基于转换点生存概率的或有可转债定价研究

或有可转债是重要的自救债务工具。实证结果表明,在上交所交易的银行股票收益率序列普遍存在较弱的长程自相关性。假设标的银行的股票价格动态方程由分数布朗运动驱动,其中分数布朗运动的Hurst指数H满足1/2 < H < 1,用于刻画股价的长记忆性、分形性。再应用基于偏好的均衡定价方法与分数布朗运动的条件分布对或有可转债定价。基于障碍期权与远期合约的定价公式,推导得或有可转债的显式定价公式。结果表明,虽然标的股票收益率序列的长程自相关性较弱,但由于或有可转债期限较长,其对或有可转债股权关联部分的价值有着显著的影响。标的股票收益率序列的长程自相关性对障碍期权的影响不可忽略。

     

佛教禅宗对王维山水诗的影响浅谈

王维常乐于禅,禅宗哲学的人生观、宇宙观和方法论内化成为王维的审美追求,外化则成就了他的诗歌创作,他深得禅家“不二法门”、“色空相即”三昧,故而其诗意象空灵、境界清幽,明秀的诗境中既有宁静的画面又有灵动的情韵,能于空静中传出动荡,平淡中透出幽深。受南宗禅“不立文字”的影响,王维做诗追求言外之旨以期达到对文字的超越,这使得其诗超旷空灵,如水中月、镜中花,羚羊挂角,无迹可寻,所谓“超以象外”、“得其环中”。     

A New Look at Half-normal Plots for Assessing the Significance of Contrasts for Unreplicated Factorials

The visual inspection of a half-normal plot is a popular procedure for interpreting data from unreplicated factorial experiments. As this technique is somewhat subjective, the plot should preferably be supplemented with a more formal procedure. However, despite the improvements proposed by Zahn, the formal method using the half-normal plot suggested by Daniel seems to be rarely used. We investigate this procedure by using simulations and real data and suggest a modification to improve its acceptability. We also present corrected critical values for a procedure proposed by Lenth which was found to be miscalibrated.     

AMTI雷达平台运动补偿

AMTI 雷达中,由于平台运动,地面固定杂波平均多普勒频率平移及杂波谱展宽,造成两相邻脉冲回波间产生一相位超前。本文对这种平台运动效应进行了分析,提出了一种采用自适应方法产生校正信号,对回波平台运动效应进行了补偿。这种补偿不局限于每次两个脉冲之间,而可适用于多个脉冲,从而为 MTI 处理提供了方便。还获得了有、无补偿的一次对消处理结果。     

王夫之与费尔巴哈自然观的比较研究

王夫之和费尔巴哈是中西哲学发展史上重要的唯物主义哲学家。在自然观上,他们有相似的正确认识,都认为世界统一于物质,事物是不断地运动变化的,其运动变化是有规律的。王夫之的自然观具有丰富的辩证法思想,而费尔巴哈的自然观缺乏辩证法。     

现代维吾尔语位移类二价动词的配价研究

维吾尔语位移类二价动词都表示某个位移主体的位移．刻画了一个位移方向，因而位移类二价动词构成的事件结构中动词必定会涉及两个参与者。但由于动词在其“常量”上仍然存在细微的差别，因而位移类二价动词所支配的两个参与者在语言层面表现为不同的论元角色。     

上证指数Hurst指数的测定及应用

Hurst指数是一个在混沌和分形数学中判断时间序列混沌性和成群性的统计参数。根据实际测定的上证指数逐日收益率的Hurst指数,表明证券市场具有分形市场假说(FMH)的特征。Hurst指数在证券投资中有一定的参考价值,对长期的投资决策可以发生影响。     

Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes

Abstract.  We study the autocorrelation structure of aggregates from a continuous-time process. The underlying continuous-time process or some of its higher derivative is assumed to be a stationary continuous-time auto-regressive fractionally integrated moving-average (CARFIMA) process with Hurst parameter H . We derive closed-form expressions for the limiting autocorrelation function and the normalized spectral density of the aggregates, as the extent of aggregation increases to infinity. The limiting model of the aggregates, after appropriate number of differencing, is shown to be some functional of the standard fractional Brownian motion with the same Hurst parameter of the continuous-time process from which the aggregates are measured. These results are then used to assess the loss of forecasting efficiency due to aggregation.     

Some joint distributions for conditional random walks

Joint distributions concerning maxima, minima, and their indices are determined for certain conditional random walks called Bernoulli excursion and Bernoulli meander. The distribution of the local time of these processes is treated by generating function technique. Limiting distributions are also given, providing some partial results for Brownian excursion and meander.     

Confidence bands from censored samples

Several types of asymptotic confidence bands have been proposed in the literature when the data are randomly censored on the right. Introducing new classes of bands, we place the old bands and their relationship to one another within a comprehensive theory of bands. A thorough analysis yields narrower bands and two kinds of modifications which are asymptotically distribution- and censor-free. One of these is useful when the interval on which the bands are constructed is predetermined and the width of the bands is random; the other, when there is a predetermined bound on the width and the interval is random. We illustrate our bands on the Szeged pacemaker data. These methods also provide a general modification of the Kolmogorov band in the uncensored case.