Valuing inflation-linked death benefits under a stochastic volatility framework

In this paper we construct a framework to price the inflation-linked derivatives with the stochastic inflation rate, the stochastic interest rate, and stochastic risky assets with stochastic volatility. Because of the popularity of the guaranteed minimum death benefit (GMDB) in insurance market, we mainly study two types of GMDBs: the inflation guarantee and the combination guarantee. We consider the guaranteed minimum death benefit as an European option with a random maturity date, the closed-form pricing formulas for the GMDBs are derived by Fourier-based method. Moreover, we give an elaborate sensitivity analysis to explain economical behaviors of our models. The numerical results show that the death benefit of inflation guarantee is slightly overpriced in constant volatility of stock situation.     

非线性不适定问题正则解的最优收敛率

用带闭线性算子的Ｔｉｋｈｏｎｏｖ正则化方程研究非线性不适定问题,得到了正则解的最优收敛率Ｏ（δ＾２／３）。     

NA序列部分和的完全收敛性

本文讨论了非平稳NA随机变量序列部分和的完全收敛性,获得了一般形式的完全收敛速度与矩条件之间的等价关系,其结果与独立情形一致,从而证实了NA序列与独立序列有着极为类似的完全收敛性．     

混合序列的强大数律

讨论了混合序列部分和的强收敛性,所得结果推广和改进了文献[1]、[2],并推广了Marcinkiewicz强大数律．     

强光场中原子的电离速率

以静态场隧道电离为基础,在准静态近似的条件下,对描述强光场中原子及其各阶离子电离的电离速率进行了较为系统的总结,纠正了早期对隧道电离的电离速率公式进行讨论并且后来的计算中被广泛引用的文献「１０」中公式的错误,地部分稀有气体原子及其各了子在线偏振、圆偏振强光场中的了速度及相应的阈值光强进行了比较。     

重频纳秒高压脉冲下变压器油击穿特性的实验研究

介绍了重频纳秒高压脉冲下变压器油绝缘特性研究的现状和成果。进行了重频（1 Hz～1 kHz）纳秒高压脉冲下25#变压器油击穿特性的实验研究。实验发现相对于单次纳秒脉冲,重频脉冲下25#变压器油的击穿场强与频率相关,频率提高,击穿场强降低,但不是线性关系,在频率超过100 Hz时变压器油的击穿场强变化较小,在10~100 Hz时变压器油的击穿场强迅速下降。初步总结了重复频率、脉冲宽度和击穿场强的关系,对重频脉冲下变压器油的击穿机理进行了初步的探讨。     

热辐射对热团簇衰变率和丰度的影响

本文量化了辐射冷却对单分子衰变速率、热簇以及非特定激发能量的分子的影响.检测出两种不同的区域,可以通过发射光子的能量大小进行定义,并根据光子发射速率常数和颗粒的热性质确定它们之间的边界.此外,通过丰度光谱计算了相当于小光子能量的连续冷却情况.两种不同区域分别是连续性冷却和单分子衰变的单光子猝灭.辐射效应通过重新定义每个单独的团簇用于进行蒸发的时间进行参数化,可用有效辐射时间常数来表示.     

Track revelation and optical properties of pentaerythritol tetrakis (allyl carbonate) plastic for application as nuclear track detector: effects of gamma radiations

The etching conditions of an indigenously prepared thin film of pentaerythritol tetrakis(allyl carbonate) (PETAC) were standardised for the use as a nuclear track detector. The optimum etching times in 6?N NaOH at 70°C for the appearance of fission and alpha tracks recorded in this detector from a ²⁵²Cf solid source were found to be 30 min and 1.50?h, respectively. The experimentally determined values for the bulk and track-etch rates for this detector in 6?N NaOH at 70°C were found to be 1.7?±?0.1 and 88.4?±?10.7?µm/h, respectively. From these results, the important track etching properties such as the critical angle of etching, the sensitivity and the fission track registration efficiency were calculated and compared with the commercially available detectors. The activation energy value for bulk etching calculated by applying Arrhenius equation to the bulk etch rates of the detector determined at different etching temperatures was found to be 0.86?±?0.02?eV. This compares very well with the value of about 1.0?eV reported for most commonly used track detectors. The effects of gamma irradiation on this new detector in the dose range of 200–1000?kGy have also been studied using bulk etch rate technique. The activation energy values for bulk etching calculated from bulk etch rates measurements at different temperatures were found to decrease with the increase in gamma dose indicating scission of the detector due to gamma irradiation. The optical band gap of this detector was also determined using UV–visible spectrometry and the value was found to be 4.37?±?0.05?eV.     

奇异协方差阵及不同借贷利率下均值—方差模型的解析解

随着金融资产种类的增加,特别是考虑大规模投资组合问题时,很可能出现资产间的多重共线性或相关性,从而出现协方差阵奇异的情况。然而,目前关于投资组合的均值—方差分析大都是在协方差阵正定的条件下得到的,因此,不适用于奇异协方差阵的情形。针对这一问题,利用广义逆矩阵研究了协方差阵奇异时的均值—方差投资组合模型,在不同借贷利率条件下得到了前沿组合和组合前沿的解析解,突破了传统方法中要求协方差阵可逆的限制,推广了经典Markowitz模型。