剖析博彩弹子机的赢钱原理

介绍了博彩弹子机 ,运用数学建模法剖析了它的赢钱原理 ,强调了一般博彩业主永远是赢家的道理     

提前还贷及其隐含期权的分析

可提前还款的定期贷款是隐含着期权的利率衍生物，本文建立CIR利率模型下可提前还款的定期贷款的数学模型，通过离散偏微分方程，建立了模型的计算方法，讨论了随机利率对提前还贷的影响．     

联保贷款中的策略性违约规避机制设计

针对联保贷款的策略性违约问题,通过对其产生原因的分析以及对现有文献中解决措施的探讨,设计了一个弹性联保贷款合约。该合约的特点在于,随着企业愿意承担的连带责任的增加,企业可获得的期望收益也随之增加,旨在从正面激励企业主动为同伴承担还款责任,达到规避策略性违约的目的。通过数值分析验证了该弹性合约的特性以及适用范围。并进一步在两企业模式基础上进行拓展,讨论了多于两企业的情况下该弹性合约的适用条件。     

Distinguishing authentic and counterfeit banknotes by surface chemical composition determined using electrospray laser desorption ionization mass spectrometry

Electrospray laser desorption ionization mass spectrometry (ELDI/MS) was used to rapidly distinguish authentic banknotes from counterfeits of the US dollar and the New Taiwan dollar. The banknotes' surfaces were irradiated with a pulsed ultraviolet laser, after which the desorbed ink compounds entered an electrospray plume and formed ions via interactions with charged solvent species. Authentic banknotes were found to differ from their counterfeit equivalents in their surface chemical compositions. The detected chemical compounds included various polymers, plasticizers and inks; these results were comparable with those obtained using solvent extraction followed by electrospray ionization mass spectrometry analysis. Because of the high spatial resolution of the laser beam, ELDI/MS analysis resulted in minimal damage to the banknotes. Copyright © 2013 John Wiley & Sons, Ltd.     

Estimation of rating classes and default probabilities in credit risk models with dependencies

Let Y = m(X) + ε be a regression model with a dichotomous output Y and a one‐step regression function m . In the literature, estimators for the three parameters of m , that is, the breakpoint θ and the levels a and b , are proposed for independent and identically distributed (i.i.d.) observations. We show that these standard estimators also work in a non‐i.i.d. framework, that is, that they are strongly consistent under mild conditions. For that purpose, we use a linear one‐factor model for the input X and a Bernoulli mixture model for the output Y . The estimators for the split point and the risk levels are applied to a problem arising in credit rating systems. In particular, we divide the range of individuals' creditworthiness into two groups. The first group has a higher probability of default and the second group has a lower one. We also stress connections between the standard estimator for the cutoff θ and concepts prevalent in credit risk modeling, for example, receiver operating characteristic. Copyright © 2014 John Wiley & Sons, Ltd.     

基于博弈论的融资租赁保证金确定方法研究

针对融资租赁中租金偿还违约风险的防范问题,研究了如何合理设置租赁保证金来防范违约风险.运用博弈理论建立了租金偿还的动态博弈模型,采用逆向归纳法求解该博弈模型并推导出了预防性保证金确定方法及其适用条件,通过边界条件的改变继而推导出了补偿性保证金确定方法及其适用条件.算例分析表明,运用两种方法来计算租赁保证金时,只需已知租赁项目各期租金和租赁资产的价值而无需知道租赁项目的各期收益,仅以出租人预期租赁项目在各期的收益与租金之间的大小作为判据来选择保证金确定方法.两种保证金确定方法具有较高的实用性和可操作性,是出租人合理地确定租赁保证金的有效方法.     

价格与隐含远期违约概率

如同根据布莱克-斯科尔斯模型从欧式看涨期权市场价格中反求隐含波动率一样,从信用违约互换的价格中提取隐含违约概率在理论上和实践上都存在很多困难.传统的自助法存在很大的缺点,并有可能得出不符合现实的结果.本文采用基于一段时期的条件违约概率的新的优化方法来替代基于自助法的瞬时远期违约概率,该方法有很多优良特性,会得出比传统方法好得多的结论.     

一个多因子信用违约互换定价模型

考虑一个违约互换的多因子的简化模型,通过测度的转化并求解一个多变量Riccati常微分方程而得出了这个模型的解析解.此模型是Duffie-Pan-Singleton(2000)模型的特例,但是这个模型存在解析解,而Duffie-Pan-Singleton模型并不存在解析解.模型的解析解对获得直觉的判断和进行模型的计算都非常有帮助,而且模型的解析解对实证检验也是有帮助的.     

关于融资收缩现象成因的一个模型解释

本文通过构建一个关于企业融资与经济增长的理论模型对融资收缩形成的内在机理进行了揭示.     

Copula方法与相依违约研究

目前信用风险研究的重点已经从单笔债务的违约概率研究转移到多笔债务的相依违约(Dependent Defaults)研究。Copula方法是研究相依违约的重要方法。这种方法是最近几年才被应用到信用领域研究中的一种新方法。本结合代表性献对Copula方法在相依违约研究中的应用进行了探讨。探讨的内容包括Copula方法被应用于相依违约研究的原因、该方法对于相依违约建模理论的改进以及在实证应用中使用Copula方法应该注意的问题。