Applying the maximum NPV rule with discounted/growth factors to a flexible production scale model

This study examines the maximum net present value of the market entry and exit thresholds derived by the traditional net present value method and combines the real options approach for the project investment or disinvestment. The discounted and growth factors are incorporated into the proposed entry and exit models, facilitating the complicated calculations required to identify the discounted and growth rates so as to assess and determine the expected present value of uncertain cash flow streams. Consequently, this investigation successfully combines applying the maximum net present value method and the real options approach to decision-making with the simple consideration of the discounted and growth factors in the flexible production scale model.     

Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH‐models and their implications

We analyse daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975–1998, namely FX‐rates measured against the US dollar (USD) and the Japanese yen (JPY). To account for volatility clustering we fit a GARCH(1,1)‐model with leptokurtic innovations. Its parameters are not stable over the sample period and two separate variance regimes are selected for both exchange rate series. The identified points of structural change are close to a change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the sample period for both exchange rates. A similar result holds for the average level of volatility and for implied volatility of heavily traded at the money options. Copyright © 2002 John Wiley & Sons, Ltd.     

Moment generating function of the reciprocal of an integral of geometric Brownian motion

In this paper we obtain a simple, explicit integral form for the moment generating function of the reciprocal of the random variable defined by , where , 0$">, is a one-dimensional Brownian motion starting from 0. In case , the moment generating function has a particularly simple form.

     

Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which N market participants exchange M currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.     

基于外汇汇率的期权定价及其实证分析

在外汇汇率服从连续扩散过程模型下,研究了外汇汇率的几何平均亚式期权和附有汇率范围的示性函数的新型幂期权定价问题。在实证分析中,通过美元/人民币汇率的真实数据来计算以上所研究期权的价格,并和Black-Scholes模型下的期权定价进行比较,同时对相关期权的隐含波动率进行了分析。     

十一·五期间我国利用外资总量与宏观经济增长预测研究

利用九五、十五期间,我国利用外资与经济增长、固定资产投资的历史数据,结合我国"十一·五"经济社会发展的总体目标及要求,对"十一·五"期间我国利用外资的总量提出了一个具有前瞻性的需求预测.根据外资结构调整优化的主观目标.提出了经过调整后的仿真实验数据.     

A Projected Algebraic Multigrid Method for Linear Complementarity Problems

We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical algebraic multigrid algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.     

基于特征块匹配的医用注射液图像位移补偿应用

针对机器视觉药液异物检测机器人由于机械振动或跟踪不同步,导致所拍摄的序列图像产生位移偏差、影响后续异物分割与提取的问题,本工作采取特征点匹配与块匹配相结合的方法,对序列图像进行配准,求出运动矢量进行图像位移补偿,克服了传统特征点匹配产生空间位置偏差较大误匹配、传统块匹配需对背景静止块进行预处理以及单独使用特征点对匹配或块匹配均难以满足实时需要的问题。首先,对参考帧进行FAST特征点检测,再利用Hessian矩阵、非极大值抑制、熵值差法和特征点距离约束选取稳定的特征点;然后,根据特征点位置信息,选取以特征点为中心的待匹配宏块,再采用一种改进的偏水平方向的六边形搜索策略（HHS）与当前帧进行块与块的匹配,找到最佳匹配块;最后,利用匹配块之间的坐标参数求出运动参数,再利用求出的运动矢量进行帧间补偿。实验结果表明,该算法实时性能能达到72 ms,远快于点对匹配中ORB算法的140 ms,比直接用原有的六边形搜索算法（HS）进行块匹配快了近20%,兼顾了速度与精度,能快速补偿药瓶在图像中的位移偏差,抑制图像位移偏差所引起的各种干扰。     

重置期权的随机性研究

利用等价测度和鞅的方法,以股票价格为选择重设点依据的情况下推导了随机时间重置期权中的欧式看涨期权的定价公式.