基于Pro/E的2K-H型周转轮系机构的建模与运动仿真

Pro/E软件建立2K-H型周转轮系机构的实体模型,利用Pro/E的机构运动Mechallism模块,对其进行静、动力学仿真分析,为进一步的设计、制造及工程分析奠定了基础。     

Option pricing for GARCH-type models with generalized hyperbolic innovations

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets being modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function of the state variables, we show that the risk-neutral distribution is unique and again implies a generalized hyperbolic dynamics with changed parameters. We provide an empirical test for our pricing methodology on two data sets of options, respectively written on the French CAC 40 and the American SP 500. Then, using our theoretical result associated with Monte Carlo simulations, we compare this approach with natural competitors in order to test its efficiency. More generally, our empirical investigations analyse the ability of specific parametric innovations to reproduce market prices in the context of an exponential affine specification of the stochastic discount factor.     

仿真软件在电子技术设计型实验中的应用

介绍了仿真软件Proteus的功能及特点,结合电子电路实例阐述了该软件在电子技术设计型实验中的具体应用,及Proteus仿真实验与实际操作实验的优缺点,提出虚-实结合的电子技术设计型实验教学是最佳实验教学模式之一的观点.     

Valuation of a spark spread: an LM6000 power plant

This paper analyzes a power plant powered by two General Electric LM6000 gas turbines combined with a steam generator that allows combined cycle operations. We consider four distinct operating modes for the plant. Such a plant can be characterized as a real option on a spark spread: optimally converting natural gas to electricity. We use a Margrabe approach by using the market heat rate (the ratio of the electricity price to the natural gas price) as our underlying stochastic variable. We estimate a stochastic model for market heat rates that incorporates time of day, day of week, month, and the incidence or otherwise of a spike in heat rates. We use the model and its residuals in a bootstrap process simulating future market heat rates, and use a least-squares Monte Carlo approach to determine the optimal operating policy. We find that the annual average market heat rate is a good explanatory variable for the time integral of the plant operating margin, denominated in the natural gas numeraire. This allows us to express plant values in terms of the numeraire and convert to dollars by multiplying this by the natural gas forward curve and a forward curve of riskless discount rates. We also provide information about the optimal operating modes selected, the number of transitions between modes and how they relate to transition costs and the average heat rate for the year.     

利息拿捏、汇率尺度与抑制我国物价过快上涨的对策选择

2011年和2012年我国会出现CPI涨幅超过5%的通货膨胀现象。2012年以后食品价格下降,CPI涨幅回落,但非食品价格和PPI仍将保持较快上涨态势。人民币名义汇率升值和提高存贷款利率会有效降低物价上涨幅度,但将付出不同程度的经济增速下降代价。在小幅度提息的同时采取人民币名义汇率小幅度渐进升值措施,是抑制物价过快上涨、保持经济较快平稳增长的较佳选择。     

《给排水处理仿真教学软件》的开发与应用

《给排水处理课程仿真教学软件》经过多年的开发成功,在给排水专业主干课程污水处理和给水处理的教学改革中取得了成效,符合高等职业教育教学规律,在社会上取得了良好的声誉。本文对该软件的技术开发与实践效果进行论述。     

Multisim在测控电路教学中的应用

本文先简要介绍了multisim10的特点以及它在《测控电路》课程教学中相对于传统方式的应用优势。通过对典型仪表放大电路的分析,给出了应用multisim10仿真技术对仪表放大器进行形象和生动的仿真和分析的一个实例。该实例表明在《测控电路》课程教学中引入仿真技术既提高了教学效果,降低了学生动手的门槛和高校实验室的投入,又培养了学生的创新意识和设计能力。从实践结果来看,multisim的仿真应用可望在测控电路教学和实验改革中起到较好的效果。     

基于预测模糊的供暖系统控制算法研究

针对复杂的供暖系统中存在的大时滞、大惯性和不确定性,引入预测模糊控制算法对该系统进行调节。预测模糊控制算法是将预测控制和模糊控制两种控制算法优点充分结合的一种控制算法。通过Matlab仿真实验表明,在调节供暖系统中使用预测模糊控制比单纯使用预测控制能够产生更好的调节效果。     

Implications of market microstructure for realized variance measurement

Volatility measuring and estimation based on intra-day high-frequency data has grown in popularity during the last few years. A significant part of the research uses volatility and variance measures based on the sum of squared high-frequency returns. These volatility measures, introduced and mathematically justified in a series of papers by Andersen et al. [1999. (Understanding, optimizing, using and forecasting) realized volatility and correlation. Leonard N. Stern School Finance Department Working Paper Series, 99-061, New York University; 2000a. The distribution of realized exchange rate volatility. Journal of the American Statistical Association 96, no. 453: 42–55; 2000b. Exchange rate returns standardized by realized volatility are (nearly) Gaussian. Multinational Finance Journal 4, no. 3/4: 159–179; 2003. Modeling and forecasting realized volatility. NBER Working Paper Series 8160.] and Andersen et al. 2001a. Modeling and forecasting realized volatility. NBER Working Paper Series 8160., are referred to as ‘realized variance’. From the theory of quadratic variations of diffusions, it is possible to show that realized variance measures, based on sufficiently frequently sampled returns, are error-free volatility estimates. Our objective here is to examine realized variance measures, where well-documented market microstructure effects, such as return autocorrelation and volatility clustering, are included in the return generating process. Our findings are that the use of squared returns as a measure for realized variance will lead to estimation errors on sampling frequencies adopted in the literature. In the case of return autocorrelation, there will be systematic biases. Further, we establish increased standard deviation in the error between measured and real variance as sampling frequency decreases and when volatility is non-constant.     

The value of switching inputs in a biodiesel production plant

There has been a growing concern in recent years about the quality of the environment and dependence on fossil fuels to supply the world's energy needs, which has created an interest in the development of renewable and less polluting energy sources. One of these alternatives is the biodiesel fuel, which has many advantages over the fossil based diesel, or petro diesel. In this paper we use the real options approach to determine the value of the managerial flexibility embedded in a biodiesel plant that has the option to switch inputs among two different grain commodities. Our results indicate that the option to choose inputs has significant value if we assume that future prices follow stochastic processes such as Geometric Brownian Motion and Mean Reversion Models, and can be sufficient to recommend the use of input commodities that would not be optimal under traditional valuation methods. We also show that the choice of model and parameters has a significant impact on the valuation of this class of projects.