考虑交易对手违约的单名LCDS定价及其CVA计算

分析了贷款信用违约互换(LCDS)的主要风险并建立了其定价模型.在约化方法框架下,利用单因子反CIR(Cox-Ingersoll-Ross)模型来刻画早偿和违约的负相关性和非负性,并在此假定下得到定价公式的封闭解.在此基础上考虑了交易对手可违约的单名LCDS的信用价值调整(CVA)的计算模型,在模型中加入LCDS卖方即交易对手的违约强度,并通过一个非线性偏微分方程对模型进行求解.最后,基于CVA计算模型和数值结果,讨论了错位风险.结果表明:考虑交易对手违约的LCDS价格将低于普通LCDS,且价差(CVA)随LCDS合约期限、利率和参考贷款与交易对手违约相关性的增大而增大;考虑交易对手违约的LCDS公平保费率也低于普通LCDS;当参考贷款与交易对手负相关时,CVA的值随负相关程度的增大而减小.     

考虑交易对手违约相关的脆弱期权定价

探讨了脆弱欧氏看涨期权定价过程中存在的交易对手间违约相关问题.首先,提出了交易对手间环形违约相关情形与市场风险因素共存时,违约强度模型的构造.其次,利用绝对连续的测度变换方法得到了交易双方的联合违约密度函数.数值分析结果表明：当期权交易双方存在环形违约相关时,脆弱期权的价格要低于只考虑存在单边违约风险的情形,说明此种情况下的脆弱期权蕴含着较高的信用风险暴露.另外,模型对回收率的敏感性要强于已有模型.     

约化模型下的公司债券定价

公司债券是一种可违约风险债券.公司债券定价的约化模型将违约时间定义为具有违约强度的绝不可及时,将违约过程看作跳过程.违约过程的强度过程既可依赖外生宏观状态变量,也可以受到其他公司违约的影响.本文分析了违约强度过程的构造,给出了风险债券的定价原理,得到了可违约债券定价的一般公式,并推导出了交易对手风险存在时公司债券定价公式.     

具有单边对手风险的信用违约互换的定价

信用衍生产品作为一种有效分散、转移以及对冲信用风险的重要工具被各个金融机构广泛使用。2008年金融风暴以后,曾被人们忽视的对手风险再次得到重视。该文将在约化模型下研究一种最重要的信用衍生品信用违约互换(CDS)的定价问题,得到了具有单边对手风险的信用违约互换的互换率的解析表达式,并且作了数值分析。     

对手违约存在相关性的可违约债券的定价

通过讨论违约时刻的概率分布给出存在对手风险的可违约债券的定价公式,对于存在多对手的情况,当对手间相互独立时定价公式容易得出,但对手间存在相互依赖关系性的情况比较复杂。为了解决这一问题,引入Copula函数来刻画违约时刻的联合分布,从而给出债券定价公式的显式表达。     

股票期权信用估值调整的柳树法计算

提出了一种基于柳树状结构快速计算带有错向风险的信用估值调整的算法,并利用信用违约互换价差数据校准违约概率,以几何布朗运动和跳扩散模型下欧式和百慕大股票期权的数值实验为例,表明柳树法与现有方法相比有相同的计算精度,但计算速度更快.     

基于分层Copula的CDS定价研究

本文研究了基于双边交易对手风险的信用违约互换(CDS)的定价问题,建立了以分层Copula为核心的CDS定价公式.分析了不同变量间违约相关性变化对CDS票息率的影响,并且通过与一般多元copula模型进行比较,展示了分层Copula在刻画多变量不同违约相关性情况下的优势,对如何建立更合理的CDS定价公式进行一定的探究.     

非对称信息下信用违约互换风险交易的博弈分析

建立了信用违约互换效用函数模型，对非对称信息下信用违约互换风险交易进行了博弈分析。研究结果表明，在非对称信息中，信用违约互换交易取决于信用资产的质量、交易价格以及不同质量信用资产的比率；当存在信息不对称时，由于信用违约互换的卖方无法判断信用资产的质量，可能定出过高的价格而导致信用违约互换市场的逆向选择效应。     

3个公司双曲衰减违约传染模型下信用违约互换定价

在约化模型框架下,研究了具有交易对手违约风险的3个公司双曲衰减违约传染模型的信用违约互换（CDS）定价. 通过引入一几何双曲类型的衰减函数表示一方违约对另外两方违约强度的影响,研究了3种风险资产的传染效应.通过测度变换,对一类特殊的双曲衰减违约传染模型进行研究,给出了3个公司违约时间的联合密度函数,并利用完全市场下的无套利定价公式对CDS的保护费率,即互换率进行定价,得到了解析表达式.     

违约风险市场价格的复合期权的定价模型与解法

在复合期权中,作为标的的期权含有交易对手违约的风险,对于含信用风险的复合期权,借助公司价值模型中的补偿率,同时采用重Poisson随机过程来确定违约的发生.其中重Poisson随机过程的强度函数遵从均值回复过程且与标的资产、企业价值都相关.利用等价鞅测度变换方法导出含信用风险的复合期权的解析定价公式.     

