LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS

This paper pursues the role of Laguerre series in the explicit valuation of contingent claims in general and Asian options in particular. Motivated by Dufresne (2000) , we study how they permit one to reduce these questions to computing moments. Two alternative such Laguerre reduction approaches are proposed and analyzed. Sufficient conditions for their validity are developed as a further novel feature; these are in terms of local growth measures for the payoff functions and the densities that the paper introduces for this purpose. Our methods are exemplified by considering the benchmark valuation of Asian options. Our explicit formulas for the negative moments of the integral of geometric Brownian motion in terms of theta functions are instrumental here. They have been derived in Schröder (2003c) building on work of Dufresne (2000) , and this paper now finally develops their pertinent computational aspects.     

滚齿加工误差分析与检验组(之二)Ⅱ.齿轮的径向误差与检验项目

本文是“滚齿加工误差分析与检验组”一文的第二部分。这部分的主要内容是分析与研究滚齿加工时产生径向误差(亦称几何偏心)的原因,径向误差的合成方法、特征,径向误差与检验项目的关系、数学模型、几何意义。     

Multivariate geometric expectiles

A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They are well behaved under common data transformations and the corresponding sample version is shown to be a consistent estimator. We exemplify their usage as risk measures in a number of multivariate settings, highlighting the influence of varying margins and dependence structures.     

Lexicographic composition of simple games

Certain voting bodies can be modeled as a simple game where a coalition's winning depends on whether it wins, blocks or loses in two smaller simple games. There are essentially five such ways to combine two proper games into a proper game. The most decisive is the lexicographic rule, where a coalition must either win in G₁, or block in G₁ and win in G₂. When two isomorphic games are combined lexicographically, a given role for a player confers equal or more power when held in the first game than the second, if power is assessed by any semi-value. A game is lexicographically separable when the players of the two components partition the whole set. Games with veto players are not separable, and games of two or more players with identical roles are separable only if decisive. Some separable games are egalitarian in that they give players identical roles.     

On finite-time ruin probabilities for classical risk models

Abstract

Generally, the return of premiums without interest or with simple interest is provided for. It might, however, be worth while to notice that less complicated formulre are needed for the return of premiums with compound interest.     

复合型图书馆是信息化时代图书馆的发展方向

传统图书馆与数字图书馆有机整合于一体,建立复合型图书馆,这将有利于整个图书馆事业的发展,并适应信息化时代的需求。本文从图书馆的结合、服务质量、硬件和软件建设等方面分析了复合型图书馆存在的必要性,它将是信息化时代图书馆的发展方向。     

莱索托地区北京一号全色影像几何校正方法研究

研究目的：确定莱索托地区北京一号全色影像几何校正方法。研究方法：基于线阵推扫式模型和投影变换模型的几何校正方法,采用真实的莱索托境内平地、高山地两景北京一号全色影像进行试验。研究结果：基于投影变换模型的莱索托地区北京一号全色影像几何校正方法比基于线阵推扫式模型的几何校正方法具有相当或更高的精度。研究结论：投影变换模型可用于莱索托地区土地利用遥感影像图的制作。     

数控机床空间几何误差识别与检测

分析了国内外误差参数识别的方法,详细介绍了四线法识别和检测数控机床空间几何误差的过程和步骤,通过分析四线法的识别机床误差的工程,进一步识别数控机床空间几何误差的各项误差元素。为后续机床误差补偿提供理论依据。