A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

天然自然与人工自然的张力--信息论视域中的SARS事件形而上学探源

自然界在人类出现以前以天然自然的状态存在着，遵循自己固有的演化规律。人类创造的人工自然中所蕴含的人工信息具有直接和间接效应，其中间接效应尤其具有不可预测、难以控制、不可逆、强度大等特点。随着科学技术的发展，人工信息及其给生态系统和人类社会带来的效应都飞速增加。人类社会对人工信息的正面效应和负面效应的承受力是不对称的，大量增加的负面效应(例如非典病毒)如果超过临界值，可以将人类社会摧毁。因此它预示眷一个新时代的来临。     

基于神经网络智能天线的一种波达方向估计方法

该文提出利用径向基函数神经网络来估计无线通信中智能天线的信号到达方向．为了减少输入，利用信号相关阵的对称性质，仅考虑相关阵中的上三角或下三角的部分元素作为网络的输入量，计算量较小．计算机模拟结果表明，该方案是有效的．     

SDH技术在有线电视网络传输中的应用

文章介绍了SDH技术的传输原理、网络特点、基本构成及其在有线电视网络传输中的应用。     

焊接过程的RBF神经网络建模

介绍了RBF神经网络的性能和算法结构 ,建立了RBF神经网络在船舶焊接过程中用于焊接变形预测分析的模型 ,并探讨了其应用和发展趋势     

FortiGate防火墙在图书馆网络安全中的应用

论述了图书馆使用防火墙的必要性，介绍了防火墙的发展过程，指出了传统防火墙的局限性，描述了FortiGate防火墙的性能及其工作模式。     

校园网络用户资料WEB管理系统初探

介绍了校园网络用户资料如何用WEB页面来进行管理。通过ASP ACCESS数据库的方式实现对用户资料的添加、查询、修改等功能。     

浅谈网络环境下印刷型文献的主体地位

章分析了印刷献在规模数量、学术价值、检索利用等方面的优势，阐述了印刷型献在网络环境下图书馆馆藏中的主体地位。     

Science Letters： A synthetic Toll-like receptor 2 ligand decreases allergic immune responses in a mouse rhinitis model sensitized to mite allergen

It has been proposed that activation of Toll-like receptors （TLRs） plays crucial roles in the polarization of adaptive immune responses. A synthetic Toll-like receptor 2 （TLR2） ligand, Pam3CSK4, has been reported to modulate the balance of Th1/Th2 responses. We evaluated the modulation effect of Pam3CSK4 on allergic immune response in a mouse rhinitis model sensitized to house dust mite allergen （HDM）. Mice were sensitized and challenged with Dermatophagoidesfarinae allergen （Der f）, and then the allergic mice were treated by Pam3CSK4. Nasal allergic symptoms and eosinophils were scored. Der f-specific cytokine responses were examined in the splenocytes and bronchoalveolar lavage fluid （BALF）. Serum level of total IgE was also detected. After establishing a mouse allergic rhinitis model with HDM, we have showed that Pam3CSK4 treatment not only ameliorated the nasal allergic symptoms remarkably but also decreased the eosinophils and total inflammation cells in BALF significantly. Analysis of cytokine profile found that IFN-7 released from either BALF or stimulated splenocytes increased markedly in Pam3CSK4-treated mice, while IL-13 decreased significantly. Moreover, serum level of total IgE was significantly lower in Pam3CSK4-treated mice than in the untreated. Thus, in an allergic rhinitis mouse model developed with HDM, Pam3CSK4 was shown to exhibit an antiallergic effect, indicating its potential application in allergic diseases.     

云南数字台网谱震级的测定和地震辐射能的计算

运用Duda等提出的谱震级测定公式,结合云南区域数字台网宽频带记录资料测定了发生在网内的中强震(4.0相似文献