语用套语的文化与情境语境习得的调查分析

语用套语的文化与情境语境对于语用套语的正确使用具有重要作用。不同语言水平的学习者虽然在主观上认识到其重要性,并认为课堂教学仍然是获取现有相关知识的主要渠道。但这部分信息的课堂输入的数量和质量不尽如人意,所以教师应该根据语用套语的文化与情境语境的性质和课堂教学的特点,深化语用套语的教学。     

命题公式主析范式的自动生成系统

目前人工智能的发展已经非常迅速,而且会越来越普及到我们的生活中。人工智能的发展离不开数理逻辑,命题逻辑是数理逻辑中重要部分,本文介绍了命题公式主析取范式及主合取范式的自动生成系统的开发、设计与实现过程。     

基尼系数调整方法的进一步研究

基尼系数是衡量收入分配差距的常用指标。但是,同样的基尼系数却可能对应着不同的洛伦茨曲线。从低收入群体理应更加受到关注的角度出发,有必要对基尼系数进行调整。如果根据苍玉权《论基尼系数的局限及调整》一文的基础,找出有关基尼系数调整公式的不足之处,就能提出相应的改进办法。     

小议半波损失问题

从菲涅耳公式出发,讨论半波损失问题。就前人发表的文章和教科书阐明该问题,以便更好的服务教学。     

Valuation of American options under the CGMY model

In the present work, we concentrate on the analytical study of American options under the CGMY process. The decomposition formula of the American option and the integral equation for the optimal-exercise boundary are established in explicit forms. Moreover, an analytical approximation formula is obtained for the American value. This approximation is valid when time to maturity is either very short or very long. Numerical simulations are provided for European options, optimal-exercise prices and approximate values for American options.     

损益表的数据处理之设计与实现

文中以VF(visual foxpro)为数据库管理系统,分析与探讨了损益表的设计与实现的基本原理,并提供了相应的程序代码。     

On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

In this paper, we propose a general technique to develop first- and second-order closed-form approximation formulas for short-maturity options with random strikes. Our method is based on a change of numeraire and on Malliavin calculus techniques, which allow us to study the corresponding short-maturity implied volatility skew and to obtain simple closed-form approximation formulas depending on the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches for two-asset and three-asset spread options such as Kirk’s formula or the decomposition method presented in Alòs et al. [Energy Risk, 2011, 9, 52–57]. This methodology is not model-dependent, and it can be applied to the case of random interest rates and volatilities.     

Back to the roots of the M/D/s queue and the works of Erlang, Crommelin and Pollaczek

A.K. Erlang introduced the M/D/ s queue in 1917, while F. Pollaczek and C.D. Crommelin formalized the theory using complex analysis and transforms. Let D ( s , λ ) denote the stationary probability of experiencing no waiting time in the M/D/ s queue with arrival rate λ and service requirement 1. We use D ( s , λ ) as a vehicle to give an overview of some of the results we obtained over the last years, including explicit characterizations of the roots, the derivation of infinite series from expressions in terms of roots using Fourier sampling and heavy-traffic limits obtained from square-root staffing. We propose to call D ( s , λ ) the Erlang D formula, for which several new results are presented and compared with the results of Pollaczek.     

Step Options

Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: step options . They are parametrized by a finite knock‐out (knock‐in) rate , ρ. For a down‐and‐out step option, its payoff at expiration is defined as the payoff of an otherwise identical vanilla option discounted by the knock‐out factor exp(-ρτ_B^‐) or max(1‐ρτ^-B,0), where &\tau;_B^‐ is the total time during the contract life that the underlying price was lower than a prespecified barrier level ( occupation time ). We derive closed‐form pricing formulas for step options with any knock‐out rate in the range $[0,∞). For any finite knock‐out rate both the step option's value and delta are continuous functions of the underlying price at the barrier. As a result, they can be continuously hedged by trading the underlying asset and borrowing. Their risk management properties make step options attractive "no‐regrets" alternatives to standard barrier options. As a by‐product, we derive a dynamic almost‐replicating trading strategy for standard barrier options by considering a replicating strategy for a step option with high but finite knock‐out rate. Finally, a general class of derivatives contingent on occupation times is considered and closed‐form pricing formulas are derived.