离散时间不完全金融市场中未定权益的定价

对一类连续时间不完全市场（其中的股票价格由Brown运动驱动），ElKarouiandQuenez[1]讨论了一般的不可达未定权益的定价问题．本文利用FollmerandKabanov[2]建立的分解定理，证明[1]中关于买方与卖方价格过程的结果与方法适用于一般的离散时间不完全金融市场（定理1）．特别，关于买方与卖方价格我们给出另一种合理的解释（定理3）．     

Creation or destruction of sourceless abelian gauge strings in a Robertson-Walker universe

Following Morris’s [5] consideration of a sourceless abelian gauge string in a Robertson-Walker universe with flat space sections we have generalized the treatment to the case of arbitrary spatial curvature. We find that creation or destruction of the gauge string is not possible if the spatial curvature is nonzero.     

Minimal Martingale Measures for Discrete-time Incomplete Financial Markets

Abstract In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market.Then we concretely work out the minimal martingale messure for a specificdiscrete-time market model in which the assets'returns in different times are independent.     

金融资产收益分布的混合高斯分析

本文研究了金融资产收益的混合高斯分布模型 ,给出了混合高斯分布的 Kolmogorov-Smirnov检验的方法 ,分析了金融资产收益的非高斯性及市场价格运动的有效性 .此外 ,用成分数目 K*、拟合误差 DK*n和主成分系数 p*k 描述金融资产收益的性质 ,对外汇银行同业拆借市场和中国股票市场实证分析     

基于主成分因素法的企业绩效比较方法

本通过比较多种企业财务绩效因素，建立了基于主成分因素法的企业绩效比较模型，并通过对国外上市的信息安全公司进行比较实证检验，验证了该预测模型在实际市场上与企业的市场地位是相符的。     

A real-time monitoring approach for bivariate event data

Early detection of changes in the frequency of events is an important task in many fields, such as disease surveillance, monitoring of high-quality processes, reliability monitoring, and public health. This article focuses on detecting changes in multivariate event data by monitoring the time-between-events (TBE). Existing multivariate TBE charts are limited because they only signal after an event occurred for each of the individual processes. This results in delays (i.e., long time-to-signal), especially when we are interested in detecting a change in one or a few processes with different rates. We propose a bivariate TBE chart, which can signal in real-time. We derive analytical expressions for the control limits and average time-to-signal performance, conduct a performance evaluation and compare our chart to an existing method. Our findings showed that our method is an effective approach for monitoring bivariate TBE data and has better detection ability than the existing method under transient shifts and is more generally applicable. A significant benefit of our method is that it signals in real-time and that the control limits are based on analytical expressions. The proposed method is implemented on two real-life datasets from reliability and health surveillance.     

血清HCG、孕酮联合检测在早期先兆流产治疗中的价值分析

目的通过研究探讨血清β-HCG、孕酮联合检测在早期先兆流产治疗中的临床价值。方法随机选取广东省中山市东升镇东升医院2015年1月—2016年9月期间收治的100例早期先兆流产患者作为研究对象,并按随机数字分组法将所有入选患者分为观察组与对照组(各50例),观察组给予血清β-HCG、孕酮联合检测,对照组仅给予血清孕酮检测,分析比较两组患者检验的有效率。结果观察组经联合检测后血清β-HCG、孕酮水平较仅给予血清孕酮检测对照组的水平低(P0.05);观察组经血清β-HCG、孕酮联合检测后临床检验有效率显著优于仅给予血清孕酮检测的对照组,其临床检验的敏感度、阴性预测值及诊断准确率均显著优于仅给予血清孕酮检测的对照组(P0.05)。结论血清β-HCG、孕酮联合检测具有较高的诊断准确率,在早期先兆流产诊断中更具有指导意义,有利于临床根据血清β-HCG、孕酮检测值采取有效治疗措施。     

稳健残差控制图的构建及在金融时序中的应用

对于呈现自相关和波动族聚性并存的受控过程,通常采用残差控制图对其进行监控。但异常点的存在会对自相关或波动族聚性模型的拟合产生重要影响,使得基于该模型的残差并非独立同分布导致常规残差控制图监控失效。为解决这类问题,本文提出稳健残差控制图。即建立稳健的ARMA模型解决自相关问题从而得到无自相关的残差序列,用稳健的GARCH模型来构建控制图的上下限。模拟和实证研究表明,本文提出的稳健残差控制图具有很好的抗异常点能力并能更好的对金融时间序列的异常现象进行监控。     

The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés-Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.     

S波段微波热致超声成像系统研究

微波热致超声成像技术通过向物体发射微波脉冲, 导致物体吸收电磁波温度迅速升高, 产生瞬时压力波, 从而激发产生超声波信号, 通过传感器对产生的超声波信号进行采集并成像, 最终还原了反映物体吸收电磁波能量特性的图像, 由于此方法兼具了微波成像的高对比性和超声成像的高分辨率特点, 理论上验证了热声成像技术对早期乳腺肿瘤检测的可行性. 本实验兼顾系统成像深度和分辨率, 采用S波段的微波脉冲信号源对物体进行辐射, 利用圆形扫描方式对待测物体进行检测, 同时为了更好的验证成像性能, 本实验同时使用了肿瘤仿体及实际生物组织进行成像实验. 通过实验分析, 验证了该系统对肿瘤仿体和生物组织检测的有效性, 以及系统的高分辨率和高对比度特性, 为早期乳房肿瘤检测提供了进一步的理论支撑.