随机序及其随机序之间的关系

文章先介绍了几种主要的随机序,其中包括期望效用准则、随机占优、单调风险率条件、单调似然率条件和均值-方差准则,然后在此基础上研究了它们之间的关系。     

金融市场中高频数据的分析方法

对高频数据所得到的市场波动率特征和常用的模型及估计方法进行系统的总结,归纳出模型的共同特征、不足之处和修正方法,指出了应用高频数据所面临的问题,提出了在中国股票市场中高频数据的应用方法．     

常利率Erlang(2)风险模型的破产时刻罚金折现期望值

研究了常利率下Erlang(2)风险模型,得到了破产时刻罚金折现期望值的一个二阶微分方程。利用这个二阶微分方程,对经典风险理论中的一些结果作了进一步的讨论。     

Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model

Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value‐at‐risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models which specify the risk of one asset as depending on its own past as well as the past behaviour of other assets. Multivariate effects, whereby the risk of a given asset depends on the previous risk of any other asset, are termed spillover effects. In this paper we analyse the importance of considering spillover effects when forecasting financial volatility. The forecasting performance of the VARMA‐GARCH model of Ling and McAleer (2003), which includes spillover effects from all assets, the CCC model of Bollerslev (1990), which includes no spillovers, and a new Portfolio Spillover GARCH (PS‐GARCH) model, which accommodates aggregate spillovers parsimoniously and hence avoids the so‐called curse of dimensionality, are compared using a VaR example for a portfolio containing four international stock market indices. The empirical results suggest that spillover effects are statistically significant. However, the VaR threshold forecasts are generally found to be insensitive to the inclusion of spillover effects in any of the multivariate models considered. Copyright © 2008 John Wiley & Sons, Ltd.     

债券的久期与凸度的价值

随着利率市场化进程的不断加快，对债券的价格波动率进行较深入的了解，才能在实战中对价格的涨跌原因进行正确分析，并采取相应的投资策略．本文介绍了债券价格波动率的两种重要测度：久期和凸度．给出了久期凸度对国债价格波动率预测的实证分析，以及基于久期和凸度的套期保值方法．     

普通V带传动的预期寿命

本文对普通V带在确定额定功率时的预期寿命进行了探讨。通过对ISO/TC41(Secretariat—210)370E 关于单根普通V带额定功率的计算模式,以及Spotts M.F.在其论著中提供的实验公式和实验数据的分析研究。本文导出了普通V带与额定功率对应的疲劳寿命应为24000小时的结论。     

Direct determination of trace silicon in lanthanum oxide by using a selective volatility and slurry sampling-FETV-ICP-AES

A new method for determination of trace sillicon in high purity lanthanum oxide by using electrothermal vaporization (ETV)-ICP-AES with polytetrafluoroethylene (PTFE) slurry as a fluorinating reagent has been proposed. Under the optimized experimental conditions, the fluorination reactions of analyte (Si) and matrix(La) with PTFE in the graphite furnace took place at high temperature, and the fractional volatilily between Si and La was observed. Based on this principle the matrix interference could be eliminated. The detection limit of Si was 4.0μg·L⁻¹, and the RSD was 3.4%(C=0.2mg·L⁻¹,n=10). The procedure proposed has been applied successfully to determine trace Si in La₂O₃ without any chemical pre-treatment. Supported by the National Natural Science Foundation of China Qin Yongchao: born in Dec. 1953, ph. D., Assciate Professor     

THE BOREL STATE SPACE SEMI-MARKOVDECISION PROCESS WITH EXPECTED TOTAL REWARDS IN A SEMI-MARKOV ENVIRONMENT

1.IntroductionMarkovdecisionprocesses(MDP)candescribeMarkoviansequentialdecisionsystems([12]),amongwhichtherearemanysystemsinstochasticenvironmentsandtheenvironments'effectwillchangetheparametersmodelingthesystem,e.g.3arepairablesysteminastochasticenvironment([3])andqueueingsystemsinvariedstochasticenvironments([4]).ThusMDPinstochasticenvironmelltsoccuriftheoptimalcontrolofsuchsystemsisconsidered.ContinuoustimeMDPandsemi-Markovdecisionprocess(SMDP)inasemi-Markovenvironmentwithdiscountedc…     

用模糊数学方法分析PERT网络的时间问题

应用模糊数学的理论和方法，对非肯定型网络计划中无法准确定的持续时间进行定量分析，以得到时间的可能性分布规律，从而整个计划完成的可能性作出客观预测。     

多选测验响应决定式记分法与最优回答策略

讨论多项选择测验中，选择方式的差别仅限于一个答案是正确的，而其它答案都是错误的，且出错的概率都是相同的记分系统里，现给定一个回答系统和相应的记分法，并得出受试者的期望分数以及最优的回答策略．