具限制投资组合和交易费用的博弈未定权益的保值

博弈期权是由kifer(2000)提出的,但就其本质而言,仍是美式期权的一种,只是增加了卖方中止合约的权利.本文主要对连续市场模型中具交易费用和限制投资组合的博弈未定权益的保值问题进行了研究,给出了买卖双方的保值价格和一个无套利区间.     

Constant dividend barrier in a risk model with interclaim-dependent claim sizes

The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence of a constant dividend barrier. An integro-differential equation for some Gerber-Shiu discounted penalty functions is derived. We show that its solution can be expressed as the solution to the Gerber-Shiu discounted penalty function in the same risk model with the absence of a barrier and a combination of two linearly independent solutions to the associated homogeneous integro-differential equation. Finally, we analyze the expected present value of dividend payments before ruin in the same class of risk models. An homogeneous integro-differential equation is derived and then solved. Its solution can be expressed as a different combination of the two fundamental solutions to the homogeneous integro-differential equation associated to the Gerber-Shiu discounted penalty function.     

Heston模型下的欧式一篮子期权定价

本文在Heston模型下,对资产的波动率满足CIR的模型的欧式一篮子期权定价进行研究,得到一篮子看涨期权的定价公式.     

Determination of polybrominated diphenyl ethers in fish tissues by matrix solid-phase dispersion and gas chromatography coupled to triple quadrupole mass spectrometry: Case study on European eel (Anguilla anguilla) from Mediterranean coastal lagoons

This paper describes the development and validation of an analytical methodology to determine 28 polybrominated diphenyl ethers (PBDEs) in European eel (Anguilla anguilla) tissues using matrix solid-phase dispersion (MSPD) and gas chromatography coupled to triple quadrupole mass spectrometry (GC-QQQ-MS/MS). A total of 28 PBDEs were targeted, including tri- to deca-brominated congeners.The robustness and effectiveness of the proposed sample preparation procedure was demonstrated in lipid-rich eel tissues. The use of batch MSPD with activated silica gel and H₂SO₄-impregnated silica gel, followed by H₂SO₄ digestion and multilayer cartridge clean-up allowed for complete lipid removal and eliminated matrix effects during GC-QQQ-MS/MS analysis. The average PBDE recoveries from eel muscle samples spiked with PBDEs at two levels were in the range 56.2-119.0%. Precision was satisfactory since relative standard deviations were lower than 19.6%, regardless of spike level, and method quantification limits ranged between 1 and 170 pg g⁻¹ (wet weight).The method demonstrated its successful application for the analysis of eel samples from two coastal lagoons located on the western French Mediterranean coast. All samples tested positive, but for tri- to hexa-brominated congeners only and total PBDE levels observed in this study were in the range 0.08-1.80 ng g⁻¹ wet weight.     

Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

We propose a novel numerical method based on rational spectral collocation and Clenshaw–Curtis quadrature methods together with the “” transformation for pricing European vanilla and butterfly spread options under Merton's jump‐diffusion model. Under certain assumptions, such model leads to a partial integro‐differential equation (PIDE). The differential and integral parts of the PIDE are approximated by the rational spectral collocation and the Clenshaw–Curtis quadrature methods, respectively. The application of spectral collocation method to the PIDE leads to a system of ordinary differential equations, which is solved using the implicit–explicit predictor–corrector (IMEX‐PC) schemes in which the diffusion term is integrated implicitly, whereas the convolution integral, reaction, advection terms are integrated explicitly. Numerical experiments illustrate that our approach is highly accurate and efficient for pricing financial options.Copyright © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 1169–1188, 2014     

基于浙江省台风灾害保险数据的农村住房易损性评价

利用浙江省农业政策性保险试点项目中的农村住房保险及理赔数据,定量分析了浙江省2007年圣帕、韦帕及罗莎3场台风灾害期间农村住房投保金额、赔付金额、保额损失率的分县汇总数据,以及与这3场台风的极大风速、过程降水量等致灾因子强度的定量关系.研究发现,浙江省农村住房的台风灾害保险金额损失率,其对数与过程降雨量有着很好的线性相关关系.依据这一关系,建立了浙江省农村住房台风易损性方程并给出相关参数.     

Compact finite difference schemes of the time fractional Black-Scholes model

In this paper, three compact difference schemes for the time-fractional Black-Scholes model governing European option pricing are presented. Firstly, in order to obtain the fourth-order accuracy in space by applying the Pad\''{e} approximation, we eliminate the convection term of the B-S equation by an exponential transformation. Then the time fractional derivative is approximated by $L1$ formula, $L2 - 1_\sigma$ formula and $L1 - 2$ formula respectively, and three compact difference schemes with oders $O(\Delta t^{2-\alpha}+h ^4)$, $O(\Delta t^{2}+h ^4)$ and $O(\Delta t^{3-\alpha}+h ^4)$ are constructed. Finally, numerical example is carried out to verify the accuracy and effectiveness of proposed methods, and the comparisons of various schemes are given. The paper also provides numerical studies including the effect of fractional orders and the effect of different parameters on option price in time-fractional B-S model.     

浅谈工程项目建设各阶段的造价控制

造价控制贯穿于工程项目建设的全过程，阐述了设计阶段、招标投标阶段、施工阶段和竣工阶段控制工程造价的措施。     

有破产成本的风险债务估值未定权益分析

破产成本是企业破产时发生的费用，从而降低了企业资产价值。破产时，债权人只能得到扣除破产成本后的企业资产价值，因而对企业的债务价值有影响。运用未定权益分析方法，给出风险债务估值的基本思路及风险债务价值满足的微分方程，得到永久性债务估值模型，可作为长期债务估值的近似。运用未定权益定价和随机计算，导出了一个包含破产成本的风险债务估值公式，该公式能说明投资策略、股利策略对风险债务价值的影响。最后将得到的结果与默顿、布莱克等人的工作进行了比较。     

共同延误工期下索赔事件的研究

共同延误工期索赔在工程实践中普遍存在,而且其影响因素多、牵涉面广.因此,共同延误的责任分摊和责任定量化对工期索赔非常重要.针对由于共同延误引起的工期延误,各责任方难以确定和各责任方责任比例难以定量处理的问题,通过比较和分析不利于承包商原则、初始责任人原则和影响比例划分原则的工期索赔原则,进而分析网络计划和动态分析计算方法.最后,提出动态责任分析计算法,即以关键路线为标准,通过解析业主、承包商、不可抗力同时引起的工期延误特点,建立共同延误工期索赔模型,对工期延误责任归属进行判定,计算各责任方的工期索赔时间.