生产能力评估与风险管理协同策略探索

围绕当前多品种、小批量、高离散型的生产结构模式,展开生产能力动态评估及风险管控策略研究。解决了传统计划管理中存在风险问题,提前对风险进行识别和评估,并对识别出来的风险制定相应的应对预案,解决了关键重点环节的资源冲突,有力地保障生产计划的顺利执行。     

Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets

This paper studies alternative distributions for the size of price jumps in the S&P 500 index. We introduce a range of new jump-diffusion models and extend popular double-jump specifications that have become ubiquitous in the finance literature. The dynamic properties of these models are tested on both a long time series of S&P 500 returns and a large sample of European vanilla option prices. We discuss the in- and out-of-sample option pricing performance and provide detailed evidence of jump risk premia. Models with double-gamma jump size distributions are found to outperform benchmark models with normally distributed jump sizes.     

Calibration to American options: numerical investigation of the de-Americanization method

American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation methods. We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and enjoys fast run-times (compared to a direct calibration to American options). Since it is based on ad hoc simplifications, however, theoretical results guaranteeing reliability are not available. To quantify the resulting methodological risk, we empirically test the performance of the de-Americanization method for calibration. We classify the scenarios in which de-Americanization performs very well. However, we also identify the cases where de-Americanization oversimplifies and can result in large errors.     

一种EMI电流探头的校准方法

对电流探头进行校准，准确地将探头的转换因子定标，是保证EMC检测中多个项目质量的必要条件。在对EMI电流探头的现状进行介绍的基础上，提出了用微波网络分析仪校准电流探头的方法。该方法具有准确、便捷及自动描绘结果曲线的优点。     

CBERS-2 CCD遥感图像辐射校正技术

在对CBERS-2卫星CCD遥感图像辐射校正技术进行深入研究的基础上,给出了图像的0级预处理、传感器标定、大气辐射校正、照度校正等技术方法。在0级图像预处理方面,提出了利用测试数据来解决拼接区的辐射失真问题,并提出一种新的条纹检测技术;传感器的标校方面,讨论了底电平和非均匀性的消除方法;大气辐射校正采用回归分析法和直方图法;给出了太阳高度和地形坡度的照度校正方法与技术。     

一种改进的射频相位校准方法

根据微差变频移相原理,提出了一种射频相位校准的新方法.该新方法采用固定电长度,微小改变信号频率实现移相的新途径对射频相位进行校准.理论分析和实测结果证明,此新方法能提高射频相位的校准准确度,在实际工作中有一定的实用性.     

Approximate confidence and tolerance limits for the discrete Pareto distribution for characterizing extremes in count data

Statistical tolerance intervals for discrete distributions are widely employed for assessing the magnitude of discrete characteristics of interest in applications like quality control, environmental monitoring, and the validation of medical devices. For such data problems, characterizing extreme counts or outliers is also of considerable interest. These applications typically use traditional discrete distributions, like the Poisson, binomial, and negative binomial. The discrete Pareto distribution is an alternative yet flexible model for count data that are heavily right‐skewed. Our contribution is the development of statistical tolerance limits for the discrete Pareto distribution as a strategy for characterizing the extremeness of observed counts in the tail. We discuss the coverage probabilities of our procedure in the broader context of known coverage issues for statistical intervals for discrete distributions. We address this issue by applying a bootstrap calibration to the confidence level of the asymptotic confidence interval for the discrete Pareto distribution's parameter. We illustrate our procedure on a dataset involving cyst formation in mice kidneys.     

Design-based or Prediction-based Inference? Stratified Random vs Stratified Balanced Sampling

Early survey statisticians faced a puzzling choice between randomized sampling and purposive selection but, by the early 1950s, Neyman's design-based or randomization approach had become generally accepted as standard. It remained virtually unchallenged until the early 1970s, when Royall and his co-authors produced an alternative approach based on statistical modelling. This revived the old idea of purposive selection, under the new name of “balanced sampling”. Suppose that the sampling strategy to be used for a particular survey is required to involve both a stratified sampling design and the classical ratio estimator, but that, within each stratum, a choice is allowed between simple random sampling and simple balanced sampling; then which should the survey statistician choose? The balanced sampling strategy appears preferable in terms of robustness and efficiency, but the randomized design has certain countervailing advantages. These include the simplicity of the selection process and an established public acceptance that randomization is “fair”. It transpires that nearly all the advantages of both schemes can be secured if simple random samples are selected within each stratum and a generalized regression estimator is used instead of the classical ratio estimator.     

Uncertainty and switching in the mortgage market

We examine when it might be optimal for borrowers to switch providers of debt products such as their mortgage, allowing in particular for the role of uncertainty by constructing a stylized real options model of the decision problem involved. We illustrate with numerical examples, and then calibrate the model for the UK mortgage market for the period October 1998 to March 2005; significant magnitudes of trigger levels can arise even when standard switching costs are zero, providing an additional, risk-related explanation to the inertia commonly observed in borrowers' product choices.     

How well do classical credit risk pricing models fit swap transaction data?

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in theoretical credit risk analysis. We compare the model's analytical results to actual transaction data thanks to a unique academic database on swap transaction data.