WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

追踪物理学中的跨领域模因

以美国物理学会旗下期刊2000—2019年发表的论文和Web of Science论文摘要为基础，用模因短语刻画知识，构建模因关系网络并引入跨学科测度Rao-Stirling指数以计算模因的跨领域分数，从而追踪物理学中的跨领域模因。分别从网络拓扑结构指标、跨领域测度指标和专业术语对比3个方面进行验证，证明了所提的模因关系网络和模因的跨领域分数可以有效反映知识在不同领域间的扩散现象。     

Diet composition of an invasive population of Lithobates catesbeianus (American Bullfrog) from Argentina

The American bullfrog Lithobates catesbeianus has been introduced around the world, with invasive populations reported from almost all South American countries. A population of this species was introduced in the Calingasta department of San Juan province, which is an arid environment in western Argentina. This work provides information on the dietary composition of an invasive population of L. catesbeianus, and compares the degree of dietary overlap between adults and juveniles. Stomach contents of 169 bullfrogs (82 adults and 87 juveniles) were analysed. Adults consumed 40 prey taxa and Hymenoptera (Insecta) was the most numerous prey item (41.8%), followed by Araneae (13.6%) and Aeglidae (13.4%). Juveniles consumed 29 prey taxa and Hymenoptera constituted the highest percentage in prey number (77.2%). The trophic overlap niche index at the same level shows a value of 0.64 overlap in dietary community between adults and juveniles of this bullfrog. Aeglidae was volumetrically the most important trophic item (25.4%), followed by Anura (25.02%). Our results showed that cannibalism in bullfrogs is more common than the consumption of native anurans, coinciding with that reported in other populations of introduced bullfrogs. The high similarity in the diets of both size classes and the association between the size of the predator and prey suggest that the impact caused by bullfrogs throughout their ontogeny is high and probably has an impact on their prey. Freshwater crabs are the main items in the diet of Lithobates catesbeianus in other introduced populations and are usually the most conspicuous at our study site. The crabs in freshwater ecosystems are part of the lowest trophic level in the food chain. The major threats to the southern region’s freshwater crabs include deforestation, farming and exotic species. Lithobates catesbeianus has a generalist diet and high overlap between adults and juveniles.     

美式多资产期权定价问题的有限差分法

提出一种求解美式多资产期权定价问题的有效算法. 首先, 利用惩罚法和完全匹配层技巧将多资产期权满足的线性互补模型转化为有界区域上的非线性抛物问题; 然后采用半隐式有限差分法求解转化后的非线性问题, 并给出该方法的误差结果及数值解的非负性证明; 最后利用数值实验验证所提算法的实用性和有效性.     

随机通货膨胀下DB养老金计划最优退出策略

针对目前投保人在投保过程遇到的系统性风险,研究了基于随机通货膨胀风险下DB养老金计划的最优退出策略问题。该计划具有最低保障功能,并且投保人可以在任何时期行使surrender期权。为了找到行使surrender期权的最佳时间,将带有surrender期权的DB型年金计划的最佳退出时间转化为一个自由边界问题,由此可以得到一个相应的非齐次偏微分方程,利用梅林变换对非齐次偏微分方程进行积分变换后使用RIM递推积分法对积分方程进行数值求解,从而得到一个surrender期权估值的积分方程和最优退出边界。研究表明:这种期权为投保人提供了更多的保护,使得投保人拥有更多的选择权;此外,用数值分析给出了公平收费率的性质和在不同投资比例对账户价值的影响以及其最优退出策略。     

亦正亦邪的统一体--北美本土文化英雄传说中的恶作剧者形象解读

恶作剧者是北美本土文化英雄传说中的一个鲜明而又奇特的形象。他是非善亦非恶的象征，既扮演着神圣的创世者和部落文化英雄的角色，又是边缘化的颠覆者和社会道德评判体系的逾越者。以恶作剧者学说理论分析本土文化英雄——传说中的恶作剧者代表形象郊狼卡约蒂，以揭示恶作剧者本身的复杂性，即神圣和罪恶。     

存贷款利率隐含期权的蒙特卡罗模拟定价

随着利率市场化改革的深入,商业银行在经营中将出现一种新的风险,即隐含期权所带来的利率风险,对这些隐含期权的忽略会给公司造成重大损失。本文研究了基于跳跃---扩散模型的利率隐含期权的蒙特卡罗模拟定价模型与原理,结合我国银行存、贷款的隐含期权的类型及投资者的最优执行策略理论,对我国商业银行五年期定期存款与十年期可提前偿还贷款中的隐含期权进行定价。     

美国野水鸭I型副黏病毒病HI免疫抗体消长规律试验

试验采用鸭副黏病毒GSFY株（A苗）、GSBY株（E苗）油乳剂灭活疫苗和鸡新城疫NH株（N苗）油乳剂灭活疫苗对7d、14d和21d的美国野水鸭分别进行不同剂量和不同次数的免疫,检测各实验组鸭的HI抗体变化情况。结果显示,美国野水鸭分别免疫后,HI抗体A苗21d和E苗14d时分别达4．55log和5．27log以上,维持时间为35～42d以上。N苗除3次免疫组21d时达到4．0log以上维持时间21～28d外,1次和2次免疫组均不能达到4．0log的抗体水平。结果表明,对美国野水鸭作I型副黏病毒病灭活疫苗免疫具有良好的免疫效果,尤以3次免疫为佳．3个不同来源毒株的灭活疫苗以GSBY株油乳剂灭活疫苗的免疫效果最好。     

大学生的中国文化和美国文化象征及其翻译调查

通过对大学生进行中国文化和美国文化象征对比调查,分析大学生认同的美国文化象征及其汉语翻译情况,以及大学生认同的中国文化及其英语翻译情况,了解文科大学生和理工科大学生在选取中国文化象征和美国文化象征上的差异。调查表明大学生能准确地表达美国文化象征及其汉语翻译,而表达中国文化象征及其英语翻译时却不尽如人意。通过在大学英语教学课程目标中明确提出中国文化在英语教学中的作为和地位,在教学内容上增加英语介绍中国文化的相关题材和信息,在教学方法上运用多种策略激发学生学习中国文化,以及教师提高中国文化素养等措施,将中国文化融入大学英语教学,使文化教学和语言教学有机融合。     

求解Black-Scholes模型下美式回望看跌期权的有限差分法

考虑Black-Scholes模型下美式回望看跌期权的定价问题.先采用有限差分法对BlackScholes方程离散,求解期权价格,再通过Newton法求解最佳实施边界.用两种方法交替求解,得到了期权价格和最佳实施边界的数值逼近结果.数值实验验证了算法的有效性.