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1.
Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints
Pham 《Applied Mathematics and Optimization》2002,46(1):55-78
Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility
and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as
a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value
function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a
stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear
equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation.
This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate
our results with several examples of stochastic volatility models popular in the financial literature. 相似文献
2.
Synthesis, properties, and structure of dimethylgold(III) complexes [(CH3)2AuI]2 and (CH3)2AuS2CN(C2H5)2 总被引:1,自引:0,他引:1
Volatile diethyldithiocarbamate of dimethylgold(III) was prepared by the interaction of dimethylgold(III) iodide with sodium diethyldithiocarbamate. The complex is examined by the elemental analysis, DTA, IR and electronic spectroscopy. The starting dimeric complex [(CH3)2AuI]2 and a novel monomeric volatile gold(III) complex (CH3)2AuS2CN(C2H5)2 with the AuC2S2 coordination core were investigated by single crystal X-ray diffraction for the first time. 相似文献
3.
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic entropy model. The proposed cross-sectional intrinsic entropy (CSIE) is defined and computed as a daily volatility estimate for the entire market, grounded on the daily traded prices—open, high, low, and close prices (OHLC)—along with the daily traded volume for all symbols listed on The New York Stock Exchange (NYSE) and The National Association of Securities Dealers Automated Quotations (NASDAQ). We perform a comparative analysis between the time series obtained from the CSIE and the historical volatility as provided by the estimators: close-to-close, Parkinson, Garman–Klass, Rogers–Satchell, Yang–Zhang, and intrinsic entropy (IE), defined and computed from historical OHLC daily prices of the Standard & Poor’s 500 index (S&P500), Dow Jones Industrial Average (DJIA), and the NASDAQ Composite index, respectively, for various time intervals. Our study uses an approximate 6000-day reference point, starting 1 January 2001, until 23 January 2022, for both the NYSE and the NASDAQ. We found that the CSIE market volatility estimator is consistently at least 10 times more sensitive to market changes, compared to the volatility estimate captured through the market indices. Furthermore, beta values confirm a consistently lower volatility risk for market indices overall, between 50% and 90% lower, compared to the volatility risk of the entire market in various time intervals and rolling windows. 相似文献
4.
基于CARR模型的交易量与股价波动性动态关系的研究 总被引:5,自引:0,他引:5
股市交易量与股价变化的关系就一直是学术界与实务界所共同关心的主题。基于Chou(2005)提出的CARR模型对两者的动态关系问题进行了研究。首先分析了作为量价关系理论基础的混合分布假说理论在CARR模型中的适川性,进而基于混合分布假说理论对我国上证综合指数、深证成份指数以及随机抽取的十只个股进行了量价关系的实证检验。研究发现:混合分布假说理论同样适用于CARR模型,这证实了股价波动性的CARR效应的存在。实证的结果也证实了CARR模型无论是对于股票指数还是单只股票交易量都具有了良好的解释作用。因此,CARR模型与GARCH模型相比,在交易量与股价波动关系动态关系的研究领域可以得到更为稳健的结果。 相似文献
5.
Markus Kury Katharina Ehrmann György Attila Harakály Christian Gorsche Robert Liska 《Journal of polymer science. Part A, Polymer chemistry》2021,59(19):2154-2169
In the last decades the importance of UV curable formulations has increased continuously. Their fast curing speed, solvent-free polymerization conditions, and the formation of hard and highly crosslinked photopolymer networks represent major benefits. Commercial UV resins generally consist of multi-functional vinyl oligomers, photoinitiators, additives, and reactive diluents. Mono- and multi-functional reactive diluents serve as thinners to lower the overall resin viscosity and to improve processability. However, many monofunctional reactive diluents like isobornyl (meth)acrylate or benzyl (meth)acrylate exhibit high volatility, often already at room temperature. This causes adverse effects such as unpleasant odor, potential health risks, and changing resin composition during processing. A new group of monomers that show high potential for replacing traditional highly volatile reactive diluents are salicylate (meth)acrylates. In this work, salicylate-based thinners are synthesized, polymerized, and characterized with respect to their viscosity, volatility, thermal stability, photoreactivity, and thermomechanical properties of their homopolymers. Additionally, a first example of their diluting effect in a highly viscous difunctional polyester urethane methacrylate is demonstrated with 30 wt% of a cycloaliphatically and an aromatically substituted salicylate methacrylate. The polymers of the diluted resin exhibit similarly high glass transition temperatures of 110 and 126 °C, which are in the range of the polymers of the undiluted resin. 相似文献
6.
裂纹前端的断裂过程区是引起岩石非线性断裂及尺寸效应的主要原因。利用数字图像相关技术对砂岩开展了三点弯曲梁实验,获得观测区域高精度的全场位移和应变数据,根据断裂韧带区域水平位移和水平应变的分布特征,结合裂尖岩石颗粒变化的微观分析,提出采用裂纹尖端水平位移波动性和水平应变突变性所得到的波动系数和水平应变突变值,确定断裂过程区形状和临界尺寸的方法。结果表明:砂岩断裂过程区的形状为不规则的狭长带状区域,断裂过程区的临界长度为11~13mm,临界宽度为1.58~2.36mm。断裂过程区区域内形变在趋向裂尖时呈指数增加,但其单位区域内的形变增量呈波动状态。该方法能够更加准确判断岩石断裂过程区的范围,有助于分析岩石的非线性断裂特性。 相似文献
7.
8.
基于实际波动率的组合选择实证研究 总被引:1,自引:0,他引:1
本文对证券组合三因素的7种预测方法进行了实证研究和敏感性检验,得出结论:若以周作为组合持有期,则不论何种收益预测方法,基于实际波率的ARFIMA方法在组合持有期上均取得了正的超额收益;基于实际波动率的ARFIMA法在组合选择的各种方法中是最优的. 相似文献
9.
10.
Alexander van Haastrecht Richard Plat Antoon Pelsser 《Insurance: Mathematics and Economics》2010,47(3):266-277
Guaranteed annuity options are options providing the right to convert a policyholder’s accumulated funds to a life annuity at a fixed rate when the policy matures. These options were a common feature in UK retirement savings contracts issued in the 1970’s and 1980’s when interest rates were high, but caused problems for insurers as the interest rates began to fall in the 1990’s. Currently, these options are frequently sold in the US and Japan as part of variable annuity products. The last decade the literature on pricing and risk management of these options evolved. Until now, for pricing these options generally a geometric Brownian motion for equity prices is assumed. However, given the long maturities of the insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper explicit expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can be significant. 相似文献