用约化方法对可展期的企业债券定价

可展期的企业债券是指企业在债券到期日有权根据当时的利率水平决定是否以同样的收益率将债券到期日延长,它可使企业规避利率风险,但是延展期内投资人要承担企业破产的风险,为此,必须给债券投资人以补偿.文中用约化模型处理企业违约风险,在随机利率下,用偏微分方程的方法给出了可展期的企业债券定价的公式,并讨论了它与普通企业债券在收益率上的差异.     

同时有短期和长期债券的公司债券定价

主要考虑公司同时发行短期和长期零息票债券的定价问题.利用随机分析方法,在短期债券到期日,由于偿付短期债务会引起公司资产的跳跃,所以,长期债券的定价需要分两个时间段进行.在结构化模型下给出了公司在短期债券存续期间没有违约的概率,以及在此条件下公司资产的条件概率分布,得到短期债券和长期债券的定价公式.通过数值计算,分析债券价格随各个参数变化的金融意义.     

分子动力学模拟研究纳米孔道中受限水的自扩散

利用分子动力学模拟技术考察受限于3种不同材料的纳米孔道(单壁碳管、硼氮管、铁原子孔道)中水分子的静态结构与扩散动力学,计算孔道中水分子沿轴向的自扩散系数Dz,讨论孔道截面尺寸、形状以及组成材料的变化对水分子扩散动力学的影响.结果表明,水分子的轴向自扩散系数随孔道半径的增大而减小,光滑的孔道壁有利于水分子的运输.在3种孔道限制体中,水分子在单壁碳纳米管内的自扩散系数最大.     

N’-[(4,6-二甲氧基)-嘧啶-2-基]-N-[2-(2,4-二氯苯氧丙酰基)]硫脲的结构解析

报道了一个4,6-二甲氧基嘧啶取代的硫脲的分子结构和二维构筑体系.在这个分子中,通过强分子内氢键锁硫脲的3个主要片段促使分子呈现近平面结构;不同类型的弱分子间C-H—S和C-H—O氢键导致分子形成不同类型的二聚单元;这些二聚单元结合分子间的偶极-偶极促使分子呈现不同类型的席状体系;另外,π-π堆积和氯／氯间紧密相互作用导致嘧啶取代的硫脲分子呈现高度有序的交错层的自聚集体系.     

N,N-二甲基乙酰胺的氢键效应

采用密度泛函理论在B3LYP/6-31++G(d,p)水平上对水、甲醇、苯胺、氯仿与N,N-二甲基乙酰胺分子形成的1∶1气相氢键复合物进行计算研究.结果表明,4种物质与N,N-二甲基乙酰胺形成的复合物存在氢键,表现为羰基氧原子的孤对电子与H-X(X=O,N,C)反键轨道的相互作用.氢键的形成使C=O和H-X的伸缩振动频...     

Randomized unit root processes for modelling and forecasting financial time series: Theory and applications

This paper considers the problems of statistically analysing the levels of financial time series rather than their differences, which are often equivalent to returns and which are traditionally analysed in econometric modelling. This focus on differences is a consequence of the inherent nonstationarity of the levels, and hence analysing the latter requires introducing an alternative framework for modelling nonstationary behaviour. We do this by considering randomized unit root processes, arguing that these can have a natural interpretation in the financial context. The paper thus develops methods for testing for randomized unit roots and for modelling such processes. It then applies these techniques to various financial time series, so as to ascertain their potential usefulness, particularly for forecasting.     

Forecasting Government Bond Yields with Neural Networks Considering Cointegration

This paper discusses techniques that might be helpful in predicting interest rates and tries to evaluate a new hybrid forecasting approach. Results of examining government bond yields in Germany and France reported in this study indicate that a hybrid forecasting approach which combines techniques of cointegration analysis with neural network (NN) forecasting models can produce superior results to the use of NN forecasting models alone. The findings documented in this paper could be a consequence of the fact that examining differenced data under certain conditions will lead to a loss of information and that the inclusion of the error correction term from the cointegration model can help to cope with this problem. The paper also discusses some possibly interesting directions for further research. Copyright © 2015 John Wiley & Sons, Ltd.     

Recent results on hydrogen and hydration in biology studied by neutron macromolecular crystallography

Neutron diffraction provides an experimental method of directly locating hydrogen atoms in proteins, a technique complimentary to ultra-high-resolution [1, 2] X-ray diffraction. Three different types of neutron diffractometers for biological macromolecules have been constructed in Japan, France and the United States, and they have been used to determine the crystal structures of proteins up to resolution limits of 1.5-2.5 A. Results relating to hydrogen positions and hydration patterns in proteins have been obtained from these studies. Examples include the geometrical details of hydrogen bonds, H/D exchange in proteins and oligonucleotides, the role of hydrogen atoms in enzymatic activity and thermostability, and the dynamical behavior of hydration structures, all of which have been extracted from these structural results and reviewed. Other techniques, such as the growth of large single crystals, the preparation of fully deuterated proteins, the use of cryogenic techniques, and a data base of hydrogen and hydration in proteins, will be described.     

半马氏市道轮换利率期限结构模型——基于最小Tsallis熵鞅测度

基于Ho-Lee模型,讨论零息债券价格的演变,应用无套利原理和鞅测度的方法,建立了一个离散时间半马氏过程控制的市道轮换下的二叉树期限结构模型.运用最小Tsallis熵鞅测度(the minimal Tsallis entropy martingale measure,MTEMM)处理上述模型,并在马氏和半马氏市道下给出在欧式债券期权定价方面的应用.研究发现模型结果与最小熵鞅测度下的结果具有一致性.     

管路动态对车桥加载系统的影响

本文以车辆轮桥二次调节加载系统为研究对象,建立了考虑管路动态的系统键合图模型。分析研究了管路动态对轮桥二次调节加栽系统性能的影响。通过仿真分析找出了管路液溶、液感、液阻对轮桥加载系统性能的影响规律,为进一步完善和提高车辆轮桥二次调节加载系统性能提供了可靠依据。