Covariance formulas via marginal martingw

Prenctice and Cai recently introduced and studied the function C defined as the covariance function of the two marginal counting process martingales of a pair of dependent survival times (T₁, T₂ ). They show that the function C together with the marginal distributions determines the joint survival function F of (T₁, T₂ ). In this note we show how the key characterizing equation of Prentice and Cai yields a formula for the covariance of T₁ and T₂ in termsof the marginal mean residual life functions and C. The resulting formula generalizes a formula for the variance of a one-dimensional random variable Tdueto Pyke (1965). We also explore several generalizations of the covariance formula, and obtain a valid k-dimensional version of the Prentice and Cai formula.     

VIX期权定价与校正

VIX期权作为波动率衍生品能为金融机构提供有效的市场风险对冲工具。文献中对VIX期权定价的实证分析误差都很大,原因在于模型的选取误差以及校正方法和样本选取不妥。通过在VIX模型中加入均值回复因素和跳因素,可以使VIX过程更加合理,也可以使VIX期权定价精度更高。通过对VIX期权市场中间报价进行校正,得到了4个文献模型的参数估计,并比较4个模型的定价精度和正向隐含波动率偏斜拟合效果。     

基于GLM的未决赔款准备金评估的随机性链梯法

为度量未决赔款准备金评估结果的波动性,需要研究随机性评估方法。基于GLM的随机性方法,得到准备金估计及预测均方误差。特别地,在过度分散泊松模型中,分别应用参数Bootstrap方法和非参数Bootstrap方法,得到两种方法下未决赔款准备金的预测分布,进而由该分布得到各个分位数以及其它分布度量,并通过精算实务中的数值实例应用R软件加以实证分析。实证结果表明,两种Bootstrap方法得到的参数误差、过程标准差、预测均方误差都与解析表示估计的结果很接近。     

基于格规约辅助的MIMO系统GMD-TH预编码方案

现有的GMD-TH(Geometric Mean Decomposition-Tomlison Harashima)预编码方案在发射 端未对获得MIMO（Multiple-Input-Multiple-Output）信道增益矩阵优化,因而 其误码率和分集增益无法获得令人满意的效果。为此,在原有MIMO系统GMD-TH预编码的基础 上,提出一种基于格规约辅助的GMD-TH预编码方案。该方案采用基于格规约的算法对信道 矩阵进行优化,经过优化的信道矩阵其列向量之间具有更好的正交性并且向量的长度更短, 并且采用优化的信道矩阵提高了GMD-TH预编码MIMO系统的分集增益。仿真结果表明：相比于 传统的线性预编码方案,该预编码方案有效地提高了MIMO分集增益,相同误码率下,信噪 比降低3 dB以上,具有实用价值。     

中国认购权证市场价格偏差的实证研究

随着股权分置改革,中国的A股权证被再次推出,它的诞生丰富了投资者的交易品种,对建立多层次多维度的资本市场发挥了积极的作用.但是中国的A股权证市场仍存在诸多问题,实际价格偏离理论价格的现象司空见惯,其交易品种与交易规模不对称的现象也一直伴随着A股权证市场的发展.基于业内与学术界对A股权证价格偏差的困惑,本文利用混合回归模型和面板数据模型的实证方法,对认购权证市场价格偏差的研究发现,投资者对认购权证的频繁操作和投机炒作是导致价格偏差的重要原因,并且认购权证的创设制度对于抑制价格偏差的作用非常有限.此外,本文结合研究的实证结果,从创新A股权证产品和完善市场交易制度的角度,提出了完善和发展中国A股权证市场的政策建议.     

Some Properties of Past Entropy and their Applications

In the context of information theory, measure of uncertainty in past lifetime distribution has been proposed by Di Crescenzo and Longobardi (J Appl Probab 39:434–440, 2002). In this paper, we study some ordering and aging properties in terms of past entropy (based on past lifetime) and develop some characterization results. Some discrete distribution results are also addressed here.     

一种适用于强脉冲噪声下的对数型恒模盲均衡算法

针对脉冲噪声下恒模算法(Constant Modulus Algorithm,CMA)失败的问题,通过分析脉冲噪声的影响,提出了一种基于最小均方（Least Mean Square,LMS）准则的对数型恒模算法（Logarithmic-type CMA,LT-CMA）。LT-CMA利用对数函数的非线性变换特性自适应地抑制强脉冲噪声对误差函数的影响,并且利用l2-范数进行信号归一化处理以增强算法的稳健性。仿真结果表明,所提出的LT-CMA可以适应于高斯噪声环境和脉冲噪声环境;与经典自适应均衡算法相比,在收敛速度和稳健性两方面上,所提出的LT-CMA都有显著的提升。     

Linear programing models for portfolio optimization using a benchmark

We consider the problem of constructing a perturbed portfolio by utilizing a benchmark portfolio. We propose two computationally efficient portfolio optimization models, the mean-absolute deviation risk and the Dantzig-type, which can be solved using linear programing. These portfolio models push the existing benchmark toward the efficient frontier through sparse and stable asset selection. We implement these models on two benchmarks, a market index and the equally-weighted portfolio. We carry out an extensive out-of-sample analysis with 11 empirical datasets and simulated data. The proposed portfolios outperform the benchmark portfolio in various performance measures, including the mean return and Sharpe ratio.     

Generalized affine transform on pricing quanto range accrual note

This paper was to price and hedge a quanto floating range accrual note (QFRAN) by an affine term structure model with affine-jump processes. We first generalized the affine transform proposed by Duffie et al. (2000) under both the domestic and foreign risk-neutral measures with a change of measure, which provides a flexible structure to value quanto derivatives. Then, we provided semi-analytic pricing and hedging solutions for QFRAN under a four-factor affine-jump model with the stochastic mean, stochastic volatility, and jumps. The numerical results demonstrated that both the common and local factors significantly affect the value and hedging strategy of QFRAN. Notably,  the factor of stochastic mean plays the most important role in either valuation or hedging. This study suggested that ignorance of these factors in a term-structure model will result in significant pricing and hedging errors in QFRAN. In summary, this study provided flexible and easily implementable solutions in valuing quanto derivatives.