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复杂衍生品定价的模型风险度量——以中信泰富杠杆式外汇合约为例 被引量:5
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作者 潘慧峰 边江泽 张艾颖 《中国软科学》 CSSCI 北大核心 2013年第8期144-153,共10页
随着场外衍生品的日益复杂化,定价的模型风险越来越受到重视。标的资产随机过程的设定是衍生品定价的关键环节,但随机过程选择与估计样本选择尚无公认的标准,这成为衍生品定价模型风险的主要来源。本文以中信泰富杠杆式外汇合约为例,根... 随着场外衍生品的日益复杂化,定价的模型风险越来越受到重视。标的资产随机过程的设定是衍生品定价的关键环节,但随机过程选择与估计样本选择尚无公认的标准,这成为衍生品定价模型风险的主要来源。本文以中信泰富杠杆式外汇合约为例,根据已有文献选择了几何布朗运动、OU过程、Schwartz单因素模型来描述汇率走势,运用不同区间和频率的样本估计这3个随机过程的参数,进一步采用蒙特卡洛模拟法得到此合约的价格分布,使用业界普遍使用的"最坏情况"指标来度量买卖双方承担的模型风险。实证结果表明,随机过程设定导致的模型风险显著存在,模型风险会随着随机过程与估计样本的变化而变化,衍生品买卖双方的模型风险呈现非对称性特征,买方承担的模型风险显著高于卖方,这反映了模型风险管理的重要意义及非专业买方参与场外复杂衍生品交易时的困境。 展开更多
关键词 复杂衍生品定价 模型风险 随机过程设定
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阵列调制随机共振在微弱信号特征提取方面的应用
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作者 涂水林 邬正义 吴正阳 《计算机测量与控制》 CSCD 北大核心 2012年第6期1599-1601,1609,共4页
论述了阵列调制随机共振方法在强噪声背景下多频微弱信号特征提取中的工作原理和实现步骤;采用预先设定系统参数的多个并联非耦合随机共振单元形成阵列,将被测强噪声背景下的多频微弱信号分别与不同频率的载波进行调制,生成多个差频均为... 论述了阵列调制随机共振方法在强噪声背景下多频微弱信号特征提取中的工作原理和实现步骤;采用预先设定系统参数的多个并联非耦合随机共振单元形成阵列,将被测强噪声背景下的多频微弱信号分别与不同频率的载波进行调制,生成多个差频均为0.01Hz的信号作为各对应随机共振单元的激励信号,采用龙格-库塔算法求取各单元输出并进行频谱分析,根据0.01Hz处的信噪比判断在微弱信号中是否存在载波频率与差频值之和大小的频率分量,最后综合各个随机共振单元的检测结果生成微弱信号的频率特征向量;仿真结果表明,阵列调制随机共振在微弱信号特征提取方面效果明显,具有很好的应用前景。 展开更多
关键词 摘要:论述了阵列调制随机共振方法在强噪声背景下多频微弱信号特征提取中的工作原理和实现步骤 采用预先设定系统参数的多个并联非耦合随机共振单元形成阵列 将被测强噪声背景下的多频微弱信号分别与不同频率的载波进行调制 生成多个差频均为0.01Hz的信号作为各对应随机共振单元的激励信号 采用龙格一库塔算法求取各单元输出并进行频谱分析 根据0.01Hz处的信噪比判断在微弱信号中是否存在载波频率与差频值之和大小的频率分量 最后综合各个随机共振单元的检测结果生成微弱信号的频率特征向量 仿真结果表明 阵列调制随机共振在微弱信号特征提取方面效果明显 具有很好的应用前景.关健词:阵列 调制随机共振 微弱信号 特征提取
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Probabilistic Fuzzy Hypermodules
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作者 詹建明 徐扬 《Journal of Donghua University(English Edition)》 EI CAS 2006年第6期125-128,共4页
We introduce the concept of T-fuzzy subhypermodules of hypermodules with respect to triangular norms and obtain some results. In particular, we define a probabilistic version of hypermodules using random sets and show... We introduce the concept of T-fuzzy subhypermodules of hypermodules with respect to triangular norms and obtain some results. In particular, we define a probabilistic version of hypermodules using random sets and show that fuzzy hypermodules defined in triangular norms are consequences of probabilistic hypermodules under certain conditions. 展开更多
关键词 T-fuzzy subhypermodule hypermodule probability space random set.
