Max—min神经网络的一种有效学习算法

本文在Ａ．Ｂｌａｎｃｏ等人的算法的基础上，提出了ｍａｘ－ｍｉｎ神经网络的一种改进了的反馈学习算法，严格证明了该算法的迭代收敛性，理论分析及实例计算结果均表明，本文算法具有算法简单，收敛速度快，输出误差小等显著特点。     

提前还贷及其隐含期权的分析

可提前还款的定期贷款是隐含着期权的利率衍生物，本文建立CIR利率模型下可提前还款的定期贷款的数学模型，通过离散偏微分方程，建立了模型的计算方法，讨论了随机利率对提前还贷的影响．     

人力资本培训投资的博弈分析

针对人力资本组合投资模式仅定性分析职员和企业对人力资本投资行为的特点，应用博弈论进行了相应的定量分析，将贝克尔投资模式与组合投资模式相结合，建立了确定企业投资比率的计算公式，为企业进行人力资本培训投资提供了定量的决策依据。     

债券的利率敏感性测量

基于中国债券市场研究了固定利率和浮动利率债券的利率敏感性度量 :久期和凸性 .     

中国银行间拆借利率扩散模型的极大拟似然估计

本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。并用自助法对众多不同的模型进行了广义拟似然比检验。结论表明:中国货币市场利率具有均值回复效应:利率敏感系数γ值为1.421265,对利率水平具有较高敏感性。     

Modeling Language Evolution

We describe a model for the evolution of the languages used by the agents of a society. Our main result proves convergence of these languages to a common one under certain conditions. A few special cases are elaborated in more depth.     

Fractional commensurate, composition, and adding schemes: Learning trajectories of Jason and Laura: Grade 5

A case study of two 5th-Grade children, Jason and Laura, is presented who participated in the teaching experiment, Children’s Construction of the Rational Numbers of Arithmetic. The case study begins on the 29th of November of their 5th-Grade in school and ends on the 5th of April of the same school year. Two basic problems were of interest in the case study. The first was to provide an analysis of the concepts and operations that are involved in the construction of three fractional schemes: a commensurate fractional scheme, a fractional composition scheme, and a fractional adding scheme. The second was to provide an analysis of the contribution of interactive mathematical activity in the construction of these schemes. The phrase, “commensurate factional scheme” refers to the concepts and operations that are involved in transforming a given fraction into another fraction that are both measures of an identical quantity. Likewise, “fractional composition scheme” refers to the concepts and operations that are involved in finding how much, say, 1/3 of 1/4 of a quantity is of the whole quantity, and “fractional adding scheme” refers to the concepts and operations involved in finding how much, say, 1/3 of a quantity joined to 1/4 of a quantity is of the whole quantity. Critical protocols were abstracted from the teaching episodes with the two children that illustrate what is meant by the schemes, changes in the children’s concepts and operations, and the interactive mathematical activity that was involved. The body of the case study consists of an on-going analysis of the children’s interactive mathematical activity and changes in that activity. The last section of the case study consists of an analysis of the constitutive aspects of the children’s constructive activity, including the role of social interaction and nonverbal interactions of the children with each other and with the computer software we used in teaching the children.     

“String” formulation of the dynamics of the forward interest rate curve

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string must obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial (possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation. Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998     

Convexity Bias in the Pricing of Eurodollar Swaps

The traditional use of LIBOR futures prices to obtain surrogates for the Eurodollar forward rates is proved to yield a systematic bias in the pricing of Eurodollar swaps when one assumes that the yield curve is well described by the Heath-Jarrow-Morton model. The resulting theoretical inequality is consistent with the empirical observations of Burghardt and Hoskins (1995), and it provide a theoretical basis for price anomalies that are suggested by more recent empirical data.