CGMY模型下 的欧式外汇期权定价

修正传统有效市场假说,重新假设外汇汇率存在扩散和跳跃,并结合CGMY模型,采用傅里叶变换方法,推导出了CGMY模型下欧式外汇期权价格满足的分数阶偏微分方程(FPDE).尽管因分数阶偏导数引发的“全局性”很难处理,仍然推导出CGMY模型下欧式外汇期权的定价公式及其满足的平价公式.同时,引入一个新的缩放参数m来控制指数函数的增长率以克服被积函数衰减引起的计算困难,使其与Lévy密度函数的衰减在速度上达到一个平衡.最后,从数学与金融意义上分析了关键参数变化对欧式外汇期权价格的影响.     

上海市国际服务贸易收入和支出的统计分析

本文通过因子分析将指标进行分类,对2000-2007年上海市国际服务贸易收入和支出的数据进行统计分析。同时,通过回归分析从理论上提出对国际服务贸易收入和支出的预报和控制方法。最后对文章中提到的模型进行使用说明,并提出对上海市国际服务贸易发展的一些建议。     

基于广义脉冲的东北三省外贸外资与经济增长研究

作为连接其他国家和地区的桥梁和纽带,对外经贸在国际经济关系中有着十分重要的地位。本研究选取对外经贸与经济增长代表性指标,以各指标平均增长率为切入点,通过构建相对增长指数模型,测算东北三省的外贸相对增长指数(TGI)和外资相对增长指数(CGI)并进行分类,结果显示三省外贸、外资增长类型截然不同。进一步,将历年外贸、外资增速与经济增速进行对比分析发现,外贸增速与经济增速具高度同步性,且始终扮演经济晴雨表的角色,外资增速则更具不确定性和偶然性。最后,广义脉冲响应分析显示外贸外资冲击经济增长均产生显著效应,但响应程度不尽相同,各指标贡献度通过方差分解呈现。本文为外贸外资与经济增长关系研究提供了新的视角。     

Fast liquid chromatography–quadrupole-linear ion trap mass spectrometry for the analysis of pharmaceuticals and hormones in water resources

This paper presents the development of a fast multi-residue method for the determination of 49 pharmaceuticals and 6 metabolites from different therapeutic classes in water resources by means of Ultra-performance™ liquid chromatography (UPLC) coupled to tandem mass spectrometry. The use of the UPLC technology enabled all the 55 compounds to be separated chromatographically in less than 9 min (6.3 min positive mode and 2.7 min negative mode) and with a total analysis time of 18 min when considering column conditioning. Improved resolution, sensitivity and a reduction of matrix effects were obtained under these conditions. Unequivocal identification and quantification of the target compounds was also performed by using the dual acquisition modes of the hybrid triple quadrupole-linear ion trap (QqLIT) system. Triple quadrupole mode by means of selected reaction monitoring (SRM) was used for quantification, whilst a second SRM transition together with information-dependent analysis (IDA) experiments was used for confirmation. Additionally, one general, single solid-phase extraction (SPE) method was developed by using Oasis HLB cartridges. Quality parameters of the method in wastewaters were established obtaining a fast, robust, reproducible and cost-effective method for all the target pharmaceuticals. Finally, the optimized SPE-UPLC/QqLIT method was used for the analysis of the target compounds in wastewaters from Spain. Thirty-one out of fifty-five compounds were identified in the samples collected.     

知情交易者和不知情交易者的策略互动

本文利用EEOW模型结合高频交易数据,对中国股票市场上知情交易者和不知情交易者的交易策略互动进行了实证研究.研究发现:在中国股票市场上,不知情交易者的交易行为对知情交易者没有影响,但是知情交易者的交易行为却对不知情交易者有显著的影响.当预期到市场上有众多知情交易者时,不知情交易者就减少交易以降低与知情交易者发生交易的概率.这一点与传统模型中的"噪声"交易者假设是不一致的.本文的结论对于今后构建更加贴近实际情况的交易策略模型有很好的指导意义.     

Direct iodination of indanone and tetralone derivatives by elemental iodine activated by Selectfluor™ F-TEDA-BF4

Derivatives of indan-1-one and 3,4-dihydronaphthalen-1(2H)-one bearing hydroxy or methoxy substituent on the aromatic ring were efficiently iodinated regioselectively at the α carbonyl position using elemental iodine activated by 1-chloromethyl-4-fluoro-1,4-diazoniabicyclo[2.2.2]octane bis(tetrafluoroborate) (Selectfluor™ F-TEDA-BF₄) in methanol.     

The effect of cellular energetics on foreign protein production

Escherichia coli strain F-122 was used to determine if there are additional physiological effects, other than decreasing energetic efficiency accompanied by the excretion of the acetate, on foreign protein production. This organism was the host for expressing HIV₅₈₂-β-galactosidase fusion protein under the control of thetrp promoter, with ampicillin resistance. By comparing parallel batch cultures with and without acetate addition, it was found that the presence of acetate in the media did not influence β-galactosidase activity. In these experiments, it appears that the low protein productivity often observed during acetate formation is the result of inefficient cell metabolism, rather than acetate acting as a specific inhibitor of protein production.     

基片缺陷与磁光盘原始误码

分析了基片缺陷导致磁光盘产生原始误码的原因。首次建立了磁光读出光场与基片杂质特性的数学模型，利用数值分析方法研究了读出信号畸变、误码长度与杂质特性的关系。分析结果表明，一定大小的基片杂质是否产生误码，与杂质距记录层的距离、杂质距读写光斑的距离以及读出阈值电平等因素有关。     

Minimal homogeneous latin trades

A latin trade is a subset of a latin square which may be replaced with a disjoint mate to obtain a new latin square. A d-homogeneous latin trade is one which intersects each row, each column and each entry of the latin square either 0 or d times. In this paper we give a construction for minimal d-homogeneous latin trades of size dm, for every integer d?3, and m?1.75d²+3. We also improve this bound for small values of d. Our proof relies on the construction of cyclic sequences whose adjacent sums are distinct.     

The propargylic route as efficient entry to monofluoro and gem-difluoro compounds: mechanistic considerations

The dehydroxy-fluorination of propargylic alcohols occurs with a complete regiocontrol and a good to complete stereocontrol, in contrast to the reactions performed on allylic alcohols. The gem-difluorination of propargylic ketones occurs smoothly in contrast to enones which have a very low reactivity towards DAST or Deoxo-fluor™. It is proposed that the large differences in the stabilization energies of the key carbonium ion intermediates (either propargylic or allylic) could explain these strong differences in reactivity during nucleophilic fluorination. The calculations of isodesmic reactions are in full agreement with this proposal.