"民间"的路有多远?--对陈思和民间话语的理解

通过对学术界普遍关注的陈思和关于中国现当代文学史"民间"概念的理解,勾勒了"民间"在20世纪中国文学发展的轨迹,重新审视了它在中国当代文学史上的意义;同时提出日益民间化是中国当代文学后新时期文学的发展趋势,并指出民间意义的文学生命力价值.     

浅议英语使用中的非语法错误

中国人在使用英语时,常常会出现所谓的“中国式英语“错误.这些和英语语法无关的错误却和文字涵义、文化背景、语言习惯、思维方式等的不同有很大关系.因此,学习和运用英语也必须了解与英语有密切关系的方方面面的文化知识.     

布斯“隐含作者”的概念溯源

在文体学界,＂隐含作者＂这一概念享有广泛的影响。学者们一般认为,这一概念是布斯在《小说修辞学》中首先提出的。但任何概念都不是凭空产生的,它必然有其历史渊源。关于这一概念的溯源问题,前人（如曹禧修等）有所涉及,可惜尚不深入。从布斯所给的＂隐含作者＂定义出发,从中西文论史的角度对这一概念进行了溯源,明确了这一概念在文体学史中的地位。     

隐含波动率的计算和其在可转债定价中的应用

在期货,期权以及其它的衍生证券定价理论方面,Black-Scholes理论是一个主流.本文详细介绍了Blak-Scholes框架下的欧式期权定价理论及其在可转债定价中的应用;并以国内运转较好的燕京转债为例,重点作了对常数利率可转债模型在国内可转债市场的实证分析,并比较了用统计方法估计股票波动率和用隐含波动率时模型的预测效果.结果表明,用隐含波动率来改进常数利率转债定价模型后的预测效果有了很大的提高.     

一种特殊类型指数和的新估计

给出了形如Ｓ（Ｈ，Ｍ，Ｎ）一类指数和的新估计．     

Forecasting volatility

In this paper, we investigate the time series properties of S&P 100 volatility and the forecasting performance of different volatility models. We consider several nonparametric and parametric volatility measures, such as implied, realized and model‐based volatility, and show that these volatility processes exhibit an extremely slow mean‐reverting behavior and possible long memory. For this reason, we explicitly model the near‐unit root behavior of volatility and construct median unbiased forecasts by approximating the finite‐sample forecast distribution using bootstrap methods. Furthermore, we produce prediction intervals for the next‐period implied volatility that provide important information about the uncertainty surrounding the point forecasts. Finally, we apply intercept corrections to forecasts from misspecified models which dramatically improve the accuracy of the volatility forecasts. Copyright © 2006 John Wiley & Sons, Ltd.     

基于仿真利率路径和Spread-Prepaymet曲线的MBS定价方法

房产抵押贷款证券的定价与市场利率的路径密切相关.以市场现行利率期限结构为基准,用蒙特卡罗方法生成利率路径,为房产抵押贷款证券定价.为克服传统的Vasicek、CIR等利率模型的弱点,引进利率水平因素的均值回归项和斜率因素的均值回归项,以产生平稳的利率路径.模型中的波动率由互换市场的报价计算得出,以反映市场的对未来的预期.根据利差与提前还本速度间的函数关系,由历史数据统计得到"利差-提前支付速度曲线",作为提前还本模型.最后对比了各种模型生成的利率路径,以及参数选取对MBS价格的影响.     

Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation

This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different information supplied by the market's expectation of risk. Forecast‐combining methods, with weights estimated using quantile regression, are considered. We also investigate plugging implied volatility into the CAViaR models—a procedure that has not been considered in the VaR area so far. Results for daily index returns indicate that the newly proposed methods are comparable or superior to individual methods, such as the standard CAViaR models and quantiles constructed from implied volatility and the empirical distribution of standardised residuals. We find that the implied volatility has more explanatory power as the focus moves further out into the left tail of the conditional distribution of S&P 500 daily returns. Copyright © 2012 John Wiley & Sons, Ltd.     

文学阅读类型假说

以读者探寻创作意图为宗旨,把文学阅读分为五类:AB重合型、A小于B型、A大于B型、AB背离型、AB交叉型(A为读者阅读到的意蕴,B为创作意图),并分别加以论述.     

隐含波动率曲面的预测研究:来自中国台湾市场的证据

本文采用"两步法"构建了期权隐含波动率曲面的动态模型,并利用该动态模型检验了台指期权隐含波动率曲面的可预测性.结果显示,台指期权隐含波动率曲面无论在统计意义上还是经济意义上都具有可预测性,当在预测过程中加入看涨(看跌)期权市场净购买压力信息后,台指看涨(看跌)期权隐含波动率曲面的样本外预测效果得到了显著提高,在不考虑交易成本以及合适的交易成本的情形下,依据模型预测结果构建的交易策略能获得正的超额收益.