Simulation Methods of Stochastic Volatility Interest Rate Term Structure

A term structure model bearing features of stochastic volatility and stochastic mean drift with jump （SVJ-SD model for short） is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood （ML）,linear Kalman filter and efficient method of moments （EMM） are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.

Modelling the Term Structure of Hong Kong Inter-Bank Offered Rates （HIBOR）

Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristics of short- and long-term interest rates, such as capability of mean reversion and interest rate level fluctuation. For the period from 2005 to early 2007, the economy of Hong Kong had been relatively stable with pretty low volatilities in interest rate. However, starting from 2008 to beginning of 2012, the Hong Kong and the world economies had been steering from relatively stable to fluctuations, the 2008 financial tsunami initiated by the U,S. had been causing financial instability globally. With the U.S： government taking quantitative easing monetary policy, U.S. interest rates fluctuated and submerged rapidly. Volatility of HIBOR was extremely sensitive to fluctuation of U.S. interest rates, since Hong Kong dollar exchange rate has been pegged with U.S. dollar. In short, during the period of early 2008 to early 2012, volatility of short-term interest rate was extremely sensitive. Obviously, the term structure of interest rate for these two periods had made major shift, combining the two periods would lead to unfavorable econometric results.

Empirical Estimation of Term Structure of Interbank Rates in China

Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.

Hot Spot in Materials with Structural Defects under High Shear Loading Rates

The response of three-dimensional sample of Al, containing vacancy complex, under shear loading was simulated. The molecular dynamics method was used and interaction between atoms was described on the base of pseudopotential theory Solitary waves were generated in the sample under mechanical loading. Their interaction with the vacancy complexes was shown to be able to initiate hot spot in that local region of the complexes. Some parameters of the hot spot as well as solitary waves were calculated. The initiation of the hot spot is accompanied with sufficient local structural relaxation.

A Semi-automatic Method Based on Statistic for Mandarin Semantic Structures Extraction in Specific Domains

This paper proposed a new method of semi-automatic extraction for semantic structures from unlabelled corpora in specific domains. The approach is statistical in nature. The extracted structures can be used for shallow parsing and semantic labeling. By iteratively extracting new words and clustering words, we get an inital semantic lexicon that groups words of the same semantic meaning together as a class. After that, a bootstrapping algorithm is adopted to extract semantic structures. Then the semantic structures are used to extract new

GENERALIZED STOCHASTIC DURATION INMARKOVIAN HEATH-JARROW-MORTONFRAMEWORK

This paper focuses on how to measure the interest rate risk. The conventional measure methods of interest rate risk are reviewed and the duration concept is generalized to stochastic duration in the Markovian HJM framework. The generalized stochastic duration of the coupon bond is defined as the time to maturity of a zero coupon bond having the same instantaneous variance as the coupon bond. According to this definition., the authors first present the framework of Markovian HJM model, then deduce the measures of stochastic duration in some special cases which cover some extant interest term structure.

Estimation for Jump-diffusion Term Structure of Interest Rate for China Government Bond Market

This paper examines the term structure of interest rate empirically, and discovers that jump-diffusion process is better than pure diffusion process when describing the stochastic behavior of interest rate, which including jump risk. Using two-stage method to estimate the term structure of China government bond market. Fitting the initial term structure with B-spline approximation method, and then as input to jump-diffusion model parameter estimation. The result accounts for that term structure with jump can explain the actual conditions of China government bond market.

Physical and chemical changes of rapeseed meal proteins during toasting and their effects on in vitro digestibility

Background： Toasting during the production of rapeseed meal（RSM） decreases ileal crude protein（CP） and amino acid（AA） digestibility. The mechanisms that determine the decrease in digestibility have not been fully elucidated. A high protein quality, low-denatured, RSM was produced and toasted up to 120 min, with samples taken every 20 min. The aim of this study was to characterize secondary structure and chemical changes of proteins and glucosinolates occurring during toasting of RSM and the effects on its in vitro CP digestibility.Results： The decrease in protein solubility and the increase of intermolecular β-sheets with increasing toasting time were indications of protein aggregation. The contents of NDF and ADIN increased with increasing toasting time.Contents of arginine, lysine and O-methylisourea reactive lysine（OMIU-RL） linearly decreased with increasing toasting time, with a larger decrease of OMIU-RL than lysine. First-order reactions calculated from the measured parameters show that glucosinolates were degraded faster than lysine, OMIU-RL and arginine and that physical changes to proteins seem to occur before chemical changes during toasting. Despite the drastic physical and chemical changes noticed on the proteins, the coefficient of in vitro CP digestibility ranged from 0.776 to 0.750 and there were no effects on the extent of protein hydrolysis after 120 min. In contrast, the rate of protein hydrolysis linearly decreased with increasing toasting time, which was largely correlated to the decrease in protein solubility, lysine and OMIU-RL observed. Rate of protein hydrolysis was more than 2-fold higher for the untoasted RSM compared to the 120 min toasted material.Conclusions： Increasing the toasting time for the production of RSM causes physical and chemical changes to the proteins that decrease the rate of protein hydrolysis. The observed decrease in the rate of protein hydrolysis could impact protein digestion and utilization.

