On the construction of non-affine jump-diffusion models

We describe a method for construction of jump analogues of certain one-dimensional diffusion processes satisfying solvable stochastic differential equations. The method is based on the reduction of the original stochastic differential equations to the ones with linear diffusion coefficients, which are reducible to the associated ordinary differential equations, by using the appropriate integrating factor processes. The analogues are constructed by means of adding the jump components linearly into the reduced stochastic differential equations. We illustrate the method by constructing jump analogues of several diffusion processes and expand the notion of market price of risk to the resulting non-affine jump-diffusion models.     

Utility maximization problem with random endowment and transaction costs: when wealth may become negative

In this article, we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct a shadow market by the dual optimal process and consider the utility-based pricing for random endowment.     

粮食最低收购价政策问题研究

利用聚类分析、逐步回归分析确定小麦与稻谷种植面积模型和指标体系.建立综合指标评价模型和ARMA模型,可知:最低收购政策具有托市效应.结合时间趋势剔除法、蛛网模型,可知:小麦和稻谷价格波动呈现5、3年的周期性,分别满足发散型、收敛型蛛网形态.建立基于补偿法的最低收购价定价模型并用BP神经网络模型进行检验.基于反证法,推知调控最低收购价提高5%小麦种植面积的做法是不可行的.最后提出了调控粮食种植的建议·     

基于面板模型的商品房价格影响因素的实证研究

选取了我国30个省市2006~2015年的面板数据,应用面板数据计量模型回归的方法,基于R语言对影响商品房价格的因素进行实证研究.首先,经过Hausman检验与F检验确定面板数据的模型为混合估计模型;模型可以通过十折交叉验证法、残差正太性的检验、Q-Q图检验、变量间共线性的检验;最后经过逐步回归分析,结果表明土地价格、商品房销售面积、居民可支配收入、人均国内总产值财政收入占地区生产总值比重、汇率这6个指标对商品房价格都有显著性的影响.其中,土地价格和居民可支配收入对商品房价格的影响最为突出.     

Degradation and recovery in poly(butylene adipate-co-terephthalate)/ thermoplastic starch blends

The economic and social impact of the increasing waste disposal problems of conventional plastic materials are well known and promoted the search for better recyclable and biodegradable polymers, blends and compounds. Fully biodegradable blends of poly(butylene adipate-co-terephthalate) (PBAT), a synthetic copolyester, and thermoplastic starch (TPS), a natural polysaccharide, are of technical and economic interest in the quest for eco-friendly polymeric materials to substitute conventional alternatives. One of less desirable characteristics of many new biodegradable materials is their relative thermal instability (degradation) under processing conditions.In the present work, PBAT/TPS blends with up to 30% TPS were processed at different temperatures in a laboratory internal mixer, with and without the incorporation of a chain extender additive (Joncryl). The rate of change of torque during the melt processing stage, adjusted to eliminate minor temperature variations, is a very sensitive indicator of variation of molar mass due to degradation and recovery. It was found that TPS content promotes thermal degradation in the PBAT/TPS blends at levels above those observed in neat components, in a strongly composition and temperature-dependent process. The addition of 1% of the chain extender additive partially reverts the process, especially during processing at high temperature.     

运用综合手段研究铅锌硫化物精矿的氧化和鉴定其产物

南京关口每年从国外进口铅、锌精矿达几百万吨,随着我国国民经济的发展,作为重要有色金属来源的该矿种的进口量仍将逐年增加。硫化物精矿在运输和储存过程中都有可能发生氧化,由此导致金属品位的波动是常见现象,然而此前在这方面的报导甚少。为此,作者以铅锌硫化物精矿为例对其进行了模拟状态下的氧化实验并采用能谱、光学显微镜、化学物相分析、X射线衍射分析、扫描电镜等手段对氧化前及氧化后的样品进行了鉴定。结果表明,在模拟精矿储运条件下两种精矿的氧化皆甚为明显,铅精矿为1.5%,而锌精矿达到了14.5%,由此引起的品位变化是不可忽视的。鉴于有色金属硫化物精矿在储运过程中呈现了它们的易氧化性并对品位产生影响,所以有关这类矿产品的商贸过程中涉及取样、样品加工和保管、公证等问题,均应在科学实验基础上规范化。     

Recoverable deformation and morphology after uniaxial elongation of a polystyrene/linear low density polyethylene blend

The transient recoverable deformation ratio after melt elongation at various elongational rates and maximum elongations was investigated for pure polystyrene and for a 85 wt.% polystyrene/15 wt.% linear low density polyethylene (PS/LLDPE 85:15) blend at a temperature of 170 ^oC. The ratio p of the zero shear rate viscosity of LLDPE to that of PS is p = 0.059 ≈ 1:17. Retraction of the elongated LLDPE droplets back to spheres and end-pinching is observed during recovery. A simple additive rule is applied in order to extract the contribution of the recovery of the elongated droplets from the total recovery of the blend. In that way, the recoverable portion of the PS/LLDPE blend induced by the interfacial tension is determined and compared with the results of a theory based on an effective medium approximation. The effective medium approximation reproduces well the time scale of the experimental data. In addition, the trends that the recoverable deformation increases with elongational rate and maximum elongation are captured by the theoretical approach.     

On the Existence Of Consistent Price Systems

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS). We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.     

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures

The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques.     

Separation between second price auctions with personalized reserves and the revenue optimal auction

When buyer valuations are drawn IID from a known regular distribution, a second price auction with a symmetric reserve price is the revenue-optimal single-item auction. When this distribution is irregular, we provide the first separation result showing that a second price auction with reserves earns at most 0.778 times the revenue of Myerson’s optimal auction, even when the reserves can be asymmetric. Since the lower bound is 0.745 for i.i.d. buyers, our result is nearly tight.