带交易费的亚式期权定价研究和数值分析

在Leland带交易费的期权定价模型的基础上,对亚式期权定价模型中的期权规避策略进行了优化,提出用修正的Leland规避策略构造亚式期权的复制策略,并推导出了在修正的规避策略下带交易费的定价模型.对修正的规避策略与Leland规避策略进行了比较,结果表明,在不同的调整时间间隔下,本文所用的修正的规避策略都优于Leland规避策略.     

非平稳市场中适应性在线投资组合策略设计与分析

考虑到股票市场的表现往往是非平稳的, 过去较长时间的股票价格对当前的投资决策影响较小, 因此基于近期股票价格数据设计在线投资组合策略. 首先, 将上一期的策略与固定长度的股票价格近期数据对应的最优定常再调整策略加权平均, 设计了一个在线投资组合策略. 其次, 进一步采用在线学习的方法选择加权平均的权重, 设计了一个适应性的在线投资组合策略. 利用实际股票价格数据对构造的策略进行数值分析, 结果表明与基准策略和已有的在线投资组合策略相比, 设计的策略具有较好的性能.     

天天平价还是动态定价?——基于策略消费者行为的视角

动态定价有利于厂商获得更多的消费者剩余,但是也会促使策略消费者持币观望,等待低价.研究策略消费者所占比例对厂商定价和库存决策的影响,给出了不限量动态定价、限量动态定价和天天平价三种策略的适用范围.当价格外生时,仅当对商品评价高的消费者数量较多且策略消费者所占比例适中时,限量策略较好；当价格内生时,若策略消费者比例较大,薄利多销的天天平价策略能吸引策略消费者尽早购买,若策略消费者比例较小,采取不限量动态定价策略能获得更大利润.     

CPPI的优化策略及实证分析

CPPI策略作为一种重要的投资组合保险策略,在保本基金,保险等领域得到广泛应用,许多关于CPPI策略的研究都是假设市场在连续时间条件下.通过研究基于离散时间条件下的CPPI策略,并引入股指期货作为风险资产,对传统CPPI策略进行修正;同时讨论修正CPPI策略模型和传统CPPI策略模型在不同市场状况下的差异.采用Monte Carlo模拟方法对不同CPPI策略进行仿真,结果表明:在离散时间条件下,当放大乘数m较小时,不同CPPI策略都能实现保本,但不同CPPI策略期末价值差别明显.     

基于满意度的预约门诊排队策略研究

为了推进预约挂号服务在医院有效的应用,本文结合实际情形,提出了病人满意度度量的新指标——加权病人等待时间,建立了以最大化病人满意度为目标的排队模型,并分析了医院目前常用的两种预约排队策略:不同优先级预约排队策略与时间段优先型预约排队策略。通过两种预约策略的比较,得到后者优于前者;通过预约与非预约策略的比较,得到预约策略优于非预约策略。在此基础上,对两种预约策略进行优化分析,求解出两种预约策略分别对应的最佳预约与非预约病人比例。最后,通过数值分析说明了应用预约策略对改善病人等待满意度的合理性及有效性,并对应用预约策略达到更好的满意度提出了可行建议。     

离散时间投资组合保险策略CPPI及其实证分析

本文重点讨论了在离散时刻对投资组合进行调整的CPPI策略.给出了组合价值的过程表达式,并对其进行风险分析;引入二次期望效用函数,给出了确定CPPI策略中最优乘数的方法;讨论了借贷限制对CPPI策略的影响并将其与买入持有策略进行比较分析。最后,文章对CPPI策略的投资效果进行了实证分析.     

考虑退货策略和贸易信贷的库存运营策略选择研究

在贸易信贷背景下,研究了退货策略对供应链和供应链中各成员库存运营策略选择的影响,把不提供退货策略作为基准,通过建立模型求解表明:无论是否提供退货策略,供应链和供应链中各成员都会选择零售商管理库存的库存运营策略,并且提供退货策略要始终优于不提供退货策略;贷款利率对零售价、订购量和供应链利润无影响,对批发价和供应商的利润有负向影响,对零售商的利润有正向影响;供应商在市场中要通过平衡批发价和贷款利率来使供应链和供应链中各成员都获益.     

例说高考平面向量问题的“两化”策略

近年来,高考对平面向量知识的考查已趋向于灵活多变,对考生能力的要求提高,本文试介绍求解平面向量问题的两个策略——代数化策略和图形化策略,这两个策略是破解平面向量问题的“利刃”．     

电梯决策问题的占线算法分析

结合现实生活中电梯的运营状况,从占线算法角度分析并解决了电梯运行中碰到的两个问题:乘客如何选择乘坐电梯的策略以及多少楼层以上应该开放电梯.通过对问题的描述,建立了求解模型并提出一种竞争策略;运用占线算法得到该策略的竞争比,并将此策略作为等待电梯的较优策略;通过对竞争策略的分析,并利用实地考察得到的数据,得出楼层达到4层及以上时才应该开放电梯的结论,并以此为基础对电梯运营者提出相关建议.     

