面料服用性能优选的多属性模糊决策

织物面料服用性的优选对于服装市场的开发至关重要 .本文以一组丝绸面料为例 ,根据影响服用性能的主要因素 ,运用多属性模糊决策的方法 ,对不同品种的面料进行优选.     

Estimating the Firm Value Distribution Function by Entropy Optimization and Geometric Programming

By applying the option pricing theory ideas, this paper models the estimation of firm value distribution function as an entropy optimization problem, subject to correlation constraints. It is shown that the problem can be converted to a dual of a computationally attractive primal geometric programming (GP) problem and easily solved using publicly available software. A numerical example involving stock price data from a Japanese company demonstrates the practical value of the GP approach. Noting the use of Monte Carlo simulation in option pricing and risk analysis and its difficulties in handling distribution functions subject to correlations, the GP based method discussed here may have some computational advantages in wider areas of computational finance in addition to the application discussed here.     

欧式复合期权的定价公式

本文根据风险中性定价原理,用较简单的数学方法推导出了股票欧式复合期权的定价公式。该公式和求解B lack-Scho les微分方程所得结果一致。     

基于期望损失厌恶的供应链期权契约协调研究

以一个损失厌恶销售商与一个损失中性供应商组成的两级供应链为背景,利用期望损失厌恶理论对销售商在期权契约下的最优采购策略进行了研究,并证明了期望损失厌恶理论能有效克服传统基于前景理论的研究中因参考点外生且固定假设带来的弊端。在此基础上,进一步给出了供销双方在期权契约下实现协调共赢的条件,分析了销售商损失厌恶程度,期权契约价格等参数对供应链协调共赢机制的影响。结果显示：销售商的损失厌恶偏好并不会改变权利金分配整体供应链利润的作用,但会增强销售商分享收益的能力,改变供销双方利润或效用水平对权利金,产品销售价格和生产成本的敏感程度,且较高的损失厌恶偏好还会阻碍供销双方协调共赢目标的达成。     

Vasiek利率模型下的亚式期权的定价问题和数值分析

本文研究了随机利率满足Vasiek模型时带有浮动的敲定价格的欧式看涨亚式期权的定价问题.通过对所涉及的退化的抛物型方程的Cauchy问题进行变量代换,我们把状态空间的维数降低了一维.为克服其中的奇异性问题,本文对方程进行了分解,第一部分的方程虽然保持奇性,但是其解具有一个精确表达式;而残差部分满足系数和初始条件都充分光滑的Cauchy问题,我们运用一般的差分方法对该部分进行了有效的数值计算。     

附认股权公司债价值分析

附认股权公司债是公司债附有认股权证的新型金融产品．本介绍了附认股权公司债的定义；给出了附认股权公司债的定价模型，并给出了仿真案例．     

亚式期权的一种定价方法

本文将用保险精算的方法对几何平均亚式期权进行定价,主要利用了正态分布的性质,将对连续形式的几何亚式期权进行定价。     

两种路径依赖重置期权的设计与定价

本文在标准的Black—Scholes框架下，设计了两种路径依赖重置期权。并利用风险中性定价方法讨论了定价问题，得到了价格的解析表达式。     

Corporate taxes, changing risk, and wealth transfers between shareholders, lenders, and the taxman

This paper examines how risk and corporate taxes jointly affectthe value of the debt and equity of a firm. We view thetotalpretax value of the firm as being divided between the taxman,lenders, and shareholders, and examine how increasing the riskof a leveraged firm, with no change in its pretax value, affectsthese claimants. We show that shareholders may gain while thetaxman loses, or vice versa, or that both gain at the expenseof lenders. The outcome depends on several factors includingthe ranking of the claims of the taxman and lenders. The analysisis extended to investments which expand the firm; here our conclusionsare at variance with some frequently expressed views on possibletax advantages of merging. We obtain different conclusions becausewe make allowance for the diversification effects of mergingon the value of the debt claims. A careful examination of thisrequires a precise mathematical formulation of the values ofthe tax, debt, and equity claims using option-pricing techniques.     

Numerical convergence properties of option pricing PDEs with uncertain volatility

The pricing equations derived from uncertain volatility modelsin finance are often cast in the form of nonlinear partial differentialequations. Implicit timestepping leads to a set of nonlinearalgebraic equations which must be solved at each timestep. Tosolve these equations, an iterative approach is employed. Inthis paper, we prove the convergence of a particular iterativescheme for one factor uncertain volatility models. We also demonstratehow non-monotone discretization schemes (such as standard Crank–Nicolsontimestepping) can converge to incorrect solutions, or lead toinstability. Numerical examples are provided.