Affine LIBOR models driven by real-valued affine processes

The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative, and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction that makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models, pronounced volatility smiles are possible.     

笑与泪

无论是喜剧还是悲剧,其审美价值的最终实现都体现于接受者的情绪上.因而,从审美情绪入手,探寻接受者情绪表现差异的缘起和生发,我们将会对喜剧和悲剧审美本质的差异有更新的认识和感悟.     

霍布斯的经验论心理美学思想

霍布斯继承和发展了培根的唯物主义经验论,并紧密结合心理学的传统和成果,对英国经验论心理美学的形成起了开拓作用。他分析了想象和判断两种认识能力的区别和联系,强调诗的创作更重于想象力,并且需借助判断力。同时他从人的两种最基本情欲出发,指出美丑与善恶的联系和区别,并对与审美相关的愉快、笑、怜悯等情感作了独特分析,对后来从情感、情欲出发探讨美学问题产生了深远影响。     

Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options

The aim of our paper is to elaborate a theoretical methodology based on the Malliavin calculus to calculate the following conditional expectation (P_t(X_t)|(X_s)) for s≤t where the only state variable follows a J-process [Jerbi Y. A new closed-form solution as an extension of the Black—Scholes formula allowing smile curve plotting. Quant Finance. 2013; Online First Article. doi:10.1080/14697688.2012.762458]. The theoretical results are applied to the American option pricing, consisting of an extension of the work of Bally et al. [Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Monte Carlo Methods Appl. 2005;11-2:97–133], as well as the J-process (with additional parameters λ and θ) is an extension of the Wiener process. The introduction of the aforesaid parameters induces skewness and kurtosis effects, i.e. smile curve allowing to fit with the reality of financial market. In his work Jerbi [Jerbi Y. A new closed-form solution as an extension of the Black–-Scholes formula allowing smile curve plotting. Quant Finance. 2013; Online First Article. doi:10.1080/14697688.2012.762458] showed that the use of the J-process is equivalent to the use of a stochastic volatility model based on the Wiener process as in Heston's. The present work consists on extending this result to the American options. We studied the influence of the parameters λ and θ on the American option price and we find empirical results fitting with the options theory.     

孤独症谱系障碍儿童呼名反应和应答性微笑的影响因素研究

呼名反应（Response to name）需要被呼叫的儿童识别并将注意转移到自己的名字这一具有社会意义的刺激上。前人研 究对于孤独症儿童是否存在呼名反应缺陷尚不完全清楚。笔者在本研究中主要采用家庭录像法考察孤独症儿童的呼名反应, 同时考察儿童在呼名反应之后的应答性微笑,共收集46名孤独症儿童的视频资料。结果表明,59.1%的孤独症儿童表现出呼 名反应,但是仅有28.3%的儿童在被呼名后出现应答性微笑。影响呼名反应和应答性微笑的情境因素包括主要活动、交往对 象和互动媒介等。总之,孤独症儿童应答性微笑非常困难。该指标更具有敏感性,可作为孤独症早期的筛查指标之一。     

论柬埔寨吴哥窟艺术及其宗教文化特征

柬埔寨文化是由印度文化、中国文化以及其自身的本土文化通过碰撞和融汇而逐渐形成的,印度教、佛教以及神王合一的崇拜作为一条主线贯穿其发展。在此基础上,柬埔寨人创造出了辉煌灿烂、极具特色的吴哥窟雕塑与建筑艺术,其建筑与雕塑得到合理的运用和完美的结合。古代柬埔寨宗教文化的总体特征是印度教、佛教和神王崇拜相融并存,但总体宗教色彩较淡,富有浓郁的生活气息。     

Empirical Performance and Asset Pricing in Hidden Markov Models

Abstract

To improve the empirical performance of the Black-Scholes model, many alternative models have been proposed to address leptokurtic feature, volatility smile, and volatility clustering effects of the asset return distributions. However, analytical tractability remains a problem for most alternative models. In this article, we study a class of hidden Markov models including Markov switching models and stochastic volatility models, that can incorporate leptokurtic feature, volatility clustering effects, as well as provide analytical solutions to option pricing. We show that these models can generate long memory phenomena when the transition probabilities depend on the time scale. We also provide an explicit analytic formula for the arbitrage-free price of the European options under these models. The issues of statistical estimation and errors in option pricing are also discussed in the Markov switching models.     

从交际中的“微笑”看俄汉民族文化差异

微笑是人类独特和微妙的一种面部表情,是人类的体态语言.面部表情和语言一样烙有民族文化的印记.不同民族、不同文化的人在交际中“微笑” 的规则也不相同.本文从交际的角度探讨了“微笑”在俄汉民族文化中的差异.     

身势语的性别差异

人际间的交流分为言语交际和非言语交际,研究身势语是研究非言语交际活动的一个重要方面。身势语存在着性差原则,正确理解性别差异,才能很好地进行人际交往。文章关注的是不同性别之间的身势语的差异,从身体姿势、空间语、面部表情、微笑、眼部表情和触摸六方面来陈述,并分析其原因。     

Gamma时变过程与Black-Scholes期权定价的定价偏差纠正

本文针对Black Scholes期权定价的定价偏差,介绍了一种对该模型的改进模型,它是通过将gamma过程作为时变过程嵌入BlackScholes期权定价模型中的布朗运动来实现的。