跳跃扩散模型外汇重置期权定价

在完全外汇市场环境下讨论了外汇汇率过程受Brown运动和Possion过程共同驱动时外汇重置期权的定价问题.利用等价鞅测度和标准正态分布函数给出了这一模型下单时点重置外汇看涨期权的定价公式,最后在常系数条件下导出了一种特殊形式外汇重置期权的Black-Scholes公式.     

Relationship of Margin Rule and Volatility in Chinese Copper Futures Markets

Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange (SHFE) , our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.     

Nonlinear Modeling and Neuro-Fuzzy Control of PEMFC

The proton exchange membrane generation technology is highly efficient, and clean and is considered as the most hopeful “green” power technology. The operating principles of proton exchange membrane fuel cell （PEMFC） system involve thermodynamics, electrochemistry, hydrodynamics and mass transfer theory, which comprise a complex nonlinear system, for which it is difficult to establish a mathematical model and control online. This paper analyzed the characters of the PEMFC; and used the approach and self-study ability of artificial neural networks to build the model of nonlinear system, and adopted the adaptive neural-networks fuzzy infer system to build the temperature model of PEMFC which is used as the reference model of the control system, and adjusted the model parameters to control online. The model and control were implemented in SIMULINK environment. The results of simulation show the test data and model have a good agreement. The model is useful for the optimal and real time control of PEMFC system.     

班轮联盟集装箱舱位互换规划与决策模型

集装箱舱位互换是一种来分享航运资源的特定方式.文中提出了一个班轮联盟下集装箱舱位互换非线性整数规划模型,用以帮助规划者更好地根据联盟协议进行决策,并更准确地估计航运系统成本.该模型追求航运联盟的优化调度策略,利用MATLAB软件的优化,结果表明,集装箱舱位互换在班轮联盟船公司降低其系统成本,和补充航线运力等方面有突出的优势.     

基于模拟退火算法的经济批量和运送问题

研究简单的供应链模型生产批量和运输调度问题,主要目标是找到经济批量调度合理排序,使单位时间的平均库存费用、建立费用、运输费用最小。建立该问题的多目标非线性混合整数规划模型和最佳枚举方法来解决这个问题。由于在大中型的问题中很难获得最优解,所以运用模拟退火算法,它结合邻域搜索技术,以一定的概率选择邻域中最好的状态,从理论上来说是一个全局最优算法。     

基于 UKF 非线性人眼跟踪的驾驶员疲劳检测

为解决驾驶员疲劳检测算法中头部快速移动、人眼非线性跟踪以及实际疲劳表情的识别问题,提出了一种新的基于UKF眼跟踪算法的驾驶员疲劳检测方法.根据近似非线性函数的概率分布比近似其函数更容易的原则,利用UT无迹变换,选择一组确定的Sigma点集逼近驾驶员人眼运动状态的后验概率密度函数,进行人眼非线性跟踪.在驾驶员人眼非线性跟踪基础上,通过计算PERCLOS值,进行现实驾驶条件下驾驶员疲劳的跟踪检测.实验结果表明,该方法不仅可以增强对驾驶员头部旋转、快速移动以及光照变换的鲁棒性,而且可以比传统的Kalm an滤波算法提供更精确的计算估计.     

Term Structure of Interest Rates Based on Artificial Neural Network

In light of the nonlinear approaching capability of artificial neural networks （ ANN）, the term structure of interest rates is predicted using The generalized regression neural network （GRNN） and back propagation （BP） neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek＇s model and Cox-Ingersoll-Ross （CIR） model. The comparison reveals that neural network models outperform Vasicek＇s model and CIR model, which are more precise and closer to the real market situation.     

我国天然胶期货市场有效性实证分析

以上海期货交易所天然橡胶7月合约的每日收盘价为研究对象,采用的方法是单位根检验和方差比检验相结合,通过检验期货价格序列是否服从随机步游过程,来判断市场是否具有弱式有效性。实证检验结果表明,在第一、第二、第四和第五阶段,市场是弱式有效的,但在第三阶段市场并不具有弱式有效性,检验结果与近年来我国天然胶期货市场的实际发展情况基本吻合。     

不确定交通需求下交叉口信号配时区间优化模型

为解决混合交通流的不确定需求，合理描述不确定参数用以信号配时优化，本文提出交叉口信号控制配时参数区间优化模型。首先，以高峰时段5min采集标段数据，构造交通量区间，修正Highway Capacity Manual 2010(HCM2010)饱和流率计算公式，估计混合交通饱和流率区间；其次，构建信号配时参数区间非线性多目标规划模型，并以交叉口服务水平为性能目标，利用区间序关系与区间可能度模型进行转换，采用多层嵌套遗传算法求解；最后，以北京市道路等级相差较大的两相位与三相位交叉路口高峰时段数据为例，验证信号配时区间优化模型，并运用 VISSIM软件进行仿真比较。结果表明：本文所建模型可行、有效，且考虑饱和流率区间的信号配 时区间优化模型更适合于关键相位饱和流率波动较大的两相位信号交叉口，机动车平均延误和交叉口通行能力较Webster方法分别优化了35.9%和14.9%。     

基于条件风险价值的投资组合优化模型

采用R T Rockafellar和S Uryasev的一种优化算法，构造了一个以条件风险价值代替标准差度量风险的投资组合优化模型．选择沪、深股市6种股票构成一个投资组合，用Matlab软体对模型进行优化计算，得到了该投资组合的有效前沿和投资权重，并与用传统的均值方差模型的计算结果进行了比较．结果表明，这2个模型优化得到的有效前沿非常相近，与国外研究获得的有效前沿图形也非常相似，但这2个模型优化得到的投资权重却有较大差异．     

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分析原油价格对油轮运价指数的影响关系,并预测油轮运价指数发展变化趋势.本文通过Granger因果关联分析,原油价格是油轮运价指数的3阶Granger因.因此,建立了3阶ARCH模型对油轮运价指数进行了预测,预测精度在8%之内.根据油轮运价指数的自身非线性变化趋势,建立了三层BP神经网络模型预测油轮运价指数的发展趋势,精度在3%以内.为进一步提高模型的预测精度,结合ARCH预测模型和BP神经网络预测模型的特点,通过预测误差最小化模型,确定组合权重,建立了新的组合预测模型对未来油轮运价指数进行分析预测,模型的精度控制在2%以内,预测精度显著提高.此研究对油轮运价指数的预测提供了较好的方法.     

Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk (VaR) measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory (EVT) is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution (GPD), and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE (Hill) at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.     

Robust expected violation criterion for constrained robust design problems and its application in automotive lightweight design

Metamodeling techniques are commonly used to replace expensive computer simulations in robust design problems. Due to the discrepancy between the simulation model and metamodel, a robust solution in the infeasible region can be found according to the prediction error in constraint responses. In deterministic optimizations, balancing the predicted constraint and metamodeling uncertainty, expected violation (EV) criterion can be used to explore the design space and add samples to adaptively improve the fitting accuracy of the constraint boundary. However in robust design problems, the predicted error of a robust design constraint cannot be represented by the metamodel prediction uncertainty directly. The conventional EV-based sequential sampling method cannot be used in robust design problems. In this paper, by investigating the effect of metamodeling uncertainty on the robust design responses, an extended robust expected violation (REV) function is proposed to improve the prediction accuracy of the robust design constraints. To validate the benefits of the proposed method, a crashworthiness-based lightweight design example, i.e. a highly nonlinear constrained robust design problem, is given. Results show that the proposed method can mitigate the prediction error in robust constraints and ensure the feasibility of the robust solution.     

灰色代数曲线模型在交通量预测中的应用

灰色GM模型对于非线性系统问题的处理显得较为薄弱,而交通系统是一种复杂的非线性灰色系统,用灰色GM模型进行预测,精度必然得不到保证。本文为解决这一缺陷,提出采用灰色代数曲线模型预测交通量。实例分析表明,灰色代数曲线模型的拟合精度好于灰色GM模型,用灰色代数曲线模型预测交通量是可行的。     

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供应商选择问题是物流领域内的一个重要问题，其目标函数就是在包括送达时间、原料质量和服务水平等的约束下使总花费最小。传统的确定性模型取得了较好的效果，但是由于其约束条件的随机性和模糊性，需要应用不确定性模型来更准确地描述和给出最优解。论文应用了不确定性模型描述这类供应商选择问题，这个不确定性模型就是一类特殊的机会约束规划模型，此类机会约束可以转化为相应的等价类，这样不确定性模型就可以转化为确定性模型，然后设计了解决这类问题的遗传算法。通过实例计算表明，不确定性优化模型及遗传算是解决供应商选择等这类不确定性智能商业问题的有效办法，有广泛的应用前景。     

有限经济批量和库存的模拟退火算法

研究在一个简单供应链中的生产批量和配送计划问题。解决在供应链中减少单位时间库存、设备和运输的平均成本生产批量及运送计划。假设所有影响因素如产品需求率都已限定在有限的计划范围内,利用模拟退火算法具有的较强局部搜索能力特性弥补传统算法的不足,计算结果表明SA算法能够找到问题的最优解或近似最优解,是解决该问题的有效方法。     

基于风险分担的城市公交出行鲁棒优化模型

本文面向城市中需要在给定期限内到达终点的出行者,针对最短耗时公交换 乘问题,利用基于风险分担的鲁棒优化方法进行了建模和求解.公交行车时间和发车间隔 时间是不确定的,本文将其建模为区间数,并基于风险分担的思想给出了这些不确定参 数的集合描述,该集合可以通过一个代表出行者保守程度的参数进行灵活调整,在此基 础上提出了城市公交换乘最短耗时鲁棒优化模型,给出了多项式时间精确算法.通过对一 个算例的求解和仿真实验,展示了该模型求解结果（相对于确定性模型的求解结果）具有 更小的迟到概率;并通过分析讨论,总结出换乘更少,运行更稳定的换乘方案更倾向于成 为鲁棒最优换乘方案.     

新兴市场视角下中国衍生金融工具的应用程度分析

从新兴市场飞速发展的大背景出发,分析中国衍生金融工具的实际应用程度,比较其在新兴经济体内部的地位以及与发达经济体的差距,并对衍生品的创新发展路径提出建议。     

基于ARIMA模型的外汇汇率时间序列预测研究

利用数据挖掘技术分析外汇汇率时间序列,从时间序列中获得正确的、隐含的、潜在的信息对于金融领域研究具有重要的现实意义。通过数据挖掘中的ARIMA模型,以某银行的外汇汇率时间序列为研究对象,采用差分方法和建模规则,对外汇的卖出价进行了建模与预测。通过与逐步自回归预测模型相比较,ARIMA模型对外汇汇率时间序列数据具有很强的预测能力。     

Reliability Analysis of Systems with Common Cause Failure Based on Stress-Strength Interference Model

Many mechanical systems have the characteristics of multiple failure modes and complex failure mechanisms. On the basis of stress-strength interference (SSI) model, this paper takes the mechanical system with common cause failure (CCF) as the research object. The relationship between the stress distribution and the strength distribution is studied, and the failures of components are independent of each other under the deterministic stress. Then, the concept of conditional reliability is introduced to build the system reliability models under the action of one-stress and multi-stress for both series and parallel systems. Finally, the corresponding properties of the proposed methods are discussed to show their advantages.