LEVY-LIBOR市场模型的蒙特卡罗模拟参数校准与估计

基于远期LIBOR利率的随机波动与无限跳跃特征，针对标准化LIBOR市场模型（LMM）和随机波动率LIBOR市场模型（SV-LMM）应用局限，进一步引入Levy无限跳跃过程，建立多因子非标准化Levy 跳跃随机波动率LIBOR市场模型（SVLEVY-LMM）。在此基础上，基于非参数化相关矩阵假设，运用互换期权（Swaption）、利率上限（Cap）等主要市场校准工具和蒙特卡罗模拟技术，对模型局部波动率和瞬间相关系数等参数进行有效市场校准；应用自适应马尔科夫链蒙特卡罗模拟方法（A-MCMC）对Levy跳跃与随机波动参数进行有效理论估计。实证认为，对远期利率波动率校准，分段固定波动率结构较为符合市场实际情况；对远期利率相关系数矩阵校准，非参数化相关系数矩阵具有最小估计误差和最佳的市场适应性；SVLEVY-LMM能够最好拟合远期LIBOR利率。     

苏联解体前后十五年的俄罗斯文学

苏联解体前七年文学界动荡不安 ,形成了自由派与传统派两大派别 ,并在一系列重要问题上尖锐对立。“回归作品”浪潮的涌现 ,大有淹没新作品之势 ,使苏联时期的文学史面貌大为改观。解体后 ,自由派与传统派依然是两股主要文学势力 ;受西方影响 ,后现代主义文学也在俄罗斯兴起 ,与现实主义两分天下。在艺术手法的运用上 ,无论哪一派都已不是单一的 ,而形成交融、渗透、对话的局面。派别的对立趋于缓和 ,面对着现实 ,人们开始冷静地思考     

A practical model for last train rescheduling with train delay in urban railway transit networks

Last train timetable rescheduling aims at coordinating the arrival and departure times of feeder trains with connecting trains at transfer stations to eliminate the effect of unexpected incidents in train operations. It has become a challenging problem in the operations and management of urban railway transit networks because of high complexities in coordination among lines. In this paper, we propose a rescheduling model for last trains with the consideration of train delays caused by incidents that occurred in train operations. In the model, two aspects are considered. On one hand, we try to minimize the running time and the dwell time, and to maximize the average transfer redundant time and the network accessibility. On the other hand, we expect to minimize the difference between the original timetable and the rescheduled one. A genetic algorithm is developed to solve this problem. The case study of Beijing railway transit network shows that once a delay occurs in a section, the most effective way to adjust the timetable consists of adjusting the running time of trains that have strong transfer relationships with the delay section. If the delay is not substantially long, the suggested model would neutralize the influence of the delay.     

A distance-based diagnostic for trans-dimensional Markov chains

Over the last decade the use of trans-dimensional sampling algorithms has become endemic in the statistical literature. In spite of their application however, there are few reliable methods to assess whether the underlying Markov chains have reached their stationary distribution. In this article we present a distance-based method for the comparison of trans-dimensional Markov chain sample output for a broad class of models. This diagnostic will simultaneously assess deviations between and within chains. Illustration of the analysis of Markov chain sample-paths is presented in simulated examples and in two common modelling situations: a finite mixture analysis and a change-point problem.     

五年计划视野下的新中国经济发展布局与调整——以我国改革开放前为时限

新中国建国以来我国历次社会发展规划都把经济发展的布局和调整作为其重要内容。改革开放前的几个五年计划与其后的几次五年计划在我国经济发展的布局和调整方面有着很大的不同。笔者从以下方面阐述了改革开放前的历次五年计划对我国经济发展布局的影响和独特的内在关联。改革开放前的几个五年计划,一是越来越侧重从国防考虑进行经济发展的布局,突出备战;二是以平衡沿海和内地关系为主要内容,其实践确实缩小了我国沿海与内地的差距,改善了我国经济发展布局过分畸形的局面,但沿海地区为此付出了代价;三是在计划经济体制下比较顺利地实现了经济发展布局的调整,但由于计划经济体制自身的弊端,区域发展的布局最终走向"小而全"、"大而全"的封闭式自给区域发展模式。     

Model determination for categorical data with factor level merging

Summary.  We deal with contingency table data that are used to examine the relationships between a set of categorical variables or factors. We assume that such relationships can be adequately described by the cond`itional independence structure that is imposed by an undirected graphical model. If the contingency table is large, a desirable simplified interpretation can be achieved by combining some categories, or levels, of the factors. We introduce conditions under which such an operation does not alter the Markov properties of the graph. Implementation of these conditions leads to Bayesian model uncertainty procedures based on reversible jump Markov chain Monte Carlo methods. The methodology is illustrated on a 2×3×4 and up to a 4×5×5×2×2 contingency table.     

李煜、李清照词的艺术特色探微

李煜、李清照是我国古代婉约派词人中的大家。李煜词的一个显著特点就是“真”,他的词一任真情的流露,较少有理性的节制:他前期主要写宫廷享乐生活的感悟;后期主要写亡国之痛,血泪之情。李清照是宋王朝南渡前后最杰出的女词人。她的前期主要写略带苦涩和忧虑的望夫词和对大自然、禽鸟花草的热爱的抒情词;后期主要写的是亡国亡夫的血泪词,这既是词人情感历程的写照,又是时代苦难的象征。     

Flexible Threshold Models for Modelling Interest Rate Volatility

This paper focuses on interest rate models with regime switching and extends previous nonlinear threshold models by relaxing the assumption of a fixed number of regimes. Instead we suggest automatic model determination through Bayesian inference via the reversible jump Markov Chain Monte Carlo (MCMC) algorithm. Moreover, we allow the thresholds in the volatility to be driven not only by the interest rate but also by other economic factors. We illustrate our methodology by applying it to interest rates and other economic factors of the American economy.     

对传统时空叙述方式的革命性突破——试析《去年在马里安巴》的时空经验

与传统时空经验的叙述方式相比,法国左岸派代表作《去年在马里安巴》的最大突破在于:"去年"正是不断涌动着的"当下"本身,在对"去年"的不断召唤中,"马里安巴"以及"情爱"活生生当场释放出来,而一个作者与读者直接"共在"的自由空间也同时开放了出来。     

先秦儒家政治文化中的权力制约思想

先秦儒家从“德治”理论出发,从伦理的角度来解决权力制约问题,主张通过构建权力执掌者的道德价值体系、强化当权者的道德自律意识等方式实现对权力的有效制约。这一理论立足于传统中国的现实,具有重要价值。但同时,道德理想主义又使儒家的权力制约手段和方式重于自律,忽视他律,重于防范,疏于制裁;制约对象和内容重于叛臣,疏于贪吏,重于品行,疏于官吏的能力和实际作为,存在很大的局限性。先秦儒家权力制约思想对中国古代权力制约机制的建设产生了直接的影响。