A New Control Variate Estimator for an Asian Option

There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control variate estimator for this type of Asian option is proposed and investigated. Simulation results confirm that it does perform better than the control variate derived from the geometric mean. The improvement becomes more significant as the volatility increases and/or as the time to expiration lengthens.     

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavy-tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such as the delta-gamma approximation. In the first method, we derive the characteristic function of the quadratic approximation and then use numerical transform inversion to approximate the portfolio loss distribution. Because the quadratic approximation may not always yield accurate VAR estimates, we also develop a low variance Monte Carlo method. This method uses the quadratic approximation to guide the selection of an effective importance sampling distribution that samples risk factors so that large losses occur more often. Variance is further reduced by combining the importance sampling with stratified sampling. Numerical results on a variety of test portfolios indicate that large variance reductions are typically obtained. Both methods developed in this paper overcome difficulties associated with VAR calculation with heavy-tailed risk factors. The Monte Carlo method also extends to the problem of estimating the conditional excess, sometimes known as the conditional VAR.     

On testing for symmetry in business cycles

Business cycle forecasting has become an important part of short and medium term economic planning. Such forecasting, however, is often very intricate, as business cycles are not at all periodic, just recurrent. Furthermore, they often include irregular timing and varying amplitudes. When patterns and relationships are very irregular there are no simple reliable business cycle forecasting procedures. In practice there is, somewhere, a limit for business cycle predictability, and it is often worthwhile to examine empirically the various theoretical regularity assumptions. One important regularity issue concerns the business cycle symmetry assumption. The present paper empirically tests the hypothesis of symmetry around business cycle turning points in some economic time series. Two test procedures are applied. One is based on the analysis of transition probabilities between expansion and recession regimes. The second procedure tests symmetry versus asymmetry through skewness statistics. The analysis is based on detrending through the use of linear deterministic trends as well as by Beveridge-Nelson decompositions.     

测控系统仿真与测控设备软件化技术

本文分析了测控系统仿真技术的现实需求与国内外发展概况，介绍了测控设备技术发展的新特征，讲述了仿真技术与测控设备软件化技术的特点、使命与应用发展方向，提出了仿真技术与设备软件化技术作为未来测控系统研制的新模式在工程中的应用方法。     

Precise computation of a competitive equilibrium of the discrete land market model

This paper provides a finite algorithm to compute a competitive equilibrium of the Alonso-type discrete land market model (known as bid-rent equilibrium) without assuming any condition on the spatial configuration such as monocentricity. The existence of the finite algorithm implies that the discrete land market model is sufficiently tractable for computer simulation analysis (sensitivity analysis) even if the spatial configuration is variable. Specifically, we can evaluate numerically the effects of new routes in a transportation network upon equilibrium rents and commuting mode.     

全空气空调下建筑室内空气污染物浓度变化规律

建立了全空气空调系统室内污染物扩散模型,模拟分析了新风量、室外污染物浓度、新风过滤效率和回风旁通系数对室内污染物浓度的影响规律。研究表明,一次回风方式存在着一个临界新风过滤效率,只有大于该临界效率时,增加新风量才能减少室内污染物浓度。     

冷链物流配送中心作业流程的建模与仿真

在分析冷链配送中心物流运作过程的基础上,针对冷链物流配送中心的基本作业流程系统进行建模仿真,得到系统运作中机器设备和人员的效率。对初步仿真的输出结果进行数据分析,找到影响全局的瓶颈工序以及闲置资源,进行二次仿真。最后对改进前后两种方案的仿真结果进行比较及评价,得到了优化方案。     

基于系统动力学的国际货运代理问题研究

文中以国际货运代理为研究对象,总结了有关国际货运代理方面的研究文献,并在对国际货运代理的发展现状和存在的问题进行分析的基础上,通过系统的思想对货代系统中各个要素进行分析,构建国际货运代理系统模型,通过对实例的验证,最后对当前国际货运代理存在的问题提出相关的建议。     

一种仿瓢虫六足机器人设计

通过对瓢虫身体结构和行走方式的模拟,提出了一种六足机器人结构,进行了步态设计和仿真,研制了六足机器人实物样机。仿真实验证明了所提机器人结构和步态设计的合理性。