Simulating the Evolution of the Implied Distribution

Motivated by the implied stochastic volatility literature (Britten–Jones and Neuberger, forthcoming; Derman and Kani, 1997; Ledoit and Santa–Clara, 1998) this paper proposes a new and general method for constructing smile–consistent stochastic volatility models. The method is developed by recognising that option pricing and hedging can be accomplished via the simulation of the implied risk neutral distribution. We devise an algorithm for the simulation of the implied distribution, when the first two moments change over time. The algorithm can be implemented easily, and it is based on an economic interpretation of the concept of mixture of distributions. It can also be generalised to cases where more complicated forms for the mixture are assumed.     

灵芝菌合剂促进沙土鼠脑缺血再灌注后学习记忆及海马神经保护

目的：以沙土鼠脑缺血再灌注模型为研究对象,观察分析灵芝菌合剂对脑缺血记忆能力影响及海马神经的保护作用。方法：取健康成年清洁级蒙古沙土鼠70只,体重（65±10）g,雌雄不分,随机分为4组。（1）假手术组：10只,作颈总动脉分离手术,不做颈总动脉夹闭手术。（2）对照组：20只,脑缺血手术后分别给予同药物剂量的生理盐水,没有任何其它干预措施,于脑缺血再灌注术后3天及10天各处死10只沙土鼠。（3）预防组：20只,其中10只沙土鼠预防性应用灵芝菌合剂200ml·kg^-1·d^-1共10天,术后继续用药10天;另外10只照此剂量预防用药3天,术后继续用药3天,与对照组同一时间处死取材。（4）治疗组,20只,手术完毕当时按照以上同样剂量灌胃给药治疗3天10只,治疗10天10只,每天一次,与对照组同一时间处死取材。所有沙土鼠在脑缺血再灌注手术3天前、手术后进行跳台训练实验,进行记忆测量。其中5只沙土鼠的后脑部分制成石蜡切片,5只沙土鼠的后脑部分做成冰冻切片。结果：跳台实验显示预防组、治疗组与假手术组两两比较有显著性差异（P〈0．01）,尼氏小体染色显示海马CA1神经细胞凋亡有显著性差异。结论：灵芝菌合剂能改善脑缺血再灌注沙土鼠的记忆功能,对海马CA1区神经细胞有保护作用。     

Prediction of the next hypercalcemia free period: application of random effect models with selection on first event

The length of repeated hypercalcemia free periods of patients with bone metastasis of breast cancer with at least one hypercalcemic event was modelled according to a generalized linear mixed model formulated in terms of transition probabilities and according to a latent variable model. In the former case the periods were assumed to be lognormally distributed with two variance components (patients and residue). In the latter case the conditional intensity given a patient was assumed to be the intensity of the Weibull distribution, while the random patient effect (frailty) was assumed to be drawn from a gamma distribution. In both cases the selection of only patients with at least one hypercalcemic event was taken into consideration. In both models the variance of the patient effect turned out to be negligible. For the second and later periods the Weibull appeared to fit better than the lognormal model. For the first period there was almost no information available.     

浅析影响水稳混合料质量的因素及施工过程中的质量控制

通过对HAL1标的水稳碎石基层的施工,笔者对影响水稳碎石混合料质量的因素及施工过程中的质量控制作了初步的总结。同时从混合料级配、水泥剂量、含水量、压实度、养护及钻芯等几方面,对水稳混合料及施工过程中的质量控制提出了几点建议。     

国外道路建设用沥青新型混合料

历史经验表明,经济危机往往孕育着新的科技革命。正是科技上的重大突破和创新,推动经济结构的重大调整,提供新的增长引擎,使经济重新恢复平衡并提升到更高水平。道路建设中的沥青新型材料就是在科技的引领下,不断推陈逝新。     

Natural resources and international labour mobility

We study the relationship between natural resource wealth and (skilled and unskilled) emigration. The source data for international migration rates come from Brücker, Capuano, and Marfouk (2013) and measures of resource wealth from the World Bank database. We find that natural resource abundance reduces skilled emigration regardless of countries’ natural wealth, but that natural resources reduce unskilled emigration only in resource-rich countries.     

Cox Point Processes: Why One Realisation Is Not Enough

We review a rich class of point process models, Cox point processes, and illustrate the necessity of more than one observation (point patterns) in performing parameter estimation. Furthermore, we introduce a new Cox point process model by treating the intensity function of the underlying Poisson point process as a random mixture of normal components. The behaviour and performance of the new model are compared with those of popular Cox point process models. The new model is exemplified with an application that involves a single point pattern corresponding to earthquake events in California, USA.     

Estimation of the scale matrix of a multivariate t-model under entropy loss

This paper deals with the estimation of the scale matrix of a multivariatet-model with unknown location vector and scale matrix to improve upon the usual estimators based on the sample sum of product matrix. The well-known results of the estimation of the scale matrix of the multivariate normal model under the assumption of entropy loss function have been generalized to that of a multivariatet-model. The paper is based on the first author’s unpublished Ph.D. dissertation ‘Estimation of the Scale Matrix of a Multivariate T-model’, University of Western Ontario, Canada. Present address: School of Mathematics and Statistics, The University of Sydney, NSW 2006, Australia.     

Controlling for Burnout in Estimating Mortgage Prepayment Models

Burnout is a consequence of unobservable predictive variables. This paper describes a methodology for estimating mortgage prepayment models which corrects for burnout. The paper generalizes the approach of Deng, Quigley, and Van Order (Econometrica, 68, 275–307, 1998) and Stanton (Rev. Finan. Stud.8, 677–708, 1995) in modeling the impact of unobservable variables as a probability distribution. The estimator is applied to a sample of loan histories and the results compared to a conventional logit analysis of the data. Predictions and simulations from both models are compared to illustrate the properties of the new estimator.     

浅谈高等美术教育与人文知识教育的融合

人文知识教育是高等美术教育不可或缺的重要组成部分。实现人文知识教育与高等美术教育的融合,一要对渗透的人文知识加强遴选;二要发挥学生的主观能动作用;三要提高专业教师的人文素养。