On an efficient multiple time step Monte Carlo simulation of the SABR model

In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math. Comput. 2017, 293, 461–479], for pricing European options in the context of the model calibration. A highly efficient method results, with many very interesting and nontrivial components, like Fourier inversion for the sum of log-normals, stochastic collocation, Gumbel copula, correlation approximation, that are not yet seen in combination within a Monte Carlo simulation. The present multiple time step Monte Carlo method is especially useful for long-term options and for exotic options.     

On the joint Fourier–ESTAR testing of PPP

The purchasing power parity (PPP) is the hypothesis that the real exchange rate series are stationary. This study briefly reviews and applies six competing unit root test procedures to test PPP. Reflecting the existing literature, the results are mixed. The Kiliç test is the most favourable while the Kapetanios, Shin, and Snell (KSS) test is the least favourable to PPP and the standard ADF test lies in between. The same conclusion applies to the Fourier extensions of those three tests. The results support a recently suggested F-test for the significance of Fourier terms in unit root test equations.     

中国商业银行最优资本水平及其调整研究——基于部分调整模型和傅里叶单位根检验的分析

采用部分调整模型和傅里叶单位根检验对中国14家上市商业银行的最优资本水平进行研究,并估计出存在最优资本水平银行的最优资本比率值和资本调整速度。研究发现,大部分上市银行均存在最优资本水平,但不同类型和资产规模的银行在最优资本比率的目标变量选择方面有所差异。平均而言,大型商业银行最优资本水平较高,股份制银行最优资本水平较低。资本调整速度在银行间差异很大,自有资金比率调整速度最快,核心资本充足率和资本充足率调整速度较慢。     

Target volatility option pricing in the lognormal fractional SABR model

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula of Itô's calculus yields an approximation formula for the price of a target volatility option in small time by the technique of freezing the coefficient. A decomposition formula in terms of Malliavin derivatives is also provided. Alternatively, we also derive closed form expressions for a small volatility of volatility expansion of the price of a target volatility option. Numerical experiments show the accuracy of the approximations over a reasonably wide range of parameters.     

The influence of intraday seasonality on volatility transmission pattern

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations.     

基于迭代FFT算法的平面稀疏阵列优化方法

提出了一种基于迭代FFT算法的优化方法来实现平面稀疏阵列的峰值旁瓣电平优化 ,并给出了详细的优化步骤。在给定的旁瓣约束条件下,利用阵列因子与阵元激励之间存在 的傅里叶变换关系,对不同的初始随机阵元激励分别进行迭代循环,就可以降低稀疏阵列的 旁瓣电平。在迭代过程中,根据稀疏率将阵元激励按幅度大小置1置0来完成阵列稀疏。仿真 实验证明了该方法的高效性和稳健性。     

Long memory and level shifts: Re-analyzing inflation rates

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or exaggerated. Our main findings are that apparent long memory is quite resistant to level shifts, although for a few inflation rates we find that evidence for long memory disappears. First version received: March 1998/final version received: October 1998     

一种低信噪比突发信号载波跟踪技术研究

为了改善低信噪比卫星下行短突发扩频信号载波跟踪时,解调性能随着信号动态增大而明显恶化的现象,提出了一种多普勒动态补偿辅助的载波跟踪算法,首先通过短时傅里叶变换(STFT)结合最小二乘拟合(LSM)算法估计信号频率及变化率,再利用估计值对原始信号进行多普勒动态补偿,最后使用三阶锁相环完成载波精确跟踪,对算法进行优化设计并进行仿真,以提高数据利用率。仿真结果表明,在接收-170 dBW灵敏度电平条件下,优化后的算法在对捕获后频偏小于200 Hz,频率变化率小于2 kHz/s的信号进行跟踪时,跟踪成功率达到99%,解调损失小于0.2 dB。新算法复杂度适中,利于工程实现,为现有接收机载波跟踪模块对低信噪比突发扩频信号进行改进提供了参考。     

安徽矿业经济面临六个战略转变

本文在分析现状的基础上,提出了安徽矿业经济面临的六个战略性转变,即能源开发重点应由煤逐步向煤、气、电转变;矿产资源勘查开发重点应由金属矿产向非金属矿产转变;矿业经营应由粗放型向集约型经营转变;矿业经济应由原料型向产品型转变;矿产资源勘查投资体制向多元化转变;以矿业为主导产业的城市向多元化产业城市转变.     

利用分数阶Fourier变换抑制高频地波雷达中线性调频干扰

高频地波雷达(HFGWR)受到严重的射频干扰影响。单频射频干扰在接收信号中体现为高强度的线性调频信号,从而污染所有距离元。为抑制射频干扰,通过分析其频率特征,使用分数阶傅里叶变换（FRFT）将原始信号转换到分数阶傅里叶域,对射频干扰对应的谱峰置零,达到抑制干扰的目的。该方法的优点在于抑制射频干扰的同时无损干扰位置处的回波信号,无需重构信号。实测数据分析表明：FRFT不仅能有效抑制射频干扰,信噪比提高可达10 dB以上,而且其计算复杂度较小,满足雷达实时工作要求。