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481.
In this paper, we propose an intensity-based framework for surrender modeling. We model the surrender decision under the assumption of stochastic intensity and use, for comparative purposes, the affine models of Vasicek and Cox–Ingersoll–Ross for deriving closed-form solutions of the policyholder’s probability of surrendering the policy. The introduction of a closed-form solution is an innovative aspect of the model we propose. We evaluate the impact of dynamic policyholders’ behavior modeling the dependence between interest rates and surrendering (affine dependence) with the assumption that mortality rates are independent of interest rates and surrendering. Finally, using experience-based decrement tables for both surrendering and mortality, we explain the calibration procedure for deriving our model’s parameters and report numerical results in terms of best estimate of liabilities for life insurance under Solvency II. 相似文献
482.
Philip A. Ernst L.C.G. Rogers Quan Zhou 《Stochastic Processes and their Applications》2017,127(12):3913-3927
Suppose you have one unit of stock, currently worth 1, which you must sell before time . The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1. Suppose however that we are able to see units of time into the future, and base our stopping rule on that; we should be able to do better than expected value 1. But how much better can we do? And how would we exploit the additional information? The optimal solution to this problem will never be found, but in this paper we establish remarkably close bounds on the value of the problem, and we derive a fairly simple exercise rule that manages to extract most of the value of foresight. 相似文献
483.
修正的期权定价模型及定价公式 总被引:2,自引:0,他引:2
通过一系列函数变换,求出了修正的Black—Scholes欧式定价模型方程的解,并对股票与国债的投资组合进行了分析。 相似文献
484.
激励机制对于经营者和股东的协调作用 总被引:1,自引:0,他引:1
摘要由于股东分散使得股东和经营者之间获得信息不对称 ,由此产生了股东和经营者之间的矛盾 .本文提出可以通过赠股或奖金期权的形式建立模型进行协调并用库恩 -塔克定理进行简化 . 相似文献
485.
基本资产不可交易的实物期权定价方法研究 总被引:3,自引:0,他引:3
实物期权定价面临的一个主要问题是其基本资产不可交易问题,在这种情况下,通常的解决办法是在市场中寻找一个与该基本资产最为相关的可交易资产,利用可交易资产的价格信息来对特定实物期权进行定价和风险对冲。本应用随机动态规划法,确定实物期权的最优风险对冲策略所满足的偏微分方程。利用无套利原理,同时还可以得到实物期权的近似市场定价。 相似文献
486.
JEAN‐DANIEL M. SAPHORES 《Natural Resource Modeling》2004,17(2):163-190
ABSTRACT. This paper shows that the timing of an investment to reduce the emissions of a stock pollutant under environmental uncertainty depends on the specification of uncertainty, on its level, and on the presence of a lower reflecting barrier for the stock pollutant. With quadratic damages, when variability increases with the level of pollution, emissions should be curbed immediately when uncertainty is large enough; when uncertainty is small, however, its impact is ambiguous. A lower reflecting barrier may also significantly influence the investment threshold. These results highlight the importance of better understanding the links between greenhouse gas concentration and weather variability. 相似文献
487.
美式债券期权定价问题的有限元方法 总被引:3,自引:0,他引:3
The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms. 相似文献
488.
In this paper, we present a Quasi-Monte Carlo approach for pricingEuropean-style Asian options, i.e. for options whose pay-offdepends on the average price of the underlying asset where theaverage is extended over a fixed period up to the maturity date.Following a recent development in mathematical finance, we assumethat the log returns of the asset are not normally but hyperbolicallydistributed. This hypothesis is approved by several authorswith different statistic tests on real financial data. The aimof this paper is to advance the hyperbolic model to the pricingof Asian options, since there only exist pricing formulae forplain vanilla options and some types of exotic options (e.g.power call options, barrier options) so far. We show how onecan obtain prices of general Asian options in such incompletemarkets in an efficient way. 相似文献
489.
前向打靶格方法是Banaquand和Latombe在解决非完全型Hamilton—Jacobi—Bellman方程时介绍的.本将用它来解决未定权益定价问题.中首先介绍这种方法。然后用它计算变异期权的价格。 相似文献
490.
允许提前违约的信用衍生产品定价模型 总被引:4,自引:0,他引:4
本文运用随机过程中的反射原理 ,停时分布以及障碍期权的定价思想扩展了 Merton( 1 975 )提出的信用衍生产品定价模型 ,对允许提前违约且标的资产间具有相关性的信用衍生产品进行定价 ,并给出了该定价模型的解析解 相似文献