Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach

We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular application of our setting is to model crash scenarios where both the number and the height of the crash are uncertain but bounded. Also the situation of changing market coefficients after a possible crash is analyzed.     

Children’s sense-making of division of fractions

The purpose of this paper is to share some results from a year-long teaching experiment in which fourth grade students were given the opportunity to understand fraction concepts prior to the introduction of algorithmic instruction. In particular, this paper focuses on the means by which children solved problems involving division of fractions. Children were given a task-based activity specifically designed to promote solutions that would be grounded in conceptual understanding. Three distinct solution methods, all related to counting, emerged. When the activity was replicated as part of regular classroom practice seven and a half years later, the same solution methods were observed.     

主动学习策略的培养与大学英语教学

从“以学习者为中心”模式对学生主动学习策略的要求为出发点 ,讨论了主动学习策略的构成。然后结合实证调查 ,说明急需提高学生的主动学习策略。最后根据具体的教学实践 ,提出应如何在课堂教学中正确引导学生主动学习策略的培养。     

带操作成本的项目投资

由于技术难题的解决与否及市场环境 ,宏观经济政策等的突然变化可能导致新产品的不定价格的瞬时跳跃 ,本文试图运用几何布朗运动 -跳跃过程来模拟R&D项目的产品价格。利用实物期权方法评估带操作成本的投资项目的项目价值和最优投资规则 ,还分析了模型中的变化参数对项目投资决策的影响     

Growth-security profiles in capital accumulation under risk

This paper considers the tradeoff between growth and security in the problem of capital accumulation under risk. It is shown how growth can be continuously traded for security with simple deterministic strategies generated from the optimal growth and optimal security problems. A lower bound is derived for the error resulting from the use of such strategies.     

二次式变异期权的定价模型

本讨论了一种变异期权-收益结构为二次式的欧式买入期权定价问题。在股票价格服从几何布朗运动的行为模型下，推导出收益结构为二次式的欧式买入期权的定价公式。     

银行储备金费率的一个新算法

由Black—Scholes公式的欧式期权定价方法提出了计算银行资产储备金费率的一个新的数学方法，适用于指导中央制定金融储备金费率。在我国央行目前实行单一储备金费率条件下，具有一定的参考意义。据此从投保银行的角度来反向考虑，导出投保银行得到补偿率的一个上确界，并给出一个算例。     

翻译策略和翻译理论研究:民族的视角

本文分析了基于全球化的大背景下，中国翻译所面临的挑战和任务，从译者的译材选取和具体翻译策略的采取，以及翻译理论研究建设两个方面，分别提出了要坚持以民族性特征为指导的必要性和紧迫性，主张建立立足于中国本土文化的翻译理论。从本国语言文化特征出发并不意味着拒绝外来翻译策略和理论，而意味着将我国及外来优秀成果结合，使之成为中国翻译发展的新动力。     

采用JAVA技术实现DHCP协议

鉴于DHCP(DynamicHostConfigurationProtocol)协议的广泛应用,本文介绍了使用JAVA实现该协议的基本框架及其具体的实现方法.主要针对DHCP消息的处理,可选项的处理等关键技术进行了介绍.并从服务器的角度,对服务器的工作流程进行了讨论.     

标的股票服从跳--扩散过程的复合期权定价模型

当公司以债券和股票来融资时．股票可以看作基于该公司价值的看涨期权．则基于该公司股票的期权可看作是基于公司价值的期权的期权．既复合期R．Geske(1979)建立了当公司价值服从“标准几何Brown运动”的复合期权的定价模型．并给出了定价公式．C．R．Gukhal(2004)给出了当标的股票服从跳-扩散过程的一种特殊情形——跳跃的相对高度的期望k=E(Y-1)=0的复合期权的定价公式．本文在建立了标的股票服从跳-扩散过程且跳跃的高度随机变量Y服从对数正态分布时的复合期权定价模型．并给出了定价公式．推广了Geske和Gukhal的结论．