基于产出冲击的国际储备需求的跨期均衡分析——真实经济的视角

与现有研究相比,文章从真实经济的角度构造了一个简单的基于代表行为人的跨期均衡模型,探讨基于产出冲击和消费平滑的主动性储备需求的决定。研究表明:主动性储备需求与产出冲击发生的概率、产出冲击大小、代表行为人的相对风险厌恶系数以及代表行为人的主观贴现率呈正向关系,与经济增长速度呈反向关系,而与储备资产的相对价格呈现出非线性的关系。通过数值模拟发现,我国主动性储备约占2007年GDP的6%(相当于我国2007年底国际储备的12%),说明我国近年来增加的国际储备存在较大的被动持有部分,目前的国际储备持有额已经从一定程度上脱离了实体经济的基本需求。因此,除紧缩的货币政策外,我国政府还需要进一步运用汇率政策、贸易政策以及其他干预政策直接降低被动国际储备额。     

互感器校验仪简介

互感器校验仪作为检定电流电压互感器的重要设备在我国得到广泛的应用。随着科学技术的发展,互感器校验仪朝着数字化、自动化方向发展。本文从不同的角度,对互感器校验仪进行分类,同时提出相应的政策建议,为推广和使用互感器校验仪奠定基础。     

基于圆和圆环点的摄像机线性标定

本文提出了一种基于圆和圆环点的线性自标定方法。该方法的平面模板要求圆内有3组两两正交的直径,从3个或多个不同的方位摄取平面圆模板的图像。根据射影几何调和共轭和交比不变的性质,求出6条直径灭点的坐标。由3组两两正交的直径和拉盖尔定理的推论解出圆环点的图像坐标。利用圆环点的性质得到关于内参数的约束方程,从而线性的求出摄像机的5个内参数。模拟和真实图像实验表明,该方法精确度较高,鲁棒性较强,有一定的实用性。     

高压禁油数字压力计检定方法的探讨

阐述了在检定数字压力计时遇到的一种高压禁油数字压力计,这种压力计准确度高（±0．1％）、测量范围大（0—10MPa）,在检定时必须禁止和任何有油物质接触。现用常规检定标准器有数字压力发生器（准确度±0．01％,测量范围-0．1～314MPa）和一等活塞式压力计（准确度±0．02％,测量范围0～60MPa）两种。一等活塞式压力计使用的工作介质是蓖麻油,是检定二等活塞式压力计专用的标准器,受地区重力加速度的影响输出的压力值也不是整数,所有标准器都不能满足这种数字压力计的检定条件,而建立一套满足该检定条件的标准装置投资成本较高。通过实验、研究、分析,摸索出一种用一等活塞式压力计检定这种高压禁油数字压力计的方法。     

关税升级与中国汽车产业发展——基于空间经济学的经验研究

本文利用中国与主要汽车生产国的汽车产业有关数据,在一个关税升级体系下垄断竞争产业发展模型的基础上,运用校准法进行了初步的经验研究。与以往汽车产业贸易政策基于寡占市场结构的经验研究不同,本文试图在垄断竞争市场结构下考察关税升级对中国汽车产业发展趋势的影响。研究表明,集合主要汽车生产国的数据后,汽车产业具有集聚发展的倾向,而我国目前较高程度的关税升级体系在其他条件不变的情况下,能够降低汽车产业实现大发展的临界条件。     

工作用玻璃液体温度计检定注意事项

在温度计的检定过程中,温度计插入恒温槽中不垂直、读数不准确等因素都将给检定结果带来较大的误差,从6个方面讲述了检定过程中需注意的事项,并提出了相应的解决方法,从而减小了温度计的测量误差,提高了测量准确度。     

Dynamic programming for valuing American options under a variance-gamma process

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processes, such as the variance-gamma (VG) model. In this setting, explicit solutions for derivative prices are unavailable, for instance, for the valuation of American options. We propose a dynamic programming approach coupled with finite elements for valuing American-style options under an extended VG model. Our numerical experiments confirm the convergence and show the efficiency of the proposed methodology. We also conduct a numerical investigation that focuses on American options on S&P 500 futures contracts.     

Existence of a calibrated regime switching local volatility model

By Gyöngy's theorem, a local and stochastic volatility model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility (LV) function is equal to the ratio of the Dupire LV function over the root conditional mean square of the stochastic volatility factor given the spot value. This leads to a stochastic differential equation (SDE) nonlinear in the sense of McKean. Particle methods based on a kernel approximation of the conditional expectation, as presented in Guyon and Henry‐Labordère [Risk Magazine, 25, 92–97], provide an efficient calibration procedure even if some calibration errors may appear when the range of the stochastic volatility factor is very large. But so far, no global existence result is available for the SDE nonlinear in the sense of McKean. When the stochastic volatility factor is a jump process taking finitely many values and with jump intensities depending on the spot level, we prove existence of a solution to the associated Fokker–Planck equation under the condition that the range of the squared stochastic volatility factor is not too large. We then deduce existence to the calibrated model by extending the results in Figalli [Journal of Functional Analysis, 254(1), 109–153].     

Logarithmic calibration for multiplicative distortion measurement errors regression models

In this article, we propose a new identifiability condition by using the logarithmic calibration for the distortion measurement error models, where neither the response variable nor the covariates can be directly observed but are measured with multiplicative measurement errors. Under the logarithmic calibration, the direct-plug-in estimators of parameters and empirical likelihood based confidence intervals are proposed, and we studied the asymptotic properties of the proposed estimators. For the hypothesis testing of parameter, a restricted estimator under the null hypothesis and a test statistic are proposed. The asymptotic properties for the restricted estimator and test statistic are established. Simulation studies demonstrate the performance of the proposed procedure and a real example is analyzed to illustrate its practical usage.     

COS method for option pricing under a regime-switching model with time-changed Lévy processes

We extend the regime-switching model to the rich class of time-changed Lévy processes and use the Fourier cosine expansion (COS) method to price several options under the resulting models. The extension of the COS method to price under the regime-switching model is not straightforward because it requires the evaluation of the characteristic function which is based on a matrix exponentiation which is not an easy task. For a two-state economy, we give an analytical expression for computing this matrix exponential, and for more than two states, we use the Carathéodory–Fejér approximation to find the option prices efficiently. In the new framework developed here, it is possible to allow switches not only in the model parameters as is commonly done in literature, but we can also completely switch among various popular financial models under different regimes without any additional computational cost. Calibration of the different regime-switching models with real market data shows that the best models are the regime-switching time-changed Lévy models. As expected by the error analysis, the COS method converges exponentially and thus outperforms all other numerical methods that have been proposed so far.