Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to...Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.展开更多
In operation,risk arising from power transformer faults is of much uncertainty and complicacy.To timely and objectively control the risks,a transformer risk assessment method based on fuzzy analytic hierarchy process(...In operation,risk arising from power transformer faults is of much uncertainty and complicacy.To timely and objectively control the risks,a transformer risk assessment method based on fuzzy analytic hierarchy process(FAHP) and artificial neural network(ANN) from the perspective of accuracy and quickness is proposed.An analytic hierarchy process model for the transformer risk assessment is built by analysis of the risk factors affecting the transformer risk level and the weight relation of each risk factor in transformer risk calculation is analyzed by application of fuzzy consistency judgment matrix;with utilization of adaptive ability and nonlinear mapping ability of the ANN,the risk factors with large weights are used as input of neutral network,and thus intelligent quantitative assessment of transformer risk is realized.The simulation result shows that the proposed method increases the speed and accuracy of the risk assessment and can provide feasible decision basis for the transformer risk management and maintenance decisions.展开更多
文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造...文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造高可靠NPC逆变器的2条原则。并基于此原则介绍新型高可靠NPC逆变电路的构造过程,发明一种分裂电感型复合中点钳位逆变器(split inductor hybrid neutral point clamped inverter,SI-HNPC)。所得电路的所有输出桥臂均由二极管与开关管串联构成,而与电容串联的开关管回路中含有分裂电感,有效地避免直流电容直通短路问题。此外,电路采用开关管和二极管的混合钳位结构,保持电压应力减半的基础上也保持零电平续流模态多样性。详细分析所提SI-HNPC运行特性与防直通能力,并搭建仿真模型和试验样机验证新型电路工作原理的正确性和短路抑制能力的有效性。展开更多
The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distributi...The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.展开更多
基金The author is infinitely thankful to his friend and colleague M.Rubinstein for valuable discussions and an invariable interest to his work.The author is also thankful to C.Miller for his high estimation of the author’s efforts.Of course,all errors are author’s full responsibility.
文摘Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.
基金Project(50977003) supported by the National Natural Science Foundation of China
文摘In operation,risk arising from power transformer faults is of much uncertainty and complicacy.To timely and objectively control the risks,a transformer risk assessment method based on fuzzy analytic hierarchy process(FAHP) and artificial neural network(ANN) from the perspective of accuracy and quickness is proposed.An analytic hierarchy process model for the transformer risk assessment is built by analysis of the risk factors affecting the transformer risk level and the weight relation of each risk factor in transformer risk calculation is analyzed by application of fuzzy consistency judgment matrix;with utilization of adaptive ability and nonlinear mapping ability of the ANN,the risk factors with large weights are used as input of neutral network,and thus intelligent quantitative assessment of transformer risk is realized.The simulation result shows that the proposed method increases the speed and accuracy of the risk assessment and can provide feasible decision basis for the transformer risk management and maintenance decisions.
文摘文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造高可靠NPC逆变器的2条原则。并基于此原则介绍新型高可靠NPC逆变电路的构造过程,发明一种分裂电感型复合中点钳位逆变器(split inductor hybrid neutral point clamped inverter,SI-HNPC)。所得电路的所有输出桥臂均由二极管与开关管串联构成,而与电容串联的开关管回路中含有分裂电感,有效地避免直流电容直通短路问题。此外,电路采用开关管和二极管的混合钳位结构,保持电压应力减半的基础上也保持零电平续流模态多样性。详细分析所提SI-HNPC运行特性与防直通能力,并搭建仿真模型和试验样机验证新型电路工作原理的正确性和短路抑制能力的有效性。
文摘The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.