复杂网络的覆盖数攻击

在总结复杂网络基于度、介数等指标的蓄意攻击策略的基础上,提出了基于平均路径内覆盖数指标的攻击策略.利用基于该指标的攻击策略对网络模型和真实网络进行了数值模拟,结果表明,这种蓄意攻击策略对一类复杂网络是有效的.     

Characterization of types of asymptotic discernibility of families of hypotheses

We give a characterization of the types of asymptotic discernibility of families of hypotheses in the case of hypothetical measures that are not, in general, mutually absolutely continuous. The case when the logarithm of the likelihood ratio admits an asymptotic expansion of the type of an expansion with local asymptotic normality is examined in detail. Examples are studied.Translated fromTeoriya Sluchainykh Protsessov, Vol. 15, pp. 64–71, 1987.     

Axiomatizability of reducts of algebras of relations

In this paper, we prove that any subreduct of the class of representable relation algebras whose similarity type includes intersection, relation composition and converse is a non-finitely axiomatizable quasivariety and that its equational theory is not finitely based. We show the same result for subreducts of the class of representable cylindric algebras of dimension at least three whose similarity types include intersection and cylindrifications. A similar result is proved for subreducts of the class of representable sequential algebras. Received October 7, 1998; accepted in final form September 10, 1999.     

Study of the blow-up of solutions of systems of equations of hydrodynamic type

Mathematical Notes - We study the initial boundary-value problem for three-dimensional systems of equations of pseudoparabolic type. The system is similar to the Oskolkov system, but differs from...     

Construction of normal bases of rings of integral elements of certain fields of algebraic functions

This article is devoted to the construction of normal bases of rings of integral elements of certain fields of algebraic functions. These fields are algebraic extensions of the initial fields, given by appropriate algebraic equations. The extensions are given only by the monodromy group. The device of the matrix Riemann boundary-value problem on a Riemann surface is used.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 42, No. 7, pp. 1004–1007, July, 1990.     

Variant of statistical interpretation of the formation of viscoelastic deformations of polymers

A variant of a statistical probability interpretation of elementary micromechanisms of formation of viscoelastic deformations of polymers is examined with the aid of the concept of dissymmetric media and the dissymmetry coefficient. A new rheological relationship is obtained, a particular case of which is the known equation of a typical linear viscoelastic body. A method is given for determining the relaxation spectrum for different intensity functions figuring in the rheological relationships. The results of the calculation are compared with the experimental data, exemplified by the creep of polyamide P-68.Institute of Polymer Mechanics, Academy of Sciences of the Latvian SSR, Riga. Translated from Mekhanika Polimerov, Vol. 9, No. 3, pp. 392–396, May–June, 1973.     

Singularities of Solutions of One Class of Equations of Continuum Mechanics

We analyze one class of families of integral equations and describe the dependence of the singularities of solutions of integral equations on the dimensions of the families of kernels of equations. On the basis of these results, we propose procedures for the construction of approximate solutions for a small parameter.     

Determination of asymptotic solutions of problems of nonlinear theories of thermoviscoelasticity

It is shown that the asymptotic solution of a problem of the nonlinear theory of thermoviscoelasticity, if it exists, can be found directly from the solution of the asymptotic boundary-value problem without completely solving the starting problem.M. V. Lomonosov Moscow State University. Translated from Mekhanika Polimerov, No. 3, pp. 395–400, May–June, 1976.     

Lengths of periods of continued fractions of square roots of integers

Empirical study of the period’s length T of the continued fractions of $\sqrt{Q}$ (for growing integers Q) shows several strange asymptotical results, for instance, $T\leq C\sqrt{Q}\ln{Q}$ . These results show important differences between the statistics of the elements of the continued fractions of random real numbers and of square roots of random integers.     

Construction of a fundamental series of solutions of a pencil of matrices

Solution of spectral problems for a singular polynomial pencil of matrices D () of degree s1 and sizem×n is considered. Two algorithms for constructing polynomials solutions of pencils D () are considered: the first is a modification of an algorithm proposed earlier by one of the authors for determining polynomial solutions of a linear pencil; the second algorithm is based on other ideas and consists of two steps. At the first step a finite sequence of auxiliary pencils is constructed for each of which a basis of polynomial solutions of degree zero is found. At the second step the basis so constructed are rearranged into polynomial solutions of the original polynomial pencil D(). Both algorithms make it possible to find solutions of the original pencil in order of increasing degrees. For constructing a fundamental series of solutions of the pencil D() two new algorithms are proposed which work independently with either of the algorithms mentioned above for constructing polynomial solutions by rearranging them into linearly independent solutions of the pencil.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 139, pp. 74–93, 1984.     

Estimates of stability of characterization of additive types of distributions

An estimate of stability of characterization of distribution types is obtained for the case of additive types. Under some conditions, the estimate has the order ε^1/3L(ε), where L(ε) is a slowly varying function. Proceedings of the Seminar on Stability Problems for Stochastic Models, Moscow, Russia, 1996, Part I.