Markedness and its Interpretation in Language Use

Language markedness is a common phenomenon in languages, and is reflected from hearing, vision and sense, i.e. the variation in the three aspects such as phonology, morphology and semantics. This paper focuses on the interpretation of markedness in language use following the three perspectives, i.e. pragmatic interpretation, psychological interpretation and cognitive interpretation, with an aim to define the function of markedness.     

Features of Women's language

Language is a means of verbal communication. People use language to communicate with each other. In the society, no two speakers are exactly alike in the way of speaking. Some differences are due to age, gender, statue and personality. Above all, gender is one of the obvious reasons. The writer of this paper tries to describe the features of women＇s language from these perspectives： pronunciation, intonation, diction, subjects, grammar and discourse. From the discussion of the features of women＇s language, more attention should be paid to language use in social context. What＇s more, the linguistic phenomena in a speaking community can be understood more thoroughly.     

An Analysis of Catherine＇s Character——Wuthering Heights

Wuthering Heights, Emily Bronte＇s only novel, was published in December of 1847 under the pseudonym Ellis Bell. The book did not gain immediate success, but it is now thought one of the finest novels in the English language. Catherine is the key character of this masterpiece, because everybody and everything center on her though she had a short life. We can understand this masterpiece better if we know Catherine well.     

Lower Paleozoic oil relationships within Williston Basin, Canada

The Williston Basin is a significant petroleum province, containing oil production zones that include the Middle Cambrian to Lower Ordovician, Upper Ordovician, Middle Devonian, Upper Devonian and Mississippian and within the Jurassic and Cretaceous. The oils of the Williston Basin exhibit a wide range of geochemical characteristics defined as "oil families", although the geochemical signature of the Cambrian Deadwood Formation and Lower Ordovician Winnipeg reservoired oils does not match any "oil family". Despite their close stratigraphic proximity, it is evident that the oils of the Lower Palaeozoic within the Williston Basin are distinct. This suggests the presence of a new "oil family" within the Williston Basin. Diagnostic geochemical signatures occur in the gasoline range chromatograms, within saturate fraction gas chromatograms and biomarker fingerprints. However, some of the established criteria and cross-plots that are currently used to segregate oils into distinct genetic families within the basin do not always meet with success, particularly when applied to the Lower Palaeozoic oils of the Deadwood and Winnipeg Formation.     

低渗透非均质砂岩油藏启动压力梯度研究

理论推导与室内实验相结合,建立了低渗透非均质砂岩油藏启动压力梯度确定方法。首先借助油藏流场与电场相似的原理,推导了非均质砂岩油藏启动压力梯度计算公式。其次基于稳定流实验方法,建立了非均质砂岩油藏启动压力梯度测试方法。结果表明:低渗透非均质砂岩油藏的启动压力梯度确定遵循两个等效原则。平面非均质油藏的启动压力梯度等于各级渗透率段的启动压力梯度关于长度的加权平均;纵向非均质油藏的启动压力梯度等于各渗透率层的启动压力梯度关于渗透率与渗流面积乘积的加权平均。研究成果可用于有效指导低渗透非均质砂岩油藏的合理井距确定,促进该类油藏的高效开发。     

On Tragic Consciousness In The Works By Ernest Hemingway

As an American modern novelist who were famous in the literary world, Hemingway was not a person who always followed the trend but a sharp observer. At the same time, he was a tragedy maestro, he paid great attention on existence, fate and end-result. The dramatis personae's tragedy of his works was an extreme limit by all means tragedy on the meaning of fearless challenge that failed. The beauty of tragedy was not produced on the destruction of life, but now this kind of value was in the impact activity. They performed for the reader about the tragedy on challenging for the limit and the death.     

Achieving Unusual States of Matter Under High Pressure

正The periodicity of the elements and the non-reactivity of the inner-shell electrons are two related principles of chemistry,rooted in the atomic shell structure.Within compounds,Group I elements,for example,invariably assume the+1 oxidation state,and their chemical properties differ completely from those of the p-block elements.These general rules govern our understanding of chemical structures and reactions.Using first principles calcula-     

Exchange-Correlation and Electronic Excitation Energies from Pairing Matrix Fluctuations

We have developed an adiabatic connection to formulate the ground-state exchange-correlation energy in terms of pairing matrix linear fluctuations.This formulation of the exchange-correlation energy opens a new channel for density functional approximations based on the many-body perturbation theory.We illustrate the potential of such approaches with an approximation based on the particle-particle Random Phase Approximation(pp-RPA).This re-     

Density Functional Theory for the Response of Periodic Systems to Electric Fields Based on the Vector Potential Approach

正The electronic and nuclear(structural/vibrational)response of 1D-3D nanoscale systems to electric fields gives rise to a host of optical,mechanical,spectral,etc.properties that are of high theoretical and applied interest.Due to the computational difficulty of treating such large systems it is convenient to model them as infinite and periodic(at least,in first approximation).The fundamental theoretical/computational problem in doing so is that     

On the Thermodynamic Limit for Responses to Static Electromagnetic Fields

For molecular systems,the quantum-mechanical treatment of their responses to static electromagnetic fields usually employs a scalar-potential treatment of the electric field and a vector-potential treatment of the magnetic field.Although the potential for each field separately is associated with the choice of an(unphysical)origin,the precise choice of the origin for the electrostatic field has little consequences for the results.This is different for the