Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

In this article, we derive expressions for conditional expectations in terms of regular expectations without conditioning but involving some weights. For this purpose, we apply two approaches: the conditional density method and the Malliavin method. We use these expressions for the numerical estimation of the price of American options and their deltas in a Lévy and jump-diffusion setting. Several examples of applications to financial and energy markets are given including numerical examples.     

On percolation and ‐hardness

The edge‐percolation and vertex‐percolation random graph models start with an arbitrary graph G, and randomly delete edges or vertices of G with some fixed probability. We study the computational complexity of problems whose inputs are obtained by applying percolation to worst‐case instances. Specifically, we show that a number of classical ‐hard problems on graphs remain essentially as hard on percolated instances as they are in the worst‐case (assuming ). We also prove hardness results for other ‐hard problems such as Constraint Satisfaction Problems and Subset‐Sum, with suitable definitions of random deletions. Along the way, we establish that for any given graph G the independence number and the chromatic number are robust to percolation in the following sense. Given a graph G, let be the graph obtained by randomly deleting edges of G with some probability . We show that if is small, then remains small with probability at least 0.99. Similarly, we show that if is large, then remains large with probability at least 0.99. We believe these results are of independent interest.     

The trigonometric triangle

A procedure is presented by which the integration of a function such as cos ⁿ (x) or sin ⁿ (x) with n = 1, 2, 3, 4 … is facilitated.     

Another characterization of homogeneous Poisson processes

For a general renewal process N (allowing delay, defect and multiple simultaneous arrivals) the independence of the first renewal epochs of the marked processes got from N by Bernoulli 0/1 thinning is characterized. This independence is well-known to hold true in the case of homogeneous Poisson processes; by way of corollary one obtains the interesting observation that, when coupled with some minimal extra conditions, it in fact already identifies them. The proof is analytic in character.     

Definable nilpotent and soluble envelopes in groups without the independence property

We prove that in a group without the independence property a nilpotent subgroup is always contained in a definable nilpotent subgroup of the same nilpotency class. The analogue for the soluble case is also shown when the subgroup is normal in the ambient group.     

A new test on the conditional capital asset pricing model

Testing the validity of the conditional capital asset pricing model(CAPM) is a puzzle in the finance literatureLewellen and Nagel[14]find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomaliesUnfortunately, they do not provide a rigorous test statisticBased on a simulation study, the method proposed in Lewellen and Nagel[14]tends to reject the null too frequently.We develop a new test procedure and derive its limiting distribution under the null hypothesis.Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performanceBoth simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.     

Phase Systems and Post-Column Dithizone Reaction Detection for the Analysis of Organo-Mercurials by HPLC

Abstract

The suitability of HPLC (normal and reversed phase adsorption) with UV or post-column reaction detection for the analysis of organomercurials was investigated systematically. The separation of organomercurials is best carried out on a reversed phase system with a C-8 bonded phase material as the stationary phase and acetonitrile-aqueous sodium bromide mixtures as the mobile phase.

The precision and detection limit of the method and the efficiency of the extraction procedure were established. For the alkylmercury compounds the lowest limit of detection (80ppb) was obtained with the dithizone reaction detection and for the phenylmercury compounds with UV detection (60ppb). A chromatogram of a spiked fish (2ppmHg) and a river water sample (50ppbHg) is shown.     

基于HMM的机载设备状态健康评估方法研究

针对机载设备的状态健康评估问题,采用隐马尔科夫模型(HMM)对其进行性能退化程度的评估。首先引入状态条件概率矢量对HMM进行不确定性改进,并推导了其表达式;其次以状态条件概率比值为基础,给出了机载设备状态等级量化分值的计算方法,并据此设计了机载设备状态健康评估流程。最后以飞机发动机温控放大器为例进行仿真验证,结果表明上述方法能够给出直观、准确的状态评估结果。     

条件风险下的两基金分离定理

鉴于条件风险价值CVaR具有风险度量的合理性以及两基金分离定理对证券投资的重要意义,以CVaR作为风险度量研究两基金分离定理.在组合收益率服从正态分布的假设下,分别就投资组合含有或没有无风险资产的情形提出并证明了两基金分离定理;放开方差-协方差矩阵为非奇异这一通常假设,证明了CVaR风险度量下的两基金分离定理依然成立.     

Q‐symmetry and conditional Q‐symmetries for Drinfel'd–Sokolov–Wilson system

We study in this paper the Q‐symmetry and conditional Q‐symmetries of Drinfel'd–Sokolov–Wilson equations. The solutions which we obtain in this paper take the form of convergent power series with easily computable components. Copyright © 2014 John Wiley & Sons, Ltd.