Optimal design of profit sharing rates by FFT

This paper addresses the calculation of a fair profit sharing rate for participating policies with a minimum interest rate guaranteed. The bonus credited to policies depends on the performance of a basket of two assets: a stock and a zero coupon bond and on the guarantee. The dynamics of the instantaneous short rates are driven by a Hull and White model, whereas the stocks follow a double exponential jump-diffusion model. The participation level is determined such that the return retained by the insurer is sufficient to hedge the interest rate guaranteed. Given that the return of the total asset is not lognormal, we rely on a Fast Fourier Transform to compute the fair value of bonus and guarantee options.     

Binary functions,degeneracy, and alternating dimaps

This paper continues the study of combinatorial properties of binary functions — that is, functions $f:2^E\to ?$ such that $f(0?)=1$, where $E$ is a finite set. Binary functions have previously been shown to admit families of transforms that generalise duality, including a trinity transform, and families of associated minor operations that generalise deletion and contraction, with both these families parameterised by the complex numbers. Binary function representations exist for graphs (via the indicator functions of their cutset spaces) and indeed arbitrary matroids (as shown by the author previously). In this paper, we characterise degenerate elements – analogues of loops and coloops – in binary functions, with respect to any set of minor operations from our complex-parameterised family. We then apply this to study the relationship between binary functions and Tutte’s alternating dimaps, which also support a trinity transform and three associated minor operations. It is shown that only the simplest alternating dimaps have binary representations of the form we consider, which seems to be the most direct type of representation. The question of whether there exist other, more sophisticated types of binary function representations for alternating dimaps is left open.     

The duality property of the Discrete Fourier Transform based on Simpson's rule

The classical Discrete Fourier Transform (DFT) satisfies a duality property that transforms a discrete time signal to the frequency domain and back to the original domain. In doing so, the original signal is reversed to within a multiplicative factor, namely the dimension of the transformation matrix. In this paper, we prove that the DFT based on Simpson's method satisfies a similar property and illustrate its effect on a real discrete signal. The duality property is particularly useful in determining the components of the transformation matrix as well as components of its positive integral powers. Copyright © 2012 John Wiley & Sons, Ltd.     

Markov调制L′evy模型定价的Fourier-Cos方法

对一般的Markov调制L′evy模型,利用Fourier Cosine级数展开原理得到欧式期权价格的计算方法。进一步,为了改进期权定价的Fourier Cosine级数展开方法的计算精度, Fourier Cosine级数展开的对象进行了修正,获得了欧式期权价格的修正Fourier Cosine级数展开计算方法。此外,还将获得的方法应用于Markov调制Black-Scholes模型, Markov调制Merton跳扩散模型和Markov调制CGMY L′evy模型期权定价的计算。具体的数值计算说明：修正Fourier Cosine级数展开方法应与Fourier Cosine级数展开方法相比,收敛速度要慢一些,但准确性却有很大的提高。特别是对Markov调制纯跳模型,效果更为显著。     

Robust Mean-Squared Error Estimation of Multiple Signals in Linear Systems Affected by Model and Noise Uncertainties

This paper is a continuation of the work in [11] and [2] on the problem of estimating by a linear estimator, N unobservable input vectors, undergoing the same linear transformation, from noise-corrupted observable output vectors. Whereas in the aforementioned papers, only the matrix representing the linear transformation was assumed uncertain, here we are concerned with the case in which the second order statistics of the noise vectors (i.e., their covariance matrices) are also subjected to uncertainty. We seek a robust mean-squared error estimator immuned against both sources of uncertainty. We show that the optimal robust mean-squared error estimator has a special form represented by an elementary block circulant matrix, and moreover when the uncertainty sets are ellipsoidal-like, the problem of finding the optimal estimator matrix can be reduced to solving an explicit semidefinite programming problem, whose size is independent of N. The research was partially supported by BSF grant #2002038     

Hausdorff moment problem and fractional moments: A simplified procedure

The purpose of this paper is the recovering of a probability density function with support [0, 1] from the knowledge of its sequence of moments, i.e. the classical Hausdorff moment problem. To avoid the well-known ill-conditioning, firstly the moment curve is calculated from the assigned sequence of moments; next the unknown density is approximated by Maximum Entropy (MaxEnt) technique selecting some proper points on the moment curve. Exploiting convergence in entropy, a simplified quick procedure is suggested to recover the approximate density. An application to Laplace Transform inversion is illustrated.     

基于Cayley变换的紧支撑二元正交小波滤波器组的构造

构造正交滤波器组,在多相域里就等价于构造仿酉矩阵,而仿酉矩阵的构造涉及到非线性方程组的求解.通过对Cayley变换的研究,把仿酉矩阵的构造转换为更易构造的仿斜厄米特矩阵,基于这种变换构造了二元紧支撑正交小波滤波器组,并给出了算例.     

基于小波与齐次Besov空间的图像分割算法

从具有全局最优解的几何活动轮廓方法出发,分别提出了两种基于齐次Besov窄间与小波变换的图像分割算法,并给出了解的存在性证明.数值求解利用小波软阈值以及分裂Bregman方法,能够有效提高计算效率.由于小波变换具有多分辨特性,对于包含较多细节信息的图像,采用新算法能够得到更好的分割效果.数值实验表明采用新算法能够获得较...     

Preservation of transform orders under a semiparametric model and its mixture

In this paper, sufficient conditions for preservation of several transform orders under a typical family of semiparametric distributions are made. The preservation properties are developed to compare mixture semiparametric distributions. Possible applications of the achieved results to compare scale family of distributions and also compare coherent systems with dependent but identical components and series and parallel systems with randomized number of components are provided.     

一类非线性Volterra积分微分方程的周期解

本文借助laplace变换及不动点理论,研究了系统(?)=Ax+integral from n=0 to t(c(t-s)x(s)ds)+F(t,x)的周期解的存在性。唯一性问题,给出了一组充分条件.