排序方式: 共有100条查询结果,搜索用时 15 毫秒
1.
Jan Annaert Griselda Deelstra Michèle Vanmaele 《Insurance: Mathematics and Economics》2007,41(3):299-316
In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share. 相似文献
2.
Changes of the rheological properties of hyaluronic acid (sodium-magnesium salt) solutions after exposure to UV radiation
indicate a vigorous decrease in their viscosity, but its still strong shear rate dependence. Whereas the presence of the singlet
oxygen sensitizer (anthracene-1-sulphonic acid) brings about a loss of shear dependence; the studied solutions show newtonian
behavior. 相似文献
3.
4.
Juanzi Shi HongXia Shen Lisheng Zhang Peijie Wang Yan Fang Guozhen Wu 《Journal of Raman spectroscopy : JRS》2015,46(12):1303-1309
An algorithm is employed to retrieve the differential bond polarizabilities (DBP) of the C‐C bonds from the Raman optical activity spectrum of (‐)β‐pinene. (‐)β‐pinene possesses two stereo centers (chiral centers) and a local mirror reflection that interchanges the S type part and R type part in one molecular. It is demonstrated that this local mirror reflection could induce an approximate (or symmetry breaking) mirror reflection that reverses the signs of the DBP of the pair bond coordinates that are related to each other by the mirror reflection.This can be called intramolecular enantiomerism (IE). More cases of IE are discussed by the analysis of (‐)α‐pinene, (R)‐(+)‐4‐isopropyl‐1‐methylcyclohexene and (R)‐(+)‐3‐methylcyclohexanone together with previously studied limonene case. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
5.
Let
IE1.gif" alt="
$${\text{A}}$$
" align="middle" border="0">
be an Abelian Archimedean lattice ordered algebra. The order bidual
IE2.gif" alt="
$${A'}$$
" align="middle" border="0">
furnished with the Arens product is again a lattice ordered algebra. We show that the order continuous order bidual
IE3.gif" alt="
$$(A')'_n$$
" align="middle" border="0">
is Abelian. This solves an open problem and improves a result of Scheffold, who proved it for the case of normed lattice ordered algebras. The proof is based on the up-down-up approximation of positive elements in the order continuous order bidual
IE4.gif" alt="
$$(A')'_n$$
" align="middle" border="0">
by elements in the canonical image
IE5.gif" alt="
$${\widehat A}$$
" align="middle" border="0">
of
IE6.gif" alt="
$$A$$
" align="middle" border="0">
in
IE7.gif" alt="
$$(A')'_n$$
" align="middle" border="0">
Components of positive elements in
IE8.gif" alt="
$${\widehat A}$$
" align="middle" border="0">
are characterized and the result is applied to the Arens product of
IE9.gif" alt="
$$f$$
" align="middle" border="0">
-and almost
IE10.gif" alt="
$$f$$
" align="middle" border="0">
-algebras. 相似文献
6.
The multiplicities a of simple modules L in the composition series of Kac modules V lambda for the Lie superalgebra
IE2.gif" alt="
$${\mathfrak{g}}{\mathfrak{l}}$$
" align="middle" border="0">
(m/n ) were described by Serganova, leading to her solution of the character problem for
IE3.gif" alt="
$${\mathfrak{g}}{\mathfrak{l}}$$
" align="middle" border="0">
(m/n ). In Serganova's algorithm all with nonzero a are determined for a given this algorithm, turns out to be rather complicated. In this Letter, a simple rule is conjectured to find all nonzero a for any given weight . In particular, we claim that for an r-fold atypical weight there are 2r distinct weights such that a = 1, and a = 0 for all other weights . Some related properties on the multiplicities a are proved, and arguments in favour of our main conjecture are given. Finally, an extension of the conjecture describing the inverse of the matrix of Kazhdan–Lusztig polynomials is discussed. 相似文献
7.
Aleksandar Ivić 《Central European Journal of Mathematics》2005,3(2):203-214
Let Δ(x) denote the error term in the Dirichlet divisor problem, and E(T) the error term in the asymptotic formula for the mean square of
IE1.gif" alt="
$$\left| {\zeta \left( {\frac{1}{2} + it} \right)} \right|$$
" align="middle" border="0">
. If E
*(t)=E(t)-2πΔ*(t/2π) with
IE2.gif" alt="
$$\Delta *\left( x \right) + 2\Delta \left( {2x} \right) - \frac{1}{2}\Delta \left( {4x} \right)$$
" align="middle" border="0">
, then we obtain
and
It is also shown how bounds for moments of | E
*(t)| lead to bounds for moments of
IE5.gif" alt="
$$\left| {\zeta \left( {\frac{1}{2} + it} \right)} \right|$$
" align="middle" border="0">
. 相似文献
8.
Ali Mostafazadeh 《Czechoslovak Journal of Physics》2005,55(9):1157-1160
The main achievements of Pseudo-Hermitian Quantum Mechanics and its distinction from the indefinite-metric quantum theories
are reviewed. The issue of the non-uniqueness of the metric operator and its consequences for defining the observables are
discussed. A systematic perturbative expression for the most general metric operator is offered and its application for a
toy model is outlined.
Presented at the 3rd International Workshop “Pseudo-Hermitian Hamiltonians in Quantum Physics”, Istanbul, Turkey, June 20–22,
2005. 相似文献
9.
Ji-Suo Wang Tang-Kun Liu Jian Feng Jin-Zuo Sun 《International Journal of Theoretical Physics》2004,43(9):1891-1905
A class of k-quantum nonlinear coherent states, i.e., the k eigenstates of the powers B
k
(k 3) of the annihilation operator
IE1.gif" alt="
$$B = a\frac{1}{{f(N)}}$$
" align="middle" border="0">
of f-oscillators, is obtained and its completeness is investigated. An alternative method to construct them is proposed. We introduce a new kind of higher-order squeezing and sub-Poissonian distribution. The quantum statistical properties of the k states are studied. The result shows that all of the eigenstates can be generated by a linear superposition of k Roy-type nonlinear coherent states. These states may form a complete Hilbert space, and the M-th order [M = (n + 1/2)k; n = 0,1, ...] squeezing effects exist in all of the k states when k is even. There is the sub-Poissonian distribution in all of the states. 相似文献
10.
V. F. Murzina 《Algebra and Logic》2003,42(3):181-191
A modal logic associated with the
IE2.gif" alt="
$$f$$
" align="middle" border="0">
-spaces introduced by Ershov is examined. We construct a modal calculus that is complete w.r.t. the class of all strictly linearly ordered
IE3.gif" alt="
$${f_0 }$$
" align="middle" border="0">
-frames, and the class of all strictly linearly ordered
IE4.gif" alt="
$$f$$
" align="middle" border="0">
-frames. 相似文献