Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such a...Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.展开更多
Many Spoken Term Detection (STD) systems use query expansion to return an increased number of keyword candidates and make posterior probability a confidence feature to reject false alarms. However, some keyword candid...Many Spoken Term Detection (STD) systems use query expansion to return an increased number of keyword candidates and make posterior probability a confidence feature to reject false alarms. However, some keyword candidates hold high posterior probability although these are not recognized correctly. We investigate the Word Activation Force (WAF) model that compatibly encodes syntactical and semantic information into sparse coding directed networks. A high-level confidence feature Keyword Activation Force (KAF) based on WAF is proposed. KAF can be used for detecting false alarms by considering information about the neighbors to provide a more reliable and accurate keyword affinity. Compared with the baseline system, a relative reduction of 30.94% in average error rate could be achieved when KAF is combined with the posterior probability and the language model score.展开更多
The multipole mixing ratios have been calculated by a2-ratio method, from levels of 93Mo（p, nγ） reaction. The branching ratios of such γ-transitions are used to calculate the total gamma widths. Besides, the trans...The multipole mixing ratios have been calculated by a2-ratio method, from levels of 93Mo（p, nγ） reaction. The branching ratios of such γ-transitions are used to calculate the total gamma widths. Besides, the transition strengths and probabilities have been calculated for γ-transitions from excited states whose life times have been reported previously. The results are found to be in general in good agreement with the previous results populated from the previous work.展开更多
The objective of this paper is to measure the risk charge for credit risk as one of the components in the risk based capital of the capital adequacy framework. Currently, the risk charge for credit risk is measured by...The objective of this paper is to measure the risk charge for credit risk as one of the components in the risk based capital of the capital adequacy framework. Currently, the risk charge for credit risk is measured by referring it to the credit rating of a company. Following the subprime crisis in 2007, the markets start to question the soundness of the credit rating issued as it has resulted in an inadequate risk charge. Therefore, this study attempts to determine the risk charge for credit risk using the probability of default （PD） for life insurers in Malaysia. The credit risk has been categorized into several types of debt obligations. Whereby, the KMV-Merton model has been used to measure the distance to default and estimate the probability of default. The estimation of default probability is based on the movement in the price index of several debt obligations. The price index of debt obligations from year 2004 to 2009 is collected inclusive of the subprime crisis period during the crisis period. Therefore, Malaysia insurance industry is The results found that the risk charges are lower not affected by the subprime crisis in 2007.展开更多
This paper we study a consistent criterion for checking Hypotheses. Given definition of consistent criterion for checking hypotheses for family probability measures which were defined by Z. Zerakidze （see 5）. We pro...This paper we study a consistent criterion for checking Hypotheses. Given definition of consistent criterion for checking hypotheses for family probability measures which were defined by Z. Zerakidze （see 5）. We prove the necessary and sufficient conditions are obtained for the existence of consistent criteria of hypotheses. For example we clearly build of a consistent criteria for checking hypotheses.展开更多
The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of fi...The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.展开更多
基金Project (No. Y604137) supported by the Natural Science Foundationof Zhejiang Province, China
文摘Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.
基金supported by National Natural Science Foundation of China under Grants No.61005004,No.61175011,No.61171193 the Next-Generation Broadband Wireless Mobile Communications Network Technology Key Project under Grant No.2011ZX03002-005-01+1 种基金 the 111 Project under Grant No.B08004 Scientific Research Foundation for the Returned Overseas Chinese Scholars,State Education Ministry
文摘Many Spoken Term Detection (STD) systems use query expansion to return an increased number of keyword candidates and make posterior probability a confidence feature to reject false alarms. However, some keyword candidates hold high posterior probability although these are not recognized correctly. We investigate the Word Activation Force (WAF) model that compatibly encodes syntactical and semantic information into sparse coding directed networks. A high-level confidence feature Keyword Activation Force (KAF) based on WAF is proposed. KAF can be used for detecting false alarms by considering information about the neighbors to provide a more reliable and accurate keyword affinity. Compared with the baseline system, a relative reduction of 30.94% in average error rate could be achieved when KAF is combined with the posterior probability and the language model score.
文摘The multipole mixing ratios have been calculated by a2-ratio method, from levels of 93Mo（p, nγ） reaction. The branching ratios of such γ-transitions are used to calculate the total gamma widths. Besides, the transition strengths and probabilities have been calculated for γ-transitions from excited states whose life times have been reported previously. The results are found to be in general in good agreement with the previous results populated from the previous work.
文摘The objective of this paper is to measure the risk charge for credit risk as one of the components in the risk based capital of the capital adequacy framework. Currently, the risk charge for credit risk is measured by referring it to the credit rating of a company. Following the subprime crisis in 2007, the markets start to question the soundness of the credit rating issued as it has resulted in an inadequate risk charge. Therefore, this study attempts to determine the risk charge for credit risk using the probability of default （PD） for life insurers in Malaysia. The credit risk has been categorized into several types of debt obligations. Whereby, the KMV-Merton model has been used to measure the distance to default and estimate the probability of default. The estimation of default probability is based on the movement in the price index of several debt obligations. The price index of debt obligations from year 2004 to 2009 is collected inclusive of the subprime crisis period during the crisis period. Therefore, Malaysia insurance industry is The results found that the risk charges are lower not affected by the subprime crisis in 2007.
文摘This paper we study a consistent criterion for checking Hypotheses. Given definition of consistent criterion for checking hypotheses for family probability measures which were defined by Z. Zerakidze （see 5）. We prove the necessary and sufficient conditions are obtained for the existence of consistent criteria of hypotheses. For example we clearly build of a consistent criteria for checking hypotheses.
基金supported by the National key scientific instrument and Equipment Development Program of China under Grant No.2012YQ220119Anhui Provincial Natural Science Foundation under Grant No.1308085 MF93+1 种基金the Fundamental Research Foundation for the Central Universities under Grant No.2013HGXJ0223National Natural Science Foundations of China under Grant No.11201108
文摘The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.
