跳跃自激发与非对称交叉回馈机制下的期权定价研究

跳跃集聚和波动率非对称回馈是股票价格运动过程中不可忽视的重要特征.基于动态跳-扩散半鞅随机过程,本文提出了具有时变跳跃到达率和波动率的双因子交叉回馈机制的期权定价模型,推导了跳-扩散交叉回馈模型的一般化风险中性变换关系;同时借助序贯贝叶斯方法对模型和跳跃风险溢价进行校准,并对道琼斯工业平均指数(DJX)、标普500指数(SPX)、苹果(APL)、IBM、JP摩根(JPM)股票进行实证研究,研究发现,它们的跳跃达到率和波动率都呈现集聚性和非对称回馈效应,且跳跃到达率具有更强的持续性和更大的杠杆系数;跳跃风险溢价在定价中占主要地位.期权定价的实证研究还表明,双因子交叉回馈模型具有最小的期权定价误差,定价能力明显优于单向回馈的跳-扩散模型.     

有限体积法定价欧式跳扩散期权模型

考虑有限体积法求解Kou跳扩散期权定价模型.基于线性有限元空间,构造了向后Euler和Crank-Nicolson两种全离散有限体积格式,并结合简单高效的递推公式逼近方程中的积分项.理论分析表明所得的离散矩阵为M-矩阵.数值实验验证了方法的有效性.     

基于摄像头的直立行走智能车控制系统设计

针对以往靠中心线提取速度较慢导致车模方向控制不稳,容易跑出赛道等问题,设计以K60微控制器为核心控制单元,利用CMOS摄像头对路径信息进行采集,在提取赛道边界和控制车体方向时创新性的使用了"窗口检测法"和"双比例"PD控制方法。"窗口检测法"能够缩短赛道边界的提取时间,提高搜索效率。双比例PD控制能够对比例参数P进行实时调整,进而更及时、准确地控制车模的运行方向。     

基于目标导向的多属性决策属性价值公度方法

MACBETH方法在多个属性维度上确定出的一组属性Good值(或Neutral值)并不能真地具有保证属性价值公度的完全相同的偏好涵义.为克服该方法缺陷,基于包容性属性价值函数,通过引入数据包络分析技术和马尔可夫理论给出了以目标参照方案为导向的目标导向属性价值函数和多属性决策属性价值公度的方法程序.相比于具有较大随意性确定属性Good值和Neutral值的MACBETH方法,依赖目标导向属性价值函数的多属性决策属性价值公度程序具有更明显的科学合理性,因此具有发展MACBETH方法,推动实际决策应用该方法及相关多属性偏好关联决策模型的创新价值.基于决策实验的应用分析直接验证了多属性决策属性价值公度方法程序的科学有效性,间接验证了包容性属性价值函数和目标导向属性价值函数的科学理性.     

货币账户带时滞的期权定价

在股票价格过程和货币市场账户均受时滞影响时,利用无风险对冲原理和鞅定价原理,得到了标准欧式期权的价格公式.研究表明,时滞对期权价格公式有明显的影响.     

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.     

Objectivity in confirmation: Post hoc monsters and novel predictions

The aim of this paper is to put in place some cornerstones in the foundations for an objective theory of confirmation by considering lessons from the failures of predictivism. Discussion begins with a widely accepted challenge, to find out what is needed in addition to the right kind of inferential–semantical relations between hypothesis and evidence to have a complete account of confirmation, one that gives a definitive answer to the question whether hypotheses branded as “post hoc monsters” can be confirmed. The predictivist view is then presented as a way to meet this challenge. Particular attention is paid to Worrall’s version of predictivism, as it appears to be the most sophisticated of the lot. It is argued that, despite its faults, his view turns our heads in the right direction by attempting to remove contingent considerations from confirmational matters. The demand to remove such considerations becomes the first of four cornerstones. Each cornerstone is put in place with the aim to steer clear of the sort of failures that plague various kinds of predictivism. In the process, it becomes obvious that the original challenge is wrongheaded and in need of revision. The paper ends with just such a revision.     

二叉树期权定价模型在人力资源价值计量中的应用

通过研究人力资源所展现的期权特征,引入二叉树期权定价模型对人力资源的价值加以计量,并对其公式进行了简单的推导,之后举例说明推迟期权、增长期权和放弃期权在人力资源各阶段的应用,以期从期权的角度对人力资源进行定量计量.     

校园网IP地址分配方式的使用分析

IP地址分配方式是校园网建设的一个重要组成部分，良好的IP地址分配方式能够有效地控制网络地址冲突，减少日常管理和维护工作负担，提高工作效率。文章提出了在校园网传统IP地址分配方式的基础上，结合目前较先进的技术进行实际应用方面的设计。     

有限时期障碍期权的三项式期权定价模型

本文研究了有限时期障碍期权的三项式定价模型,对具有三种变化的股票价格模型进行了讨论,推广了CRR二项式定价模型,推出了某一假定证券市场中有限时期障碍期权的三项式期权定价公式。