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The Moments of First Entrance Time Distributions of Markov Chains in Random Environments
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作者 LI Shou-wei ZHU Dong-jin 《Chinese Quarterly Journal of Mathematics》 CSCD 2011年第1期51-55,共5页
After defining generating functions,this paper discusses their properties,and then provides a sufFcient and necessary condition for a finite property of the moments of first entrance time distributions of Markov chain... After defining generating functions,this paper discusses their properties,and then provides a sufFcient and necessary condition for a finite property of the moments of first entrance time distributions of Markov chains in random environments by generating functions.Finally,the paper obtains relevant conclusions of the moments of first entrance time distributions. 展开更多
关键词 random environments taboo set generating functions
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Stability Assessment of Some West African Okra (Abelmoschus caillel~ Genotypes in Nigerian Genebank
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作者 Aladele Sunday Ezekiel Omolayo Johnson Ariyo Olusola Babatunde Kehinde2 《Journal of Life Sciences》 2011年第11期906-912,共7页
Stability among 50 accessions of West African okra (Abelmoschus caillei) was assessed under three diverse ecological environments at Abeokuta, Ibadan and Mokwa in Nigeria during 2005 and 2006 cropping season. The ac... Stability among 50 accessions of West African okra (Abelmoschus caillei) was assessed under three diverse ecological environments at Abeokuta, Ibadan and Mokwa in Nigeria during 2005 and 2006 cropping season. The accessions were grown in a Randomized Complete Block Design with three replications; data were collected on 5-10 randomly selected plants from each plot. Only 20 accessions were subjected to stability analysis on the basis of yield across the three environments. The joint regression analysis, deviation means square were computed using Eberhart and Russell method and complemented with Francis and Kannenberg method. The regression coefficients of accessions mean yields on the environmental index resulted in regression coefficients ranging in values from 0.5549 to 1.6667. OAA/96/175-5328, NGAE-96-011 and NGAE-96-0060 were among the superior genotypes with high yield performance. The large variation in regression values indicated large differences in genotype response to different environments. It suggests that stability concept of Ebelhart and Russell could be modified to use any yield components that has strong correlation with yield for stability analysis. The two promising accessions ofA. caillei (NGAE-96-011 and NGAE-96-0060) needed to be further tested on farmers' field to obtain on-farm data, alter which it should be recommended for official registration and released by the National Committee on Naming, Registration and Release of Crop varieties in Nigeria. 展开更多
关键词 Stability assessment environmental index GENOTYPE West African okra.
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Grammar Consciousness-Raising Tasks and Intermediate Learners' Achievement and Perceptions
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作者 Seyyed Ali Ostovar Namaghi Maryam Charmchi 《Sino-US English Teaching》 2016年第1期1-7,共7页
While there is lots of empirical evidence showing that grammar consciousness raising tasks (GCRTs) have an edge over the traditional modes of grammar instruction, there is very little qualitative evidence reflecting... While there is lots of empirical evidence showing that grammar consciousness raising tasks (GCRTs) have an edge over the traditional modes of grammar instruction, there is very little qualitative evidence reflecting learners' perceptions of externally imposed educational changes including GCRTs. To extrapolate the previous findings and fill in this gap, this study aims to: (I) test the alleged superiority of GCRTs in grammar instruction and (2) explore learners' perceptions of learning grammar through GCRTs. To this end, this study used a mixed-method design including a quantitative and a qualitative dimension. The former dimension aimed at testing the superiority of GCRTs on a random sample of intermediate learners from Simin language school in Karaj, Iran through the robust Solomon-four-group design and the latter dimension aimed at collecting and analyzing qualitative interview data on learners' perceptions of GCRTs. The quantitative results clearly showed that learners being taught through GCRTs significantly outperformed those instructed through the traditional mode of grammar instruction and the qualitative analysis of learners' perspectives showed that the participants had a positive perception of GCRTs and this positive perception was rooted in GCRTs' potential to: (1) facilitate the internalization of grammar and (2) involve learners in discovery learning. The findings have clear implications for syllabus designers and practitioners. 展开更多
关键词 consciousness-raising tasks discovery learning willingness to learn traditional approach
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计量经济学应用研究的可信性革命 被引量:44
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作者 王美今 林建浩 《经济研究》 CSSCI 北大核心 2012年第2期120-132,共13页
可信性是计量经济学应用研究的重要问题,其核心在于实现经济理论、统计学、数学在实证研究中的科学结合。本文基于国际计量经济学界对可信性问题的三次大讨论取得的重要进展,厘清了计量经济学探索客观经济世界过程的本质特征;进而针对... 可信性是计量经济学应用研究的重要问题,其核心在于实现经济理论、统计学、数学在实证研究中的科学结合。本文基于国际计量经济学界对可信性问题的三次大讨论取得的重要进展,厘清了计量经济学探索客观经济世界过程的本质特征;进而针对应用研究中存在的滥用和错用现象,从计量经济模型的随机性设定、经济变量之间的因果关系识别以及模型的统计适切性评价等三个方面阐述计量经济学应用研究的可靠性来源。我国计量经济学的应用研究面临进一步提高可信性的重要问题,需要全面吸收和借鉴国际计量经济学界对于可信性问题的成果,改变研究模式和教学模式。 展开更多
关键词 可信性革命 随机设定 因果效应识别 统计适切性
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