使用粒子群算法解决期权定价模型参数校准问题——以heston模型为例

期权定价模型的参数校准问题是一个常见的难题,以heston 模型为例,定价时需要估计6 个参数,参数估计问题实质上是高维非线性规划问题,由于估参函数的性质不好,一般的估参方法常常失效。使用粒子群（PSO）智能算法可以改善该模型的参数校准问题,因为粒子群算法具有内在随机性,因此参数估计中的局部极小值问题可以被较好地解决。使用2017 年12 月20 日的香港恒生指数期权作为估计样本,并对2017 年12 月25 日的期权进行样本外预测,数值结果表明使用heston 模型对期权进行定价并配合粒子群算法估计参数具有良好的定价效果。     

信用担保合约的定价

随着信用担保行业的不断发展,作为高风险行业,对其担保合约的科学定价以覆盖其担保失败的损失,显得极为重要。利用信用担保合约与信用违约互换的支付函数的同构性,构建适当的信用违约互换合约及模拟信用担保公司的信用担保合约,以信用违约互换的定价方式为信用担保公司的信用担保合同进行定价,更能体现出定价模型对担保合约定价的客观性、科学性和准确性。     

Modeling Methods for Discrete Choice Analysis

This paper introduces new forms, sampling and estimation approaches fordiscrete choice models. The new models include behavioral specifications oflatent class choice models, multinomial probit, hybrid logit, andnon-parametric methods. Recent contributions also include new specializedchoice based sample designs that permit greater efficiency in datacollection. Finally, the paper describes recent developments in the use ofsimulation methods for model estimation. These developments are designed toallow the applications of discrete choice models to a wider variety ofdiscrete choice problems.     

基于CP分解的MIMO-OFDM系统接收信号盲检测

多输入多输出-正交频分复用（MIMO-OFDM）无线通信系统中接收信号从空间、时间、频率的维度形成多因素的阵列信号,传统的矢量或者矩阵代数的建模方法在处理多因素信号问题上显得不足,无法利用多因素间的关系,而张量分析在解决多维阵列信号处理的问题上具有优势。针对MIMO无线通信系统,结合OFDM技术,研究了张量信号的建模及分解方法,并充分利用张量信号的分解唯一性提高无线接收信号的检测能力。提出了基于CP（CANDECOMP/PARAFAC）张量分解方法对未知信道状态（CSI）的MIMO-OFDM系统进行接收端的张量信号建模和盲检测,并通过仿真分析验证了模型的可行性。仿真结果表明,在接收天线数目大于发送天线数目且各径信道独立情况下,基于CP分解的接收信号盲检测算法在误码率为10-4时,随着接收天线数目增加,信噪比可获得约5 dB的增益。     

一种针对压缩域信号的新型锁相环技术

针对通信信号压缩采样获得的压缩域信号频率、相位提取问题,提出了一种基于压缩感知的新型锁相环技术。通过深入研究压缩域的信号估计问题,提出了压缩域锁相环路,可以直接在压缩域同步跟踪信号频率和相位变化,不再需要高复杂度的信号重构处理。分析了环路模型及其估计性能,并针对该锁相环可行性和性能分别进行了仿真实验。仿真结果不仅验证了压缩域锁相环的可行性,同时表明该环路能够实现高动态信号的高精度频率提取。压缩域锁相环的应用潜力较大,例如可以作为压缩感知通信接收机的同步解调方法。     

码分无线射频识别系统空中接口协议设计及性能分析

为进一步提高无线射频识别系统单个读写器识别电子标签的速率,设计了一种将码分与统计时分技术相结合的新型无线射频识别系统的空中接口协议,并分析了系统的抗噪声性能、识别速率等主要性能指标。仿真结果表明,新型无线射频识别系统在抗噪声性能和识别速率等方面均优于基于现有国际标准ISO/IEC 18000-6C的无线射频识别系统。     

宽带随机混沌雷达高速目标速度估计与成像

随机混沌具有真随机性、对初值敏感、易于产生和控制等特点,频率步进信号易于工程实现和处理,结合两者的优势,提出了一种载频随机步进的随机混沌信号(RSCFSCS)模型,用于高速目标的速度估计和距离维高分辨成像。首先,通过非周期函数激励非线性系统,产生不可预测的随机混沌信号(SCS),经频率调制后用作基带子脉冲。同时,将SCS通过映射变换得到跳频编码(FHC),用来决定调频脉冲串的载频步进。RSCFSCS 速度估计包括粗搜索和精搜索,粗搜索采用固定步长,保证速度偏差小于速度分辨单元,而精搜索采用黄金分割搜索算法可得到精确的速度估计。最后,子脉冲经相干合成形成宽带信号,实现高分辨距离成像。数值仿真表明提出的信号模型和处理算法性能良好。     

Economic contribution of essential air service flights on small and remote communities

The Essential Air Service Program (EAS) has attracted considerable criticism and has been a target for either modification or complete termination almost since its inception through the Airline Deregulation Act in 1978. Although its opponents emphasize the program's inefficiency, its supporters claim that the program is crucial to accessing small and remote communities, which helps them develop economically and socially. This paper demonstrates the economic contributions of EAS flights to small and remote communities. Using a two-stage least squares estimation, the major findings indicate that a 1% increase in air passenger traffic in EAS airports with a minimum annual air passenger traffic of 1000 likely leads to a 0.12% increase in per capita income of the community served by that airport. Our results also suggest that EAS communities that are able to sustain their subsidized flights experienced higher per capita income growth in the 1999–2011 period than did ex-EAS communities that lost their flights as a result of non-eligibility.     

变频器内建PLC在上料机改造中的应用

结合青海百通公司的高炉情况,设计出了上料机改造方案。介绍了台达变频器在高炉卷扬调速系统中的应用情况,给出了电气原理图、注意事项和常见故障处理。实际应用的良好效果验证了该系统的稳定性和可靠性。     

Hyperbolic Discounting and Consumer Patience: The Case of Korea

ABSTRACT

In this article, we test whether the consumption pattern in Korea exhibits a time-inconsistent discounting behavior compared to the conventional exponential discounting. We derive the quasi-hyperbolic Euler equation and estimate it using the generalized method of moments (GMM). The estimation results show that Korean consumers exhibit a time-inconsistent quasi-hyperbolic discounting behavior in general, but the pattern of inconsistency in consumption behavior, in particular the degree of impatience, depends on the estimation period, in particular whether it includes financial crisis periods in 1997–98 and 2008–11.