价格与隐含远期违约概率

如同根据布莱克-斯科尔斯模型从欧式看涨期权市场价格中反求隐含波动率一样,从信用违约互换的价格中提取隐含违约概率在理论上和实践上都存在很多困难.传统的自助法存在很大的缺点,并有可能得出不符合现实的结果.本文采用基于一段时期的条件违约概率的新的优化方法来替代基于自助法的瞬时远期违约概率,该方法有很多优良特性,会得出比传统方法好得多的结论.     

AN EFFICIENT SEQUENTIAL DESIGN FOR SENSITIVITY EXPERIMENTS

In sensitivity experiments, the response is binary and each experimental unit has a critical stimulus level that cannot be observed directly. It is often of interest to estimate extreme quantiles of the distribution of these critical stimulus levels over the tested products. For this purpose a new sequential scheme is proposed with some commonly used models. By using the bootstrap repeated-sampling principle, reasonable prior distributions based on a historic data set are specified. Then, a Bayesian strategy for the sequential procedure is provided and the estimator is given. Further, a high order approximation for such an estimator is explored and its consistency is proven. A simulation study shows that the proposed method gives superior performances over the existing methods.     

存在偏振相关损失条件下偏振模色散的特点

偏振模色散和偏振相关损失的联合作用，会产生不规则的色散现象，这一点不能直接通过琼斯距阵本征分析法的运用进行描述。由此引出了对偏振模色散和偏振相关损失共存条件下的研究。通过对琼斯本征分析法进行修正，来分析存在偏振相关损失条件下偏振模色散的特征距阵，理论分析表明，由于偏振相关损失的影响，即使在忽略差分损耗频率相关性的条件下，偏振模色散的特征距阵也会产生根本性的变化。     

Isospin effects of the Skyrme potential and the momentum dependent interaction at intermediate energy heavy ion collisions

We improve the isospin dependent quantum molecular dynamical model by including isospin effects in the Skyrme potential and the momentum dependent interaction to obtain an isospin dependent Skyrme potential and an isospin dependent momentum interaction. We investigate the isospin effects of Skyrme potential and momentum dependent interaction on the isospin fractionation ratio and the dynamical mechanism in intermediate energy heavy ion collisions. It is found that the isospin dependent Skyrme potential and the isospin dependent momentum interaction produce some important isospin effects in the isospin fractionation ratio.     

A Strong Law for Mixing Random Variables

A sharp almost sure bound is derived for limit points of average sum of weakly dependent random variables, which ensures strong laws of large numbers for and -mixing random variables, without assumptions on rate of tending to zero of and -mixing parameters _n and _n.     

On the two basic problems of complex damping theory

In this paper, two important basic problems relating to the complex damping theory are discussed. The two problems are: (1) the essence of complex damping, and (2) the dynamic solution of structures with complex damping in time domain. To investigate the above problems, the frequency-dependent viscous damping theory is established and the correct and applicable solution of forced vibration for a complex damping oscillator is given beforehand.Supported by the Joint Earthquake Foundation     

Some concepts of positive dependence for bivariate interchangeable distributions

In this work we consider some familiar and some new concepts of positive dependence for interchangeable bivariate distributions. By characterizing distributions which are positively dependent according to some of these concepts, we indicate real situations in which these concepts arise naturally. For the various families of positively dependent distributions we prove some closure properties and demonstrate all the possible logical relations. Some inequalities are shown and applied to determine whether under- (or over-) estimates, of various probabilistic quantities, occur when a positively dependent distribution is assumed (falsely) to be the product of its marginals (that is, when two positively dependent random variables are assumed, falsely, to be independent). Specific applications in reliability theory, statistical mechanics and reversible Markov processes are discussed. This work was partially supported by National Science Foundation GP-30707X1. It is part of the author's Ph.D. dissertation prepared at the University of Rochester and supervised by A. W. Marshall. Now at Indiana University.     

The Percolation Transition for the Zero-Temperature Stochastic Ising Model on the Hexagonal Lattice

On the planar hexagonal lattice , we analyze the Markov process whose state (t), in , updates each site v asynchronously in continuous time t0, so that _v (t) agrees with a majority of its (three) neighbors. The initial _v (0)'s are i.i.d. with P[ _v (0)=+1]=p[0,1]. We study, both rigorously and by Monte Carlo simulation, the existence and nature of the percolation transition as t and p1/2. Denoting by ⁺(t,p) the expected size of the plus cluster containing the origin, we (1) prove that ⁺(,1/2)= and (2) study numerically critical exponents associated with the divergence of ⁺(,p) as p1/2. A detailed finite-size scaling analysis suggests that the exponents and of this t= (dependent) percolation model have the same values, 4/3 and 43/18, as standard two-dimensional independent percolation. We also present numerical evidence that the rate at which (t)() as t is exponential.     

On Lower Bounds for Lp Norms in the Central Limit Theorem for Independent and m-Dependent Random Variables

We derive lower bounds for L_p norms , in the central limit theorem for independent and m–dependent random variables with finite fifth order absolute moments and for independent and m–dependent identically distributed random variables with fourth order moments.