两因素HJM模型下债券、期货、期权的定价

在HJM模型下考虑远期利率由2个独立布朗运动驱动的零息票债券的期限结构,给出零息票债券和债券期货的定价公式,以及债券期货期权的定价公式。     

一种汇率模型的波动分析

讨论一种受到一般随机干扰的汇率模型,介绍随机循环的含义及定理,使用随机李雅普诺夫函数得到了在一定的条件下受到各种随机干扰的实际汇率的波动范围。     

Combining exchange rate forecasts: What is the optimal consensus measure?

In this paper a high-quality disaggregate database is utilized to examine whether individual forecasters produce efficient exchange rate predictions and also if the properties of the forecasts change when they are combined. The paper links a number of themes in the exchange rate literature and examines various methods of forecast combination. It is demonstrated, inter alia, that some forecasters are better than others, but that most are not as good as a naive no-change prediction. Combining forecasts adds to the accuracy of the predictions, but the gains mainly reflect the removal of systematic and unstable bias.     

Composite model building for foreign exchange rates

It has been shown in recent economic and statistical studies that composite forecasts may produce more accurate forecasts than individual ones. The purpose of this study is to develop composite forecasting models that may produce forecasts superior to the individual forecast implicit in forward exchange rates. In an efficient market one would expect to find little improvement with the composite models relative to the forward exchange rate.     

Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non‐linear models

This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non‐linear framework. We reject linearity for the US and UK swap spreads in favour of a regime‐switching smooth transition vector autoregressive (STVAR) model, where the switching between regimes is controlled by the slope of the US term structure of interest rates. We compare the ability of the STVAR model to predict swap spreads with that of a non‐linear nearest‐neighbours model as well as that of linear AR and VAR models. We find some evidence that the non‐linear models predict better than the linear ones. At short horizons, the nearest‐neighbours (NN) model predicts better than the STVAR model US swap spreads in periods of increasing risk conditions and UK swap spreads in periods of decreasing risk conditions. At long horizons, the STVAR model increases its forecasting ability over the linear models, whereas the NN model does not outperform the rest of the models. Copyright © 2007 John Wiley & Sons, Ltd.     

基于人工神经网络的矿井涌水量预测

应用人工神经网络理论,提出了矿井涌水量预测的新方法,并将其与自回归时序模型进行了比较验证。结果表明,运用神经网络方法进行矿井涌水量预测,精度高,自适应性强,在数据不十分充足的情况下,效果尤其好于自回归模型。     

2D大U Hubbard模型核自旋驰豫研究

本文从Spinon与2D格点上Cu~( )离子的自旋耦合作用出发,讨论CuO_2平面的2DHubbard模形的自旋格点驰豫率1/T_1。理论计算的结果与氧化物高温超导材料的1/T_1实验结果比较,说明可以用S波超流理论解释实验现象。     

收益法中资本化率的确定

在房地产估价方法中,收益法是一种重要的方法,运用收益法的关键在于净收益和资本化率的确定。分析了收益法中求取资本化率常用的4种方法,提出了财务内部收益率在资本化率确定中的应用。     

随机删失半参数回归模型参数估计的渐近性质

考虑半参数回归模型Yi=Xiβ+g(Ti)+ei,i=1,2…,n,β∈Rd为未知回归参数,g(·)为[0,1]上的未知Borel函数.利用偏残差法并综合最小二乘法,定义了右删失数据情形下参数β、g(T)的核估计^β 、^g (T),在一定条件下,证明了^β 的渐近正态性,同时得到了^g (T)的最优收敛速度.     

匀强电场中第Ⅰ主族元素基态原子的边界轮廓

应用原子特征边界轮廓模型,研究了第Ⅰ主族H、Li、Na、K、Rb基态原子分别在106、107、108V/m强电场中的边界轮廓.计算结果表明,在电场中原子的边界轮廓呈现近椭球形,且沿电场方向边界轮廓收缩的程度小于电场反方向拉伸的程度.电场强度越强,原子边界轮廓改变越大.相同强度电场下,第Ⅰ主族元素原子从上至下,边界轮廓变化逐渐增大.计算中得到的单位强度原子平均径向变化率与实验已测得的原子极化率结果呈现很好的线性相关性.