基于GARCH扩散模型的权证定价

考虑了标的资产服从GARCH扩散模型下的权证定价问题. 首先,基于有效重要性抽样(EIS)技巧,给出了GARCH扩散模型的极大似然(ML)估计方法; 然后,以上证和深证综合指数数据为例, 利用EIS-ML方法估计了GARCH扩散模型,表明了EIS-ML估计方法的有效性; 最后,给出了基于恒生指数权证的实证研究. 结果表明:GARCH扩散权证定价模型比经典的Black-Scholes(B-S)模型具有更高的定价精确性.     

Importance measure of system reliability upgrade for multi-state consecutive k-out-of-n systems

Importance measures in reliability systems are used to identify weak components in contributing to a proper function of the system. Traditional importance measures mainly concerned the changing value of the system reliability caused by the change of the reliability of the component, and seldom considered the joint effect of the probability distribution, improvement rate of the object component. This paper studies the rate of the system reliability upgrading with an improvement of the component reliability for the multi-state consecutive k-out-of-n system. To verify the multi-state consecutive k-out-of-n system reliability upgrading by improving one component based on its improvement rate, an increasing potential importance (IPI) and its physical meaning are described at first. Secondly, the relationship between the IPI and Birnbaum importance measures are discussed. And the IPI for some different improvement actions of the component is further discussed. Thirdly, the characteristics of the IPI are analyzed. Finally, an application to an oil pipeline system is given.     

改进自适应重要抽样法在水文极限分析中的应用

提出了一种改进的自适应重要抽样方法, 以广义极值分布为例, 引入L-矩法, 建立样本统计特性与分布参数的联系, 估算极限事件的 发生概率. 以浙江省云港流域的24h设计暴雨为例, 计算金竹岭和仙人潭两个站点降雨量分别大于213mm和200mm的概率. 计算结果表明 改进的自适应重要抽样方法能很好地模拟水文极限事件, 叠代次数随着抽样个数的增加逐渐减小. 与常规的MC法比较, 重要抽样的效率 有显著提高. 另外, 此改进的自适应重要抽样方法还能推广到其他的分布函数.     

信用量消息流多路复用排队的性能评价与仿真

研究经过信用量漏桶流量整形器(Credit\Bucket Traffic Shaper）整形后的独立消息流多路复用排队，给出了计算排队延迟的保证概率的分析与仿真方法。由于排队延迟超过闽值是小概率事件，理论计算中应用了大偏离原理（Large Deviation Principle)，仿真中采用重要性抽样(Importance Sampling)技术。重要性抽样的关键是对原始分布进行合理地“扭曲”，仿真中采用自适应学习的方法估计“扭曲”分布，克服了无法得到它们的解析表达式的困难。     

从若干高速公路路面的损坏看土壤CBR试验的重要性

高速公路路基填土CBR值不合格，是导致高速公路路面损坏的诱因，文章就此问题进行了较为详细的分析总结。     

一种新型太阳能炉设计制作的可靠性分析

文章简要介绍了故障树分析法(fault tree analysis,FTA)及其分析问题的步骤,提出了太阳能炉的设计制作原则和技术要求,并将FTA分析法应用于太阳能炉的可靠性分析中.首先根据太阳能炉系统的结构特点和工作原理,分析了可能引起系统失效的各种因素,建立了系统的故障树,并采用下行法算出太阳能炉系统故障树的最小割...     

Importance Analysis of a Multi-state System Based on Direct Partial Logic Derivatives and Multi-valued Decision Diagrams

Importance analysis quantifies the critical degree of individual component. Compared with the traditional binary state system,importance analysis of the multi-state system is more aligned with the practice. Because the multi-valued decision diagram（ MDD） can reflect the relationship between the components and the system state bilaterally, it was introduced into the reliability calculation of the multi-state system（ MSS）. The building method,simplified criteria,and path search and probability algorithm of MSS structure function MDD were given,and the reliability of the system was calculated. The computing methods of importance based on MDD and direct partial logic derivatives（ DPLD） were presented. The diesel engine fuel supply system was taken as an example to illustrate the proposed method. The results show that not only the probability of the system in each state can be easily obtained,but also the influence degree of each component and its state on the system reliability can be obtained,which is conducive to the condition monitoring and structure optimization of the system.     

浅谈二外法语教学的现状及其解决方法

通过对高校二外法语教学现状的分析,指出其存在的几个问题,并找出对应的解决方法,从而把理论教学与实践结合起来,综合运用各种教学方法,建立一种较佳的二外教学模式。     

基于信息系统的概念粒及其距离计算

在信息系统的基础上引人概念粒的概念,给出其规范的形式化方法,对概念粒的距离进行了定义,并研究了其距离的一些性质及应用.这些研究结果有助于理解粒的本质,能更准确的表述属性与对象之间的不确定性关系.     

动态修辞新探

区分静态与动态修辞,探究其内涵与外延、内容、范围等;动态修辞研究的现状、原因、重要性与必要性.借此引起同行的重视,特别是任教各种语音播音学,播音学概论的执教者的重视,并开展广泛深入的研究.争取获得优异的教学与科研的成果.