限制市场中不定权益的定价

通过构造一族辅助风险溢价来确定不定权益的无套利价格，用这种方法 讨论了存在交易限制时欧式不定权益的定价问题，其结果与Davis的公平价格一致.     

现代概率论的理论发展与应用

介绍现代概率论的一些主要理论,并综述它们在各方面的应用情况.     

分数布朗运动环境中最值期权定价

假定股票价格遵循由分数布朗运动驱动的随机微分方程,建立了分数布朗运动环境下金融市场数学模型,利用分数布朗运动随机分析理论与未定权益定价方法,获得欧式未定权益一般定价公式,并得到欧式最值期权价格的解析表达式以及平价关系.     

静不定结构的热应力分析

分析了受约束机构内材料热应力存在的危害,给出静不定结构内热应力的定量描述方式:弹性变形状态时,热应力仅与线膨胀系数、弹性模量及温度变量成正比关系;当热应力达到材料在某温度下的屈服强度时,其热膨胀发生弹塑性转变,热应力为当时温度下的屈服强度。采用热模拟试验机测试了材料的温度与热应力关系,分析结果与数值模型基本吻合,测出刚性约束下45钢在升温至620℃时热应力等于其屈服强度约200 MPa。     

具有分流对冲的穿孔管吸声方法

发动机的排气气流流速是影响消声器综合性能的重要参数,随着排气气流流速增加消声器内产生的再生噪声增加,使得消声器的吸声效果变差。为解决此问题,提出通过将排气气流进行分流与对冲降低排气气流流速来提高吸声效果的吸声方法。首先通过一个锥形分流单元将进入消声器的气流进行分流,分流后的气流通过穿孔管上的小孔进入到穿孔管内腔,使气流在穿孔管内腔发生对冲,从而降低排气气流流速提高吸声效果。通过对整体结构进行消声子单元划分、传递矩阵计算、传递损失自变量与因变量函数关系分析得到传递损失的影响因素与变化特性,并对理论模型进行实验验证。实验结果表明：提出的吸声方法可在高速排气气流的情况下,使传递损失始终维持在稳定状态,以入口气流流速从15 m/s 增加到45 m/s 为例,传递损失从26.5 dB降低到24.5 dB,降幅为0.075 %,证明了该结构具有良好且稳定的吸声效果。     

扩散市场模型中带交易费和红利的欧式未定权益的保值与定价

期权的定价是衍生证券交易的核心问题。本文基于数理金融学的一般框架,对金融市场中常见的带交易费和红利的欧式期权的保值和定价问题进行研究。通过构造辅助鞅的方法,定义了扩散市场模型中的可行和可取策略,讨论了市场的套利问题,从买方和卖方的角度推导了欧式未定权益的价格表达式,给出了扩散市场模型中辅助鞅存在的一个充分条件。     

集值上鞅的收敛定理

给出了非凸集值上鞅在 Ｋｕｒａｔｏｗ ｓｋｉ Ｍ ｏｓｃｏ 收敛意义及弱收敛意义下的收敛定理     

标的资产由分数维布朗运动驱动的亚式期权定价及套期保值

在标的资产价格由分数维布朗运动驱动的假设下,文章研究了一种亚式期权的定价.我们利用Numeraire变换与复制首先将亚式期权定价转变为类似的欧式期权定价,然后运用Merton对冲风险的思想得到亚式期权的定价,最后运用Malliavin分析与一般地Clark公式给出亚式期权的套期保值策略.     

一类具有Markovian参数的随机微分时滞方程的指数稳定性

对Hilbert空间中具有Markovian参数的随机泛函微分时滞方程的指数稳定性进行了讨论。利用指数鞅公式,Lyapunov函数和一些不等式给出系统指数稳定的充分条件。这是对已有结果的完善和推广。通过一个例了对本文的结论进行了说明。     

随机利率下的均值-方差最小套期保值

均值-方差套期保值是套期保值的主要方法之一。不连续资产价格的均值-方差套期保值策略通常是在利率为非随机的情况下获得的。本文考虑在随机利率下,资产价格为特殊半鞅的均值-方差套期保值问题。通过适当的概率测度变换,将具有随机利率的情形简化为非随机利率情形,再利用Galtchouk-Kunita-Watanabe分解,获得了资产价格为一般的特殊半鞅,具有随机利率的的均值-方差套期保值策略。     

浅谈电站EPC总承包项目缓建索赔与争议处理原则与方法

电站EPC总承包项目与大多数一般性施工总承包相比往往金额大、复杂性高、风险大。尤其是遇到各种原因的停工缓建时,项目执行的条件都会发生一定程度的变化,对项目的顺利执行产生或多或少的影响。针对业主原因发生的电站项目停工缓建,总承包商都面临大量分包商的索赔,以及向业主的索赔等,本文从上述索赔的内容和应对措施方面谈一谈经验教训。     

Warranty Claims Data Analysis Considering Sales Delay

Sales delay is the time interval from the date of manufacture to the date of sale. In analysing warranty claims data, the existing research relating to the sales delay has mainly focussed on estimating the probability distribution of the sales delay. Longer sales delay may lead to more warranty claims as it can affect the post‐sale reliability of products. However, research into this problem has received little attention. This article estimates the expected number of warranty claims under both renewing and non‐renewing warranty policies taking into account the sales delay. We consider the case with three states, the sales delay state, the operating state and the failed state. We extend the three‐state case into an n state system case, where n ? 3. We then give numerical examples to demonstrate the application of the derived equations. We also present a simulation and a case study where we estimate the reliability of products with three states. Copyright © 2012 John Wiley & Sons, Ltd.     

Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach

A new approach to modeling spikes in power prices proposed earlier by the author is presented and further developed. In contrast to the standard approaches, power prices with spikes as a non-Markovian stochastic process are modeled that allows for modeling spikes directly as self-reversing jumps. It is shown how this approach can be used to value and hedge European contingent claims on power with spikes. It is also shown that the values of European contingent claims on power with spikes satisfy the Cauchy problem for a certain linear evolution equation. In this way, the values of European contingent claims on power with spikes can be represented in terms of the Green's function for this Cauchy problem and the Green's function itself can be interpreted in terms of the values of the Arrow-Debreu securities on power with spikes.     

经济环境下带干扰古典风险模型的保费计算

讨论了经济环境下带干扰的古典风险模型,并按照不同保费计算原理给出了多种保费计算公式。     

A Secure and Lightweight Chaos Based Image Encryption Scheme

In this paper, we present an image encryption scheme based on the multi-stage chaos-based image encryption algorithm. The method works on the principle of confusion and diffusion. The proposed scheme containing both confusion and diffusion modules are highly secure and effective as compared to the existing schemes. Initially, an image (red, green, and blue components) is partitioned into blocks with an equal number of pixels. Each block is then processed with Tinkerbell Chaotic Map (TBCM) to get shuffled pixels and shuffled blocks. Composite Fractal Function (CFF) change the value of pixels of each color component (layer) to obtain a random sequence. Through the obtained random sequence, three layers of plain image are encrypted. Finally, with each encrypted layer, Brownian Particles (BP) are XORed that added an extra layer of security. The experimental tests including a number of statistical tests validated the security of the presented scheme. The results reported in the paper show that the proposed scheme has higher security and is lightweight as compared to state-of-the-art methods proposed in the literature.     

Adaptive Fuzzy Control of Constrained Flexible-Link Manipulators

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分数布朗运动增量的一个泛函型极限定理

本文证明了一个关于分数布朗运动增量的泛函型极限定理