts. We show that European options, typically used for the calibration of the model to market prices, and forward starting options can be priced efficiently and in closed-form by means of Fourier inversion techniques. We extensively discuss the numerical implementation of these pricing formulas, allowing for a fast and accurate valuation of European and forward starting options. The model will be especially useful for the pricing and risk management of insurance contracts and other exotic derivatives involving long-term maturities.     

On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps

We compute and then discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic volatility models of the Ornstein–Uhlenbeck type as introduced by Barndorff-Nielsen and Shephard. We show that in the model with leverage, with jumps both in the volatility and in the returns, all those measures are different, whereas in the model without leverage, with jumps in the volatility only and a continuous return process, several measures coincide, some simplifications can be made and the results are more explicit. We illustrate our results with parametric examples used in the literature.