中国建成区绿地率区域差异的多尺度分析

建成区绿地率区域差异具有显著的尺度依赖性,基于多尺度视角对其进行分析、综合研判不同尺度间关系,可更确切且全面地揭示其特征,为探寻最佳研究尺度,以及制定兼具差异化和协调性的城市绿地建设决策提供科学依据。综合运用标准差、变异系数、锡尔指数和尺度方差等方法,将地带、省、市3个尺度纳入统一的分析框架,探究1996—2015年中国建成区绿地率区域差异。1)差异测度研究表明,自1996年以来,我国建成区绿地率区域差异在3个尺度上长期存在,均呈现缩小趋势,并表现出明显的尺度效应。2)尺度方差分解结果显示,建成区绿地率尺度方差及构成由大到小依次为市级、省级、地带级,即尺度越小,其尺度方差越大,对区域差异的贡献份额越大。     

Hedging performance of multiscale hedge ratios

In this study, the wavelet multiscale model is applied to selected assets to hedge time-dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in-sample and out-of-sample portfolio variances, the wavelet-based generalized autoregressive conditional heteroskedasticity (GARCH) model produces the lowest variances. From a utility standpoint, wavelet networks combined with GARCH have the highest utility. Finally, the wavelet-GARCH model has the lowest minimum capital risk requirements. Overall, the wavelet GARCH and wavelet networks offer improvements over traditional hedging models.     

面向对象的遥感影像水田信息提取方法研究

由于自然灾害的影响,部分地区的水田缺水无法种植水稻,对水田信息的提取不再只是对种植的水稻提取,因此从高分辨率遥感影像中提取水田信息具有非常重要的作用和意义。本文将水田分为有庄稼水田、地膜水田和未种植水田,利用面向对象的方法对水田信息进行提取。论文在利用eCongniton软件对影像进行多尺度分割,不同的地类采用不同的分割尺度,采用模糊分类的方法,结合影像的光谱、形状、纹理等特征构建水田特征知识库对水田信息进行提取。实验结果表明利用面向对象的方法对水田信息提取有良好的效果。     

Equity-linked annuities with multiscale hybrid stochastic and local volatility

In recent times, hybrid underlying models have become an industry standard for the pricing of derivatives and other problems in finance. This paper chooses a hybrid stochastic and local volatility model to evaluate an equity-linked annuity (ELA), which is a sort of tax-deferred annuity whose credited interest is linked to an equity index. The stochastic volatility component of the hybrid model is driven by a fast mean-reverting diffusion process while the local volatility component is given by the constant elasticity of variance (CEV) model. Since contracts of the ELA usually have long maturities over 10 years, a slowly moving factor in the stochastic volatility of stock index is expected to play a significant role in the valuation of the ELA, and thus, it is added to the aforementioned model. Based on this multiscale hybrid model, an analytic approximate formula is obtained for the price of a European option in terms of the CEV probability density function and then the result is applied to the value of the point-to-point ELA. The formula leads to the dependence structure of the ELA price on the fast and slow scale stochastic volatility and the elasticity of variance.     

自动制图综合在网络地图中的设计与应用

计算机网络的高速发展,产生了为大家提供便利的网络电子地图,地图综合是与地图分不开的,所以网络电子地图的更新、综合工作也必不可少。本文依据传统地图的更新、综合原则与方法,以目前网络使用率较高的网络电子地图为研究对象,对网络电子地图的综合方法进行设计与研究。     

A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a risk neutral model that matches a set of observed market prices. This risk neutral model can then be used to price more exotic, illiquid, or over‐the‐counter derivatives. We observe that our model matches the equity option implied volatility surface well since we properly account for the default risk in the implied volatility surface. We demonstrate the importance of accounting for the default risk and stochastic interest rate in equity option pricing by comparing our results to Fouque et al., which only accounts for stochastic volatility.     

江苏多尺度下城乡收入差距时空演变及影响因素

采用变异系数、泰尔指数、探索性空间分析和空间计量回归等方法，从市级、县级两个尺度分析2010—2020年江苏省城乡收入差距时空演变特征及影响因素。结果显示：2010—2020年江苏省两尺度下城乡收入差距呈缩小趋势，空间上呈现“南高北低”分布特征；县级尺度空间集聚特征明显，局部空间关联以“L-L（低-低）”和“H-H（高-高）”占主导，且空间集聚程度逐步增强；农业现代化、公共服务、居民生活水平、对外开放程度是影响江苏县域城乡收入差距的重要因素。     

人民币兑其他四种主要货币汇率的多标度交叉相关性研究

外汇市场中各汇率之间的相关性一直受到学术界的热切关注。通过多标度消除趋势波动分析和多标度消除趋势交叉相关性分析,对人民币兑其他四种主要货币汇率的多标度自相关性和交叉相关性进行了研究。发现人民币兑美元汇率的自相关性较强,人民币兑韩元汇率的自相关性较弱。以人民币作为基础货币,人民币兑美元和人民币兑欧元汇率的交叉相关性较强,人民币兑美元和人民币兑日元的交叉相关性较弱。