Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

This paper presents the willow tree algorithms for pricing variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB), where the underlying fund dynamics evolve under the Merton jump-diffusion process or constant-elasticity-of-variance (CEV) process. The GMWB rider gives the policyholder the right to make periodic withdrawals from his policy account throughout the life of the contract. The dynamic nature of the withdrawal policy allows the policyholder to decide how much to withdraw on each withdrawal date, or even to surrender the contract. For numerical valuation of the GMWB rider, we use willow tree algorithms that adopt more effective placement of the lattice nodes based on better fitting of the underlying fund price distribution. When compared with other numerical algorithms, like the finite difference method and fast Fourier transform method, the willow tree algorithms compute GMWB prices with significantly less computational time to achieve a similar level of numerical accuracy. The design of our pricing algorithm also includes an efficient search method for the optimal dynamic withdrawal policies. We perform sensitivity analysis of various model parameters on the prices and fair participating fees of the GMWB riders. We also examine the effectiveness of delta hedging when the fund dynamics exhibit various jump levels.     

工程监理专业人才培养方案探讨

高职专业人才培养方案在不断研究、探索中,工程监理专业是建筑专业中一个新专业,结合目前部分院校本专业的人才培养方案实际,从人才培养规格、定位、课程设置和工学结合等方面,对工程监理专业的人才培养方案进行探索研究。     

桥梁预应力施工技术

本文结合贵广铁路桂林北至定江左右客车联络线特大桥现浇梁施工提出了对预应力钢绞线施工中常见问题的处理方案,对确保预应力结构安全使用、最大限度发挥结构设计功能和使用寿命提供了经验。     

新材料在变电站降阻方案中的应用

本文以广东汕头市华润海丰电厂新材料在变电站降阻方案中的应用展开谈论,旨在为实现绿色变电站评价指标体系中于降阻材料的合理选择提供依据。     

盾构法的冷冻地层加固探讨

本文主要介绍了盾构法中常用的两种冷冻加固方法,并综合对比分析了二者的优劣,探索了其盾构地层冷冻加固的后期发展可能性及发展方向,为进一步提高盾构始发及接收的安全系数,提升其经济性提供了良好借鉴。     

OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

The reset right embedded in an option contract is the privilege given to the option holder to reset certain terms in the contract according to specified rules at the moment of shouting, where the time to shout is chosen optimally by the holder. For example, a shout option with strike reset right entitles its holder to choose the time to take ownership of an at-the-money option. This paper develops the theoretical framework of analyzing the optimal shouting policies to be adopted by the holder of an option with reset right on the strike price. It is observed that the optimal shouting policy depends on the time dependent behaviors of the expected discounted value of the at-the-money option received upon shouting. During the time period when the theta of the expected discounted value of the new option received is positive, it is never optimal for the holder to shout at any level of asset value. At those times when the theta is negative, we show that there exists a threshold value for the asset price above which the holder of a reset put option should shout optimally. For the shout floor, we obtain an analytic representation of the price function. For the reset put option, we derive the integral representation of the shouting right premium and analyze the asymptotic behaviors of the optimal shouting boundaries at time close to expiry and infinite time from expiry. We also provide numerical results for the option values and shouting boundaries using the binomial scheme and recursive integration method. Accuracy and run time efficiency of these two numerical schemes are compared.     

浅析35kV变电站直流系统改造方案

随着科技和管理的进步,变电站直流系统正朝着自动化和免维护的方向发展,对直流系统要求的不断提高使得直流系统的改造势在必行,本文从分析当前35kV变电站直流系统存在的问题入手,以此提出改造目标,并对直流系统的改造措施进行简要分析。     

管理者激励机制、内部竞争与兼并效应分析

参与兼并企业作为子企业存在于兼并所形成的新企业时,新企业的所有者可能对子企业管理者设置与内部所有子企业利润都相关的激励机制,文章即对这种情形建立了两阶段博弈模型考察横向兼并效应问题。结果表明,当少于市场企业数目50％的企业进行兼并时,新企业所有者将确定导致内部竞争的管理者激励机制,社会福利将会增加;此时,兼并活动对参与兼并企业是有利的,对未参与兼并企业是不利的,从而部分地消除了“兼并悖论”。     

系统工程结构化思想在网络建设中的应用

计算机网络建设是一项专业性很强的系统工程，它既要考虑到计算机及网络的有关专业技术知识，也要考虑到网络应用和服务的有关专业知识，更重要的是还要考虑到建设网络的条件和环境、网络管理的手段和方法。文章应用系统工程的结构方案思想，进行网络的建设分析和评价。     

How do Mainland Chinese travelers choose restaurants in Hong Kong?: An exploratory study of individual visit scheme travelers and packaged travelers

The introduction of the Individual Visit Scheme (IVS), which allows Mainland Chinese travelers (hereafter called Chinese travelers) to visit Hong Kong on an individual basis, has been beneficial to the fast recovery of the local economy in Hong Kong from severe acute respiratory syndrome (SARS). The IVS travelers, together with the packaged travelers who visited Hong Kong by joining packaged tours, are presently forming the largest segment of inbound travelers to Hong Kong. Despite the significant economic contributions of Chinese travelers to Hong Kong in general, and to the foodservice sector in particular, there has been an absence of prior studies on IVS travelers’ behavior of selecting restaurants in the existing hospitality and tourism literature. This paper reports on an exploratory study that investigated the perceived importance of attributes that pertain to the selection of restaurants from the perspective of IVS and packaged travelers from Mainland China. Empirical findings of a questionnaire survey with 230 Chinese travelers, including 127 IVS travelers and 103 packaged travelers, showed that the respondents in general viewed the included attributes as relatively important. In addition, only two attributes exhibited significant differences between IVS and packaged travelers. Findings of this research would be useful for hospitality and tourism practitioners to better prepare for receiving the growing number of Chinese travelers.