爆破冲击对早龄期混凝土强度影响的实验研究

以某大型全碎石填方机场工程为背景,针对早龄期混凝土受爆破振动损伤开展了实验研究。通过室内实验模拟场地爆破振动作用于早龄期混凝土试块,测量了不同龄期混凝土受振损伤后的强度。并将实验结果与有限元数值计算和现场爆破场地测试数据相结合,分析了早龄期混凝土损伤后的强度增长规律,建立了场地爆破与混凝土结构浇筑平行施工的安全技术指标。     

社会保障的改善对我国居民家庭消费——投资选择的影响研究

与发达国家相比,我国居民家庭的资产配置中存在着消费比例过低、金融资产配置结构不合理等问题.而导致这一问题的重要因素是我国目前的社会保障仍处于较低水平.以跨期消费—投资组合理论为基础,研究社会保障制度的改善对居民家庭资产配置的影响机理及影响效果.结果表明,社会保障制度一方面通过降低居民家庭的风险厌恶水平,可以显著提高其消费比例及风险资产投资比例;另一方面通过提高退休后的收入水平,可以提高居民家庭的整体效用水平.同时,社会保障制度的改善,也有利于提高居民家庭对金融市场的参与热情,有利于活跃我国金融市场.     

安全约束条件下的经济调度优化模型研究

发电侧放开竞争的电力系统需要更加有效、准确的决策工具对有限的资源进行调度规划。短期经济调度优化问题是一个混合整数非线性规划问题,很难得到有效最优解,尤其是对于大规模电力系统。为了提高求解效率,本文提出了一个考虑安全约束的经济调度优化模型(Security-Constrained Economics Dispatch,SCED),主要采用线性化思想处理经济调度优化问题的模型以及各种约束,采用基于校正的交替求解方法,使得调度优化结果在运行成本最小化的前提下满足系统的安全稳定约束。同时,将本文方法运用到IEEE 30节点系统进行测试,从而验证本文方法有效性。     

Asset portfolio securitizations and cyclicality of regulatory capital

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis.     

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.     

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is not the case for equity volatility. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. In a previous paper we studied the stochastic process for equity volatility, and proposed analytic approximations for different capital structures. In this companion paper we derive analytic approximations for the value of European equity options and warrants for a firm financed by equity, debt and warrants. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities either as a function of the stock price, or as a function of the firm's total assets. Since stock prices are observable, then for practical purposes, traders prefer to use the stock as the underlying instrument, we concentrate on valuation models in terms of the stock price. Second, we derive an exact solution for the valuation in terms of the stock price of (i) a European call option on the stock of a levered firm, i.e. a European compound call option on the total assets of the firm, (ii) an equity warrant for an all-equity firm, and (iii) an equity warrant for a firm financed by equity and debt. Unfortunately, to compute these solutions we need to specify the function of the stock price in terms of the firm's assets value. In general we are unable to specify this expression, but we propose tight bounds for the value of these options which can be easily computed as a function of the stock price. Our results provide useful extensions of the Black-Scholes model.     

基于模糊综合评价方法的机场油库安全度评估研究

将模糊综合评价方法应用于机场油库安全度评价,设计了四级评价因素集,结合机场油库实际,给出了安全度模糊综合评价的数学模型和计算方法.通过对某机场油库实例计算表明,评价结果与实际一致.该方法为机场油库安全管理提供了科学依据.     

一个安全有效的智能卡远程用户认证方案

2000年,Hwang和Li提出了一个新的智能卡远程用户认证方案,随后Chan和Cheng对该方案进行了成功的攻击.最近Shen,Lin和Hwang针对该方案提出了一种不同的攻击方法,并提供了一个改进方案用于抵御这些攻击.2003年,Leung等认为Shen-Lin-Hwang改进方案仍然不能抵御Chan和Cheng的攻击,他们用改进后的Chang-Hwang攻击方法进行了攻击.文中主要在Hwang-Li方案的基础上,提出了一个新的远程用户认证方案,该方案主要在注册阶段和登录阶段加强了安全性,抵御了类似Chan-Cheng和Chang-Hwang的攻击.     

基于BP神经网络的中国石油安全预警研究

为保障国家石油安全、保障国民经济安全运行,本文根据石油安全预警的特点,采用神经网络方法进行预警,设计了BP神经网络模型,应用BP神经网络建立了中国石油安全预警系统,并进行了预警研究和实证分析,得出我国石油安全属于重警区,需加强安全防范。     

基于Hits算法的Web安全改进模型

针对某些恶意页面利用搜索引擎的局限性隐藏在搜索结果排名较靠前的位置这一问题,本文提出了基于Hits算法的Web安全改进模型.该模型在Hits算法的基础上,结合向量空间模型来评价网页的风险程度,通过对恶意页面的Authority值进行＂惩罚＂来降低恶意页面在搜索结果中的排序,从而减低恶意页面被访问到的概率.实验结果表明,恶意网页的Authority值明显降低,而非恶意网页的Authority值有所上升,这使得用户通过搜索引擎点击到恶意页面的概率大幅降低.