PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION1

This paper derives a closed-form solutin for the price of the European and semi-Amirican callable bond for two popular one-factor models of the term structure of interest rates which have been proposed by Vasicek as well as Cox, Ingersoll, and Ross. the price is derived by means of repeated use of Green's function, which, in turn, is derived from a series solution of the partial differential equation to value a discount bond. the boundary conditions which lead to the well-known formulae for the price of a discount bond are also identified. the algorithm to implement the explicit solution relies on numerical quadrature involving Green's function. It offers both higher accuracy and higher speed of computation than finite difference methods, which suffer from numerical instabilites due to discontinuous boundary values. For suitably small time steps, the proposed algorithm can also be applied to American callable bonds or to any American-type option with Green's function being explicitly known.     

海上遇险搜救综合通信系统的设计与实现

为了提高我国海上搜救应急反应的调度、指挥能力,利用现代通信、计算机、计算机 电信合成（CTI）等技术,实现了海上遇险搜救综合通信系统。该系统采用程控调度交换和 无线电台适配的方案,使用无线电台适配器将无线通信转换为有线通信,再通过程控交换机 将各级海上搜救中各类卫星、语音电话、视频系统等异构终端综合互联,实现有线通信系统 与无线通信系统的无缝连接,从而为值班和搜救指挥人员提供专业、便捷的通信、操作手段 ,提高指挥判断的准确性和效率。     

销售电价政策性调整模型及其分析

销售电价改革呼声日涨,销售电价由市场决定是改革的最终目标,考虑到我国实际情况及电力行业作为国民经济的基础,实现销售电价由政府管制状态向市场化的平稳过渡是改革成功的关键。本文从电价制定者的角度出发,考虑基础产业价格的敏感性与社会福利最大化,设计出基于非线性规划理论和最优控制理论的销售电价静、动态调整模型,使用Kuhn—Tucker定理和Hamilton方法求解模型并给出仿真算例。结果表明：本文设计的静、动态调整模型均能实现电价有效平稳过渡,而基于最优控制的动态调整策略更能有效利用电力资源和充分增加社会整体福利。     

压水堆下腔室水力特性数值研究

为了分析压水堆下腔室的工水力特性,以流体计算软件FLUENT为工具,以秦山二期压水堆电站作为研究对象,对其下腔室进行了数值模拟。在下腔室计算过程中,建立了相关的几何模型,并且对几何模型进行网格划分;湍流模型主要采用了标准k-ε模型进行模拟计算。结果表明,下腔室出口速度分布满足从中心至边缘依次递减的的规律;下腔室所受最大压力主要出现在两块支撑块及其附近壁面处。所获得的研究成果可为核电厂的设计、优化和运行管理提供指导。     

When and why do countries break their national fiscal rules?

This paper identifies determinants of compliance with various types of national numerical fiscal rules. Based on 51 fiscal rules in force in EU member states from 1995 to 2015, the analysis identifies determinants among specific rule characteristics and their fiscal frameworks, as well as their political, (socio-)economic and supranational environments. While the average compliance across all rules and countries is around 50%, compliance with rules constraining stock (rather than flow) variables, set out in coalitional agreements, as well as rules covering larger parts of general government finances is significantly higher. Furthermore, independent monitoring and enforcement bodies (issuing real-time alerts) turn out to be significantly associated with a higher probability of compliance. Several theories of the deficit bias of governments due to government fragmentation, decentralization and political budget cycles are also significant with regards to compliance with fiscal rules. However, neither the economic environment or business cycle, nor forecast errors (except for an unexpectedly higher primary balance) on average seem to play a significant role.     

双离合自动变速器电控电动换挡执行机构仿真优化与试验对比

为了提高双离合变速器在车辆上的换挡品质,提升电气化换挡执行机构的工作效率,给出执行机构性能与换挡品质评价准则;通过两种不同双离合变速器电控电动执行机构的工作原理与性能分析,基于MATLAB数值仿真方法优化出最高效率进行试验.基于车辆6个维度的换挡工况对二者所搭载的变速器分别进行试验与CAN线数据采集,对比研究两种机构优缺点,通过雷达图的方式进行优劣说明.结果表明,两种执行机构传动效率可达70％且换挡品质相当.可见Tip in tip out工况对二者要求最为严格.     

Do not swipe the small stuff: A randomized evaluation of rules of thumb-based financial education

We perform the first rigorous test of a rules of thumb-based approach to financial education on consumer behavior and outcomes. We test two rules of thumb that are targeted at reducing credit card revolving and deliver them in a randomized fashion via e-mail, online banner, and physical mailer. Using monthly administrative data and pre and postintervention credit data on almost 14,000 consumers, we find that the “Do not swipe the small stuff” rule of thumb reduces participants' targeted credit card balance by an average of 2% at a cost of around $0.50 per person. The “Credit keeps charging” rule shows a decline as well but the impact is not significant.     

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes

Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains information that is relevant from a risk management perspective. Expressions for the EDPF are now available for a wide range of models, in particular for a general class of Lévy risk processes. Yet, in order to capitalize on this potential for applications, these expressions must be computationally tractable enough as to allow for the evaluation of associated risk measures such as Value at Risk (VaR) or Conditional Value at Risk (CVaR). Most of the models studied so far offer few interesting examples for which computation of the associated EDPF can be carried out to the last instances where evaluation of risk measures is possible. Another drawback of existing examples is that the expressions are available for an infinite-time horizon EDPF only. Yet, realistic applications would require the computation of an EDPF over a finite-time horizon. In this paper we address these two issues by studying examples of risk processes for which numerical evaluation of the EDPF can be readily implemented. These examples are based on the recently introduced meromorphic processes, including the beta and theta families of Lévy processes, whose construction is tailor-made for computational ease. We provide expressions for the EDPF associated with these processes and we discuss in detail how a finite-time horizon EDPF can be computed for these families. We also provide numerical examples for different choices of parameters in order to illustrate how ruin-based risk measures can be computed for these families of Lévy risk processes.     

Media heterogeneity and post‐earnings announcement drift: evidence from China

This paper examines how the Chinese stock market acts differently towards state‐controlled and market‐oriented media coverage. Using a setting of post‐earnings announcement drift, we find that information from state‐controlled media enters the stock price in a timelier manner, while the message from market‐oriented media needs more time to get a response from investors. The effect is also influenced by whether the type of news coverage is good or bad. Our findings suggest that the capital market underreacts when good news is reported by the market‐oriented media.     

风机锚杆松弛对基础局压混凝土疲劳损伤的影响分析

为了对特定状态下风机构件疲劳损伤发展进行有效评估,以维持风机平稳运转,通过ABAQUS有限元软件建立起风机基础精细化整体模型,对锚杆松弛发育过程进行模拟,探究了疲劳荷载工况下局压混凝土的应力分布与变化规律,并采用德国劳埃德船级社推荐规范（GL）中混凝土疲劳计算方法对局压混凝土热点开展了疲劳寿命评估。结果表明：1）风机锚杆松弛会影响局压混凝土的应力分布,背风侧混凝土应力集中会更加突出,且应力会随着锚杆松弛加剧而同步增大,因此可将背风侧混凝土的受力情况作为锚杆松弛程度的判断依据;2）综合参考风机结构混凝土疲劳抗压强度设计值和疲劳寿命期望值2项指标评判后显示,锚杆松弛达到8%时,局压混凝土极有可能发生压碎失效,应当及时对松弛锚杆复加预紧力,避免锚杆松弛恶化发展。研究得到的锚杆松弛下风机基础局压混凝土的疲劳损伤规律,可为其在实际工程中的安全运维提供数据支撑。