Manifolds with minimal radial curvature bounded from below and big volume

We prove that a convergence in the Gromov-Hausdorff distance of manifolds with minimal radial curvature bounded from below by 1 to the standard sphere is equivalent to a volume convergence.

     

计算机辅助几何设计中极小曲面造型的研究进展

极小曲面在工程领域有着广泛应用,因此将其引入计算机辅助几何设计领域具有重要意义.详细概述了近年来计算机辅助几何设计领域中极小曲面造型的研究工作,按照造型方法的不同,可将现有工作分为精确造型方法和逼近造型方法两类.精确造型方法主要包括两个部分:某些特殊极小曲面的控制网格表示与构造;等温参数多项式极小曲面的挖掘与性质.逼近造型方法主要包括3个部分t基于数值计算的逼近方法;基于线性偏微分方程的逼近方法;基于能量函数最优化的逼近方法.最后对这些方法进行了分析比较,并讨论了极小曲面造型中有待进一步解决的问题.     

On unbounded subnormal operators

A minimal normal extension of unbounded subnormal operators is established and characterized and spectral inclusion theorem is proved. An inverse Cayley transform is constructed to obtain a closed unbounded subnormal operator from a bounded one. Two classes of unbounded subnormals viz analytic Toeplitz operators and Bergman operators are exhibited.     

Style goods pricing with demand learning

For many industries (e.g., apparel retailing) managing demand through price adjustments is often the only tool left to companies once the replenishment decisions are made. A significant amount of uncertainty about the magnitude and price sensitivity of demand can be resolved using the early sales information. In this study, a Bayesian model is developed to summarize sales information and pricing history in an efficient way. This model is incorporated into a periodic pricing model to optimize revenues for a given stock of items over a finite horizon. A computational study is carried out in order to find out the circumstances under which learning is most beneficial. The model is extended to allow for replenishments within the season, in order to understand global sourcing decisions made by apparel retailers. Some of the findings are empirically validated using data from U.S. apparel industry.     

Dependence properties and comparison results for Lévy processes

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding properties of the Lévy copula, a concept which has been introduced recently in Cont and Tankov (Financial modelling with jump processes. Chapman & Hall/CRC, Boca Raton, 2004) and Kallsen and Tankov (J Multivariate Anal 97:1551–1572, 2006). It turns out that association, positive orthant dependence and positive supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and characterize them by orders of the Lévy measures and by orders of the Lévy copulas, respectively. An example is given that the Lévy copula does not determine dependence concepts like multivariate total positivity of order 2 or conditionally increasing in sequence. Besides these general results we specialize our findings for subfamilies of Lévy processes. The last section contains some applications in finance and insurance like comparison statements for ruin times, ruin probabilities and option prices which extends the current literature. Anja Blatter was supported by the Deutsche Forschungsgemeinschaft (DFG).     

Third-order extensions of Lo’s semiparametric bound for European call options

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area. Specifically, we derive closed-form semiparametric bounds for the payoff of a European call option, given up to third-order moment (i.e., mean, variance, and skewness) information on the underlying asset price. We analyze how these bounds tighten the corresponding bounds, when only second-order moment (i.e., mean and variance) information is provided. We describe applications of these results in the context of option pricing; as well as in other areas such as inventory management, and actuarial science.     

保险定价原则实证分析

本文根据失真保险定价原则 ,以我国某保险以同的某项机动车保险业务为例 ,对其保费进行了实证分析     

Characterization of standard embeddings between complex Grassmannians by means of varieties of minimal rational tangents

In 1993,Tsal proved that a proper holomorphic mapping f:Ω→Ω' from an irreducible bounded symmetric domainΩof rank≥2 into a bounded symmetric domainΩ' is necessarily totally geodesic provided that r':=rank(Ω')≤rank(Ω):= r,proving a conjecture of the author's motivated by Hermitian metric rigidity.As a first step in the proof,Tsai showed that df preserves almost everywhere the set of tangent vectors of rank 1.Identifying bounded symmetric domains as open subsets of their compact duals by means of the Borel embedding,this means that the germ of f at a general point preserves the varieties of minimal rational tangents(VMRTs). In another completely different direction Hwang-Mok established with very few exceptions the Cartan- Fubini extension priniciple for germs of local biholomorphisms between Fano manifolds of Picard num- ber 1,showing that the germ of map extends to a global biholomorphism provided that it preserves VMRTs.We propose to isolate the problem of characterization of special holomorphic embeddings between Fano manifolds of Picard number 1,especially in the case of classical manifolds such as ratio- nal homogeneous spaces of Picard number 1,by a non-equidimensional analogue of the Cartan-Fubini extension principle.As an illustration we show along this line that standard embeddings between com- plex Grassmann manifolds of rank≤2 can be characterized by the VMRT-preserving property and a non-degeneracy condition,giving a new proof of a result of Neretin's which on the one hand paves the way for far-reaching generalizations to the context of rational homogeneous spaces and more generally Fano manifolds of Picard number 1,on the other hand should be applicable to the study of proper holomorphic mappings between bounded domains carrying some form of geometric structures.     

Bayesian parameter inference for models of the Black and Scholes type

In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying dS=SdX for some simple models of X. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as well as the likelihood function implied by the observed price history for the underlying. As an application of our framework, we compute the value at risk (VaR) and conditional VaR (CVaR) measures for the changes in the price of an option implied by the posterior distribution of the volatility of the underlying. The implied VaR and CVaR are more conservative than their classical counterpart, since it takes into account the estimation risk that arises due to parameter uncertainty. Copyright © 2008 John Wiley & Sons, Ltd.     

Pricing strategies for perishable products: the case of Vienna and the hotel reservation system hrs.com

Consider a retailer who sells perishable products for which there is uncertain demand. Yield management with dynamic pricing is a standard practice that firms use for revenue management. For perishable products, recent analysis has focused on the distribution of flight capacity, referred to as ticket sales. Other non- storable, non-transportable, immaterial hospitality products include hotel capacity. The article discusses the extent to which hotel pricing strategies vary within the internet distribution system hrs.com. This study focuses on the distribution of hotel rooms available for booking on the internet for Vienna and gives an outlook to Euroland capitals. The main research interests are the underlying pricing models and the setting of the end price. Data was taken from hrs.com, which is the most important specialist for hotel room internet distribution in Germany according to recent studies by KMPG and others. The results include the identification of different pricing strategy clusters with regard to hotel category and hotel availability over a 22-day period for Vienna and one city from all Euroland countries (the capitals were studied for all cases except for the Netherlands, for which data was collected for Amsterdam). The study took the arrival days Mondays, Tuesdays, Wednesdays and Thursdays into account, and used data for all these days from the 11th of July, 2005, to the 10th of October, 2005, for Vienna, and the first and the last of these dates as a comparison base for the other Euroland cities.