波动率风险溢价——基于VIX的实证

波动率风险溢价是金融学文献关注的核心问题之一. 基于非仿射GARCH扩散模型,推导相应的VIX公式,继而采用S&P500与VIX 指数联合数据,给出模型客观与风险中性参数基于有效重要性抽样（EIS）的联合极大似然（ML）估计. 进一步利用粒子滤波 方法给出隐波动率的估计,推断VIX隐含的波动率风险溢价. 蒙特卡罗模拟实验表明,提出的估计方法是有效的. 采用实 际数据进行的实证研究表明,波动率风险被定价,且波动率风险溢价为负,隐含市场投资者整体表现为风险厌恶.     

Information identification in different networks with heterogeneous information sources

Traditional cheaptalk game model with homogeneous information sources provided a con clusion that dishonest information sources will not be identified if he changes strategy stochastically. In this paper, the authors incorporate different information diffusion networks and heterogeneous in formation sources into an agentbased artificial stock market. The obtained results are different with traditional results that identification ability of uninformed agents has been highly improved with diffu sion networks and heterogeneous information sources. Additionally, the authors find uninformed agents can improve identification ability only if there exists a sufficient number of heterogeneous information sources in stock market.     

An efficient non-iterative algorithm to estimate the apparent diffusion coefficient of water molecules in the magnetic resonance diffusion imaging experiments

Many studies have shown that the magnetic resonance signal decay with an extend range of diffusion weighting(b-factor)is a bi-exponential attenuation in the diffusion-weighted magnetic resonance imaging experiments in vivo.Based on this feature and the two-compartmental model,we propose a twice-linear-fitting(TLF)algorithm to estimate the apparent diffusion coefficient(ADC)of the water molecules instead of the commonly used iterative Levenberg–Marquardt(LM)method.The TLF algorithm consists of two liner fitting steps to estimate the fast and the slow apparent diffusion coefficients and their sizes,respectively.It is unnecessary to guess the initial values in the whole fitting process.The time consumption of the TLF algorithm is much less than that of the iterative LM method.Moreover,the TLF algorithm may avoid the extraneous solutions,which often deteriorates the results of the LM method.Compared with the iterative fitting method,the TLF algorithm is a reliable and timeefficient approach to estimate the ADC of water molecules in vivo in magnetic resonance diffusion-weighted imaging experiments.     

氧化镧活性的热分析研究

草酸镧热分解产物氧化镧直接水解得到反应活性高的氢氧化镧，用热重（ＴＧ）和差热分析（ＤＴＡ）研究了氧化镧的活性，方法简单且不易引进其它杂质。     

煤粒瓦斯扩散的数学物理模型

分析了煤粒瓦斯解吸扩散的过程，建立了第三类边界条件的煤粒瓦斯扩散的数学物理模型并给出了模型的解析解。结论表明，第三类边界条件下的瓦斯扩散模型包含以往研究的第一类边界条件下的扩散模型，传质毕欧准数能表征煤粒瓦扩散场的特点；介绍了测试煤粒瓦斯扩散 数和表面传质系数的方法，给出了测试实例。     

带有启动时间的GI/G/1排队系统的扩散逼近

为了刻画通信网络中自动请求重发(automatic repeat request,ARQ)通信协议,将其模型化转为一个带有启动时间的GI/G/1排队系统。首先建立了服务员的闲期所满足的上下界函数关系,后利用此关系证明了该排队系统队长、负荷和忙期过程的扩散逼近,近似刻画了系统指标。     

再生核空间中时间分数阶扩散方程的数值解法

提出一种简单的求解时间分数阶扩散方程的新方法,数值结果表明该方法是有效的.     

一类自适应扩散方程在乘性去噪中的应用

提出一类自适应扩散方程并将其相应的模型用于乘性去噪, 该类模型能针对乘性噪声的特点, 根据局部梯度信息自适应地选择扩散模式: 其扩散速度和噪声大小成正比, 没有噪声的区域不扩散, 同时结合了热方程各向同性扩散和全变差流各向异性扩散的特点. 理论分析和实验结果表明, 该类模型能自适应地光滑区域内部, 增强边界, 避免阶梯效应.     

PbI2—PbBr2—AgI系统玻璃的化学稳定性研究

在２５℃恒温下，研究了摩尔分数组成为０．５０ＰｂＩ２·０．３０ＰｂＢｒ２·０．２０ＡｇＩ的玻璃在静态去离子水中的侵蚀过程，由于玻璃中溶出的ＰｂＸ２（Ｘ＝Ｉ，Ｂｒ）发生水解，侵蚀液的ｐＨ值经历一个由快速下降到逐渐稳定的变化过程。诱导期过后，玻璃中的各组分以分子化学比形式溶解，这是一个选择性溶解过程，溶解度较高的组分将优先溶解。溶液分析结果表明，玻璃的侵蚀是一个扩散控制的过程。引入难溶组分是提高非氟卤