Valuation of VIX and target volatility options with affine GARCH models

In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte–Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.     

工作用玻璃液体温度计检定注意事项

在温度计的检定过程中,温度计插入恒温槽中不垂直、读数不准确等因素都将给检定结果带来较大的误差,从6个方面讲述了检定过程中需注意的事项,并提出了相应的解决方法,从而减小了温度计的测量误差,提高了测量准确度。     

Technological advances in digital cameras: Welfare analysis on easy-to-use characteristics

This paper examines the characteristics attributed to the success of digital cameras by studying both the demand and the supply sides of the digital-camera market. A discrete choice model is employed to investigate consumer preferences over digital camera characteristics during the period 1996–1998. The empirical findings reveal that Sony’s ‘Easy-to-Use’ storage system contributes significantly to Sony’s demand advantage and profitability. Also, the welfare analysis demonstrates that ‘Easy-to-Use’ attributes significantly contribute to social welfare improvement.

利用无人机标定雷达精度的新方法

针对现有雷达标定系统存在的使用成本高、组织实施不方便、真值获取手段不可靠等一系列问题,提出了利用搭载“北斗”卫星定位系统的旋翼无人机作为探测目标的三坐标雷达精度标定新方法。设计了基于该方法的三坐标雷达标定系统方案,研究了系统实现所需的关键技术,最后给出了系统样机的试验结果。结果表明,该方法能够真实反映三坐标雷达的系统误差,与传统雷达标定方法相比,更加经济、简便、灵活。     

阵列天线在UXB系统标校中的应用

测量船基地现有标校塔与测量船距离只有980 m,无法满足高频段统一X频段（UXB）系统天线的远场标校距离条件。针对这一难题,提出了一种利用阵列天线合成准平面波的方法,实现在近场距离条件下的远场标校。在现有标校塔上架设安装阵列天线设备,利用16个单喇叭天线组成4×4的天线阵,并通过控制单个喇叭天线元的幅度和相位,使得传播到测量船UXB天线口面处由阵列天线合成的电磁波是准平面波,满足X频段天线远场标校要求。综合运用最优化理论和遗传算法,对阵列天线元的幅度和相位权值进行调节和优化,使得合成的电磁波更为接近准平面波。计算机仿真实验和外场条件下的实际测试均验证了该方法生成的准平面波能够满足UXB天线远场标校要求。     

Calibration Weighting Methods for Complex Surveys

This paper presents a careful investigation of the three popular calibration weighting methods: (i) generalised regression; (ii) generalised exponential tilting and (iii) generalised pseudo empirical likelihood, with a major focus on computational aspects of the methods and some empirical evidences on calibrated weights. We also propose a simple weight trimming method for range‐restricted calibration. The finite sample behaviour of the weights obtained by the three calibration weighting methods and the effectiveness of the proposed weight trimming method are examined through limited simulation studies.     

飞行器风洞试验标模体系研究初探

风洞试验标模是一种评估风洞试验准度和验证CFD算法的通用校准模型。本文归纳分析了北大四洋公约组织AGARD系列、法国ONERAM系列为代表的国外风洞试验标模发展情况,阐述了我国DBM、GBM、HSCM风洞标模系列的发展现状,探讨了建立和完善风洞试验标模体系的一些问题,意在为国内风洞和试验技术发展提供参考。     

基于GPS驯服铷钟的频率校准系统设计

定期对GNSS接收机的外部频率源进行校准是保证定位精度的重要措施。介绍了GPS驯服铷 钟频率校准系统的工作原理和硬件组成,通过频率校准实验验证了该系统达到 了较好的长期频率准确度和短期频率准确度指标要求,保证了被校准频率源的精确度。     

光电联动单纤维强度测试

本文对单纤维强度测试的通常方法进行了研究,得出单根纤维强度测试过程中,强力和纤维细度并不具有相同的时效性,也就是强力测试和纤维细度没有关联。为了正确描述纤维强力与细度的关联性,引入CCD摄像头对拉伸过程进行照相,测出断裂时纤维的细度,以便能准确表达单纤维拉伸断裂强度。     

高技术产品研发项目技术风险的综合评价——以数码相机研发项目为例

文章以数码相机研发项目为例,提出了基于层次分析法与模糊综合评判法的高技术产品研发项目技术风险的综合评价方法,利用研发项目的工作分解结构对数码相机研发项目的风险进行了识别,制定了风险发生概率与影响程度的评分标准,并对数码相机研发项目的风险进行了综合评价和分析。