基于条件贝塔信息对横截面收益的解释

以1995年6月-2005年12月期间在我国沪深A股市场上市的全部股票为样本,本文实证发现,FF三因子模型不能对横截面收益作出合理的解释。为了基于现代金融理论的基本观点对横截面收益现象作出更为合理的解释,本文利用贝塔条件变化信息对无条件的FF三因子模型进行改进,实证发现,改进后的条件定价模型对横截面收益的解释力提高了,并且该解释力在2006年1月-2008年5月、1995年6月-2008年5月期间均具有稳健性。由此得出结论认为,在解释横截面收益时,贝塔条件变化的条件定价模型是一个优于无条件FF三因子模型的模型。     

空间众包环境下的任务定价模型研究

在综合考虑平台、商家和会员三方相互作用的基础上,通过建立包含任务动态分配机制的动态规划模型,结合金融定价思想刻画任务定价问题,并通过空间可视化对珠三角地区劳务众包平台数据进行实证研究.为提高模型的实用性,利用K-means聚类分析对任务打包并引入激励规则对动态定价模型进行了改进.最后,通过模拟仿真得出改进后模型的任务完成率为88.10%,相比平台现有定价模型(62.50%)和改进前的动态定价模型(85.20%)任务完成情况有较大幅度的提升.为基于地理位置的服务平台的商品定价、以及地理位置信息与平台会员的关系等实证和应用研究提供了理论与实践参考.     

资本资产定价模型的改进及在中国股市的实证分析

对于投资者来说,具备有效的评估价值和风险关系的理论工具十分重要.以中国股票市场的数据对资本资产定价模型进行了实证检验,面对并不理想的检验结果,借用因素模型的研究方法,在传统模型中引入其他可能影响资产回报的因素,利用中国股市的数据对改进的模型进行了实证检验,并与传统模型的检验结果相比较,发现改进模型的解释力相对于传统模型有了显著的提高.     

基于W,LR和LM检验的误差方差预检验估计的比较（英文）

本文研究多元t分布模型中误差方差分别基于W, LR和LM检验的预检验估计问题.首先,分别获得了基于三个大样本检验的预检验估计和对应的风险;其次,基于理论分析和数值分析的方法得到了各个估计的优良表现,结果表明预检验估计的风险在检验临界值为1时达到最小,并得到了各个估计保持最优的条件;最后,通过自助模拟的方法进一步分析了各个估计的优良性,所得结果和理论分析是一致的.     

随机需求下具有不对称信息的闭环供应链的最优差别定价模型

在随机需求条件下建立了由一个制造商和一个零售商所组成的闭环供应链差别定价模型。在制造商成本信息对称和信息不对称情况下,分别讨论了闭环供应链的最优差别定价问题,得到了在不同信息条件下的最优定价组合以及最优的订购量.最后通过数值算例分析了成本信息不对称对两种产品的零售价以及订购量的影响.     

CEV模型和B-P混合驱动模型下亚式期权Monte Carlo模拟

对亚式期权在CEV模型和B-P混合驱动模型限制下进行Monte Carlo模拟定价,建立风险中性测度,模拟出不同弹性因子值下资产价格路径.为了得出优于标准的Monte Carlo模拟,应用方差缩减技术来提高期权定价的精度.最后对亚式期权定价模型进行数值案例分析,得出弹性因子取值、时间步长、模拟次数与期权价值变化的关系.     

网络服务中非线性多重两阶段定价策略

本文在基于流量的定价策略基础上,结合非线性定价方法给出了一种多重两阶段定价模型,并结合原单一定价策略构造混合定价,通过分析生产者剩余和消费者剩余,推出该模型存在帕累托改进并给出了具体的改进方法。     

制造商信息私有条件下的双渠道供应链定价决策

针对由风险规避型制造商拥有的直销渠道和风险规避型零售商拥有的传统零售渠道组成的双渠道供应链模型,首先研究制造商和零售商的风险规避信息为共同知识条件下,直销渠道和传统零售渠道的定价决策。进一步分析制造商风险规避度为私有信息条件下,制造商和零售商的最优定价策略,探讨精炼贝叶斯均衡定价的存在条件。研究表明,信息非对称条件下,零售商即使存在信念的修正,其零售渠道的定价与制造商的定价决策类型始终保持一致,而制造商的最终定价策略选择有多种。在不同参数条件下,该非对称信息动态博弈模型可能存在分离均衡、混同均衡和准分离均衡。     

