投资决策分析方法的缺陷及改进

本文指出了传统投资决策方法的缺陷 ,提出了将期权理论应用于投资决策的总体思路 ,突破了传统决策分析的局限性 ,使决策更加科学和合理     

技术创新与增长期权定价

本采用了净现值(NPV)和实物期权定价方法对一个实际的MMDS的发射放大器项目进行了定价，并对两种方法定价的结果进行了分析和对比。由于实物期权方法定价的结果包含项目中的增长期权和放弃期权的价值，因而实物期权方法定价的结果比NPV方法定价的结果更合理和更高。     

美式期权定价中非局部问题的有限元方法

在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .     

Optical properties of polarization-dependent geometric phase elements with partially polarized light

The behavior of geometric phase elements illuminated with partially polarized monochromatic beams is investigated both theoretically and experimentally. The element discussed in this paper is composed of wave plates with π-retardation and a space-variant orientation angle. We found that a beam emerging from such an element comprises two polarization orders; right-and left-handed circularly polarized states with conjugate geometric phase modification. This phase equals twice the orientation angle of the space-variant wave plate comprising the element. Apart from the two polarization orders, the emerging beam coherence polarization matrix includes a “vectorial interference matrix” which contains information concerning the correlation between the two orthogonal, circularly polarized portions of the incident beam. In this paper we measure this correlation by a simple interference experiment. In addition, we found that the equivalent mutual intensity of the emerging beam is modulated according to the geometric phase induced by the element. Other interesting phenomena concerning propagation will be discussed theoretically and demonstrated experimentally. The experiment made use of a spherical geometric phase element that was realized by use of a space-variant subwavelength grating illuminated with CO₂ laser radiation of 10.6 μm wavelength.     

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．     

A geometric formula for Haefliger knots

Haefliger has shown that a smooth embedding of the (4k−1)-sphere in the 6k-sphere can be knotted in the smooth sense. In this paper, we give a formula with which we can detect the isotopy class of such a Haefliger knot. The formula is expressed in terms of the geometric characteristics of an extension, analogous to a Seifert surface, of the given embedding. In particular, the Hopf invariant associated to the extension plays a crucial role. This leads us to a new characterisation of Haefliger knots.     

Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.