基于分数O U过程的几何亚式-再装股票期权定价模型

通过将几何亚式期权应用到再装期权中,解决了传统再装期权在再装日按B-S模型执行时所产生的经理激励问题,建立了几何亚式-再装股票期权的定价模型,并在股价服从分数O-U过程下得到了相应的定价公式.通过模拟分析发现,与传统再装期权相比,几何亚式-再装期权的价值要低一些,这说明几何亚式-再装股票期权能更好地降低代理成本.     

基于期权思想的封闭式基金管理费率的设计研究

针对目前我国证券投资基金单一的管理费率结构,以封闭式基金为研究对象,根据基金投资者的需求不同提出了在不同收益率目标下的管理费率结构,并借用B-S期权定价模型,计算出封闭式基金的管理费率.     

正整数保费率的复合二项模型的Gerber-Shiu罚金函数

讨论一个任意正整数保费率的复合二项模型.获得了这个模型的Gerber-Shiu 罚金函数值满足的线性方程、一个上界、一个下界.     

Excitation functions of evaporation residues in the interaction of 16O with 103Rh at incident energies up to 400 MeV

The excitation functions for production of 48 residues in the interaction of ¹⁶O with ¹⁰³Rh have been measured at incident energies varying from about 40 to 400MeV. Their analysis shows that many competing reaction mechanism contribute to the formation of these residues including complete fusion, break-up-fusion reactions and ¹⁶O inelastic scattering. The cross-sections of most of these mechanisms are obtained by independent measurements of the spectra of intermediate-mass fragments observed in the interaction of ¹⁶O on ⁹³Nb. The agreement between measured and calculated excitation functions is satisfactory in most of the cases.     

Cytochrome P450 119 Compounds I Formed by Chemical Oxidation and Photooxidation Are the Same Species

Compound I from cytochrome P450 119 prepared by the photooxidation method involving peroxynitrite oxidation of the resting enzyme to Compound II followed by photooxidation to Compound I was compared to Compound I generated by m-chloroperoxybenzoic acid (MCPBA) oxidation of the resting enzyme. The two methods gave the same UV/Visible spectra, the same products from oxidations of lauric acid and palmitic acid and their (ω-2,ω-2,ω-3,ω-3)-tetradeuterated analogues, and the same kinetics for oxidations of lauric acid and caprylic acid. The experimental identities between the transients produced by the two methods leave no doubt that the same Compound I species is formed by the two methods.     

Infinite-Dimensional Black-Scholes Equation with Hereditary Structure

This paper considers the option pricing problem for contingent claims of the European type in a (B,S)-market in which the stock price and the asset in the riskless bank account both have hereditary structures. The Black-Scholes equation for the classical option pricing problem is generalized to an infinite-dimensional equation to include the effects of time delay in the evolution of the financial market as well as a very general payoff function. A computational algorithm for the solution is also obtained via a double sequence of polynomials of a certain bounded linear functional on a Banach space and the time variable.     

复合广义齐次Poisson过程的多险种破产概率

本文推广了经典的复合泊松风险模型，建立了两类复合广义齐次poisson过程的多险种破产模型．对于新模型，我们得到了初始资本为u的破产概率φ(u)的精确表达式以及特殊情况下φ(0)的表达式，并且导出了调节系数方程和调节系数R的上下界．     

丙氨酸咪唑钐的三维荧光激发和发射光谱

测量了新制丙氨酸咪唑钐水溶液的三维荧光激发和发射光谱,分析了在不同波长激发光作用下的荧光特征,与配体咪唑、α-丙氨酸及氯化钐的荧光谱进行了比较,讨论了模型化合物上转换荧光中的双光子和多光子加合现象并发现在10^-2-10^-4 mol/L 浓度范围内荧光强度与溶液浓度呈正相关.     

Multiperiod Portfolio Optimization with Terminal Liability: Bounds for the Convex Case

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the future liabilities. We formulate the problem as a discrete-time stochastic optimization model and allow asset prices to have continuous probability distributions on compact domains. For the case of Markovian price uncertainty and convex terminal liability, we develop a simplicial approximation, under which bounds on the problem can be computed efficiently. Computations only require evaluating a dynamic programming recursion, which thus, allows its application to problems with a large number of trading periods. The bounds are tight in that they are exact in certain cases. Numerical results are given to demonstrate the computational efficiency of the procedure.     

Black-Scholes期权定价公式推广

在Black-Scholes期权定价模型的基础上,进一步考虑标的资产受多个跳跃源影响的情况,用含有多维Poisson过程的Ito-Skorohod随机微分方程描述标的资产价格的动态运动,应用等价鞅测度变换方法导出一般形式的欧式期权定价公式,并讨论了利率,波动率不是常数情况下的拓广形式.