基于时变波动率的50ETF参数欧式期权定价

以上海证券交易所的首个股票期权品种50ETF为例,首先以时变波动率对经典BlackScholes期权定价公式常数波动率假设修正,然后基于正态分布、广义学生t分布和融入高阶矩的Edgeworth expansion渐近分布构建三种参数期权定价模型,最后采用参数显著性检验(Significance testing)、定价误差(Mispricing)、预测偏差(Forecastability)、对冲误差(Hedging errors)和波动率偏离修正(Volatility skew correction)5种严谨系统的评价标准,实证对比了在3种参数期权定价模型下的定价精度。研究结果表明:在时变波动率下,基于广义学生t分布和Edgeworth expansion渐近分布相比于正态分布显著提高了参数期权定价模型的定价精度。论文的研究成果为投资商和监管者提供了相对更为精确的期权定价模型。同时在相对更为准确的定价方法下,进一步利于50ETF期权在我国金融市场发挥价格发现和风险管理的作用。     

沪深300股指期货定价偏差与投资者情绪

本文通过对沪深300股指期货定价偏差的统计分析、定价偏差与市场流动性和投资者情绪间的回归分析和VAR模型分析,发现我国期货市场上存在显著的正向的定价偏差,并且表现出一定的持续性;投资者情绪是最重要的影响因素;在中国股票市场缺乏卖空机制的条件下,投资者情绪主要通过非理性买入行为对定价偏差造成影响,并且在情绪高的时期影响更为显著。这些结论在一系列稳健性检验后仍然显著。说明我国金融市场还不够成熟和有效,市场上的套利行为无法有效减少噪声交易者对市场的影响,投机氛围较重,市场定价效率有待提高。     

Qualitative Analysis of Bifurcating Solutions in the Lengyel-Epstein Model

One of the most fundamental problems in theoretical biology is to explain the mechanisms by which patterns and forms are created in the＇living world. In his seminal paper ＂The Chemical Basis of Morphogenesis＂, Turing showed that a system of coupled reaction-diffusion equations can be used to describe patterns and forms in biological systems. However, the first experimental evidence to the Turing patterns was observed by De Kepper and her associates（1990） on the CIMA reaction in an open unstirred reactor, almost 40 years after Turing＇s prediction. Lengyel and Epstein characterized this famous experiment using a system of reaction-diffusion equations. The Lengyel-Epstein model is in the form as follows     

A REPRESENTATION FORMULA RELATED TO SCHR(O)DINGER OPERATORS

Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V.     

On a class of self-similar processes with stationary increments in higher order Wiener chaoses

We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local Hölder regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener–Itô integrals.     

(0,1 ;0)-INTERPOLATION ON INFINITE INTERVAL (-∞, +∞)

In this paper, we study the explicit representation and convergence of (0, 1; 0)-interpolation on infinite interval, which means to determine a polynomial of degree ≤ 3n - 2 when the function values are prescribed at two set of points namely the zeros of Hn(x) and H′n(x) and the first derivatives at the zeros of H′n(x).     

On a class of Riemann surfaces

It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary.     

CONTENTS OF VOLUME 30

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Instructions for contributions

正Applied Mathematics-A Journal of Chinese Universities,Series B(Appl.Math.J.Chinese Univ.,Ser.B)is a comprehensive applied mathematics journal jointly sponsored by Zhejiang University,China Society for Industrial and Applied Mathematics,and Springer-Verlag.It is a quarterly journal with     

Journal of Mathematical Research with Applications Guide for Authors

正Journal overview:Journal of Mathematical Research with Applications(JMRA),formerly Journal of Mathematical Research and Exposition(JMRE)created in 1981,one of the transactions of China Society for Industrial and Applied Mathematics,is a home for original research papers of the highest quality in all areas of mathematics with applications.The target audience comprises:pure and applied mathematicians,graduate students in broad fields of sciences and technology,scientists and engineers interested in mathematics.     

Staircase transportation problems with superadditive rewards and cumulative capacities

A cumulative-capacitated transportation problem is studied. The supply nodes and demand nodes are each chains. Shipments from a supply node to a demand node are possible only if the pair lies in a sublattice, or equivalently, in a staircase disjoint union of rectangles, of the product of the two chains. There are (lattice) superadditive upper bounds on the cumulative flows in all leading subrectangles of each rectangle. It is shown that there is a greatest cumulative flow formed by the natural generalization of the South-West Corner Rule that respects cumulative-flow capacities; it has maximum reward when the rewards are (lattice) superadditive; it is integer if the supplies, demands and capacities are integer; and it can be calculated myopically in linear time. The result is specialized to earlier work of Hoeffding (1940), Fréchet (1951), Lorentz (1953), Hoffman (1963) and Barnes and Hoffman (1985). Applications are given to extreme constrained bivariate distributions, optimal distribution with limited one-way product substitution and, generalizing results of Derman and Klein (1958), optimal sales with age-dependent rewards and capacities.To our friend, Philip Wolfe, with admiration and affection, on the occasion of his 65th birthday.Research was supported respectively by the IBM T.J. Watson and IBM Almaden Research Centers and is a minor revision of the IBM Research Report [6].