Controlled synthesis of hollow magnetic Fe3O4 nanospheres： Effect of the cooling rate

The controlled synthesis of hollow magnetite （Fe3O4） nanospheres of varying sizes and structures was successfully obtained via a facile solvothermal process and varying cooling processes. The Fe3O4 nanospheres were characterized by X-ray diffraction, transmission electron microscopy, scanning elec- tron microscopy, and superconducting quantum interference device magnetometry. The diameters of the as-synthesized nanospheres were controlled at around 500-700 nm by simply changing the cool- ing rate, which had an obvious influence on the morphology and magnetic properties of these Fe3O4 nanospheres. While a low cooling rate triggered the formation and extension of the cracks present in the Fe3O4 nanospheres, a sudden drop of temperature tended to favor multi-site nucleation of the crystals as well as the formation of compact and smooth hollow nanospheres with superior crystallinity and high saturation magnetization. The growth mechanism of hollow magnetite oxide nanospheres was proposed and the correlation between the structure and the magnetic properties of the hollow nanospheres was discussed, which promises the potential of the hollow nanospheres in various applications such as drug delivery and cell separation.

A Study on the Income Redistribution Effect of China’s 2018 Personal Income Tax Reform

Personal income tax is an important redistribution tool,its redistribution effect has been concerned by all walks of life.Using CHIP2018,this paper calculates and analyzes the income redistribution effect of the personal income tax reform plan in 2018,and fi nds that:The comprehensive taxation can raise the average tax rate,progressivity and redistribution effect of personal income tax;The rise of the standard of basic deduction,six special additional deductions,and the change of tax rate structure raise the progressiveness of personal income tax,but reduce the average tax rate and thus weaken the income redistribution effect of personal income tax;The comprehensive income tax will enhance the impact of basic deduction of expenses,six special additional deductions and the change of tax rate structure on the redistribution effect of individual income tax income;Under the joint action of the reform measures,the progressivity of individual income tax has risen as a whole,but the average tax rate of individual income tax and redistribution index have shown a sharp decline,both of which decreased by more than 50%.Using the household survey data of the year of reform,this paper comprehensively investigates the income redistribution effect of the personal income tax reform,which enriches the research on the redistribution effect of the new round of personal income tax reform.

Hierarchical porous carbon derived from animal bone as matric to encapsulated selenium for high performance Li-Se battery

Animal bone was employed as raw material to prepare hierarchical porous carbon by KOH activation. Rare metal selenium（Se） was encapsulated into hierarchical porous carbon successfully for the cathode material of Li–Se battery, achieving the transformation of waste into energy,protecting environment and reducing the spread of the disease. Animal bone porous carbon（ABPC） acquires a specific surface area of 1244.7903 m^2·g^-1 and a pore volume of 0.594184 cm^3·g^-1. The composite Se/ABPC with 51 wt%Se was tested as a novel cathode for Li–Se batteries. The results show that Se/ABPC exhibits high specific capacity,good cycling stability and current-rate performance; at 0.1C,the composite Se/ABPC delivers a high reversible capacity of 705 mAh·g^-1 in the second cycle and 591 mAh·g^-1 after 98 cycles. Even at the current density of 2.0C, it can still maintain at a reversible capacity of 485 mAh·g^-1. The excellent electrochemical properties benefit from the high electron conductivity and the carbon with unique hierarchical porous structure. ABPC can be a promising carbon matrix for Li–Se batteries.

Energy Absorption and Deformation Mechanism of Lotus-type Porous Coppers in Perpendicular Direction

As metallic foams used for energy absorption in the automotive and aerospace industries, recently invented lotus-type porous metals are viewed as potential energy absorbers. Yet, solid conclusion on their eligibility as energy absorbers is still in question, particularly when compression is in the direction perpendicular to the axial orientation of cylindrical pores. In this work, the energy absorption of lotus-type porous coppers in the perpendicular direction is investigated at strain rates from 0.001 s^（-1） to^2400 s^（-1）. The energy absorption capacity and the energy absorption efficiency are calculated to be4–16 k J/kg and 0.32–0.7, respectively, slightly inferior to metal foams and the same porous solid compressed in the parallel direction due to the shortened extent of the plateau stress region. The deformation mechanism is examined experimentally in conjunction with finite element modeling. Both suggest that gradual squeeze and collapse of pores are the mechanisms accommodating the energy absorption. The deformation is generally evenly distributed over pore ligaments and independent of strain rate.