Credit portfolio selection with decaying contagion intensities

We develop a fixed‐income portfolio framework capturing the exponential decay of contagious intensities between successive default events. We show that the value function of the control problem is the classical solution to a recursive system of second‐order uniformly parabolic Hamilton–Jacobi–Bellman partial differential equations. We analyze the interplay between risk premia, decay of default intensities, and their volatilities. Our comparative statics analysis finds that the investor chooses to go long only if he is capturing enough risk premia. If the default intensities deteriorate faster, the investor increases the size of his position if he goes short, or reduces the size of his position if he goes long.     

The expected discounted penalty function: from infinite time to finite time

In this paper we study the finite-time expected discounted penalty function (EDPF) and its decomposition in the classical risk model perturbed by diffusion. We first give the solution to a class of second-order partial integro-differential equations (PIDEs) with certain boundary conditions. We then show that the finite-time EDPFs as well as their decompositions satisfy this specific class of PIDEs so that their explicit expressions are obtained. Furthermore, we demonstrate that the finite-time EDPF may be expressed in terms of its ordinary counterpart (infinite-time) under the same risk model. Especially, the finite-time ruin probability due to oscillations and the finite-time ruin probability caused by a claim may also be expressed in terms of the corresponding quantities under the infinite-time horizon. Numerical examples are given when claims follow an exponential distribution.     

LFMCW雷达测距中的自适应频率校正

信号的频率落在两个量化频点之间时会产生估计误差，所以需要校正快速傅里叶变换(FFT)后估计的频率。结合Rife算法和抛物线插值法的特点，提出了一种自适应频率校正算法。该算法依据不同的频率自适应地选择不同的频率校正算法，克服了Rife算法在信号的频率落在FFT量化频点周围的情况下容易产生插值方向错误的缺点，同时避免了抛物线插值法在信号频率落在相邻两个量化频点的中心附近时估计均方误差会急剧增加的缺点。仿真结果验证了所提算法的有效性。此外，相比于单一的Rife算法和抛物线插值法，所提算法在频率估计精度以及抗噪声能力方面都有显著提升。     

一类奇异半线性抛物方程的非对称有限元方法

具有奇异系数的抛物方程是一类很重要的方程，但是求其精确解是很困难的。本文考虑一类奇异半线性抛物方程初、边值问题的非对称有限元方法，给出了全离散解的加权L2模的误差估计。     

Pricing American Stock Options by Linear Programming

We investigate numerical solution of finite difference approximations to American option pricing problems, using a new direct numerical method: simplex solution of a linear programming formulation. This approach is based on an extension to the parabolic case of the equivalence between linear order complementarity problems and abstract linear programs known for certain elliptic operators. We test this method empirically, comparing simplex and interior point algorithms with the projected successive overrelaxation (PSOR) algorithm applied to the American vanilla and lookback puts. We conclude that simplex is roughly comparable with projected SOR on average (faster for fine discretizations, slower for coarse), but is more desirable for robustness of solution time under changes in parameters. Furthermore, significant speedups over the results given here have been achieved and will be published elsewhere.     

抛物方程法在森林环境电波传播特性预测中的应用

为提高大区域森林环境电波传播特性预测的准确性,研究抛物方程（PE）法在森林环境电波传播特性预测中的应用,提出了基于抛物方程的森林模型。该模型采用PE法实现准确快速求解,考虑森林在垂直方向上的非均匀性,引入森林分层模型,将森林分为树冠、树干两个均匀有耗介质层,并根据森林区域的特性参数确定各有耗介质层的等效介电常数,相比于传统将森林等效为一个给定介电常数的均匀有耗介质层,能够更准确地描述森林对电波传播的影响。将其应用于三种常见绿叶林的电波传播特性预测中,仿真结果表明,该模型能够反映不同区域、不同植被种类的森林对电波传播的影响差异,有效预测大区域森林环境电波传播特性。     

Mean–variance hedging of contingent claims with random maturity

We study the mean–variance hedging of an American-type contingent claim that is exercised at a random time in a Markovian setting. This problem is motivated by applications in the areas of employee stock option valuation, credit risk, or equity-linked life insurance policies with an underlying risky asset value guarantee. Our analysis is based on dynamic programming and uses PDE techniques. In particular, we prove that the complete solution to the problem can be expressed in terms of the solution to a system of one quasi-linear parabolic PDE and two linear parabolic PDEs. Using a suitable iterative scheme involving linear parabolic PDEs and Schauder's interior estimates for parabolic PDEs, we show that each of these PDEs has a classical C^{1, 2} solution. Using these results, we express the claim's mean–variance hedging value that we derive as its expected discounted payoff with respect to an equivalent martingale measure that does not coincide with the minimal martingale measure, which, in the context that we consider, identifies with the minimum entropy martingale measure as well as the variance-optimal martingale measure. Furthermore, we present a numerical study that illustrates aspects of our theoretical results.     

HEDGING WITH ENERGY

In the setting of diffusion models for price evolution, we suggest an easily implementable approximate evaluation formula for measuring the errors in option pricing and hedging due to volatility misspecification. The main tool we use in this paper is a (suitably modified) classical inequality for the L ² norm of the solution, and the derivatives of the solution, of a partial differential equation (the so-called "energy" inequality). This result allows us to give bounds on the errors implied by the use of approximate models for option valuation and hedging and can be used to justify formally some "folk" belief about the robustness of the Black and Scholes model. Surprisingly enough, the result can also be applied to improve pricing and hedging with an approximate model. When statistical or a priori information is available on the "true" volatility, the error measure given by the energy inequality can be minimized w.r.t. the parameters of the approximating model. The method suggested in this paper can help in conjugating statistical estimation of the volatility function derived from flexible but computationally cumbersome statistical models, with the use of analytically tractable approximate models calibrated using error estimates.     

A Classification of Two-Factor Affine Diffusion Term Structure Models

Dai and Singleton (2000) introduced a typology of affine diffusionmodels when the domain of admissible values of the factors isan intersection of half planes and under some additional constraintson the parameters. This condition on the domain and the additionalsufficient constraints are restrictive and can considerablydiminish the practical interest of affine models. In this articlewe successfully address the research agenda sketched by Duffie,Filipovic, Schachermayer (2003, section 12.2, p. 1042). A systematicinvestigation is performed and our article provides a completetypology in the two-factor case, without prior restrictionson the domain and on the parameters.     

一类奇异半线性抛物方程半离散解的加权L2模误差估计

具有奇异系数的椭圆及抛物偏微分方程是一类很重要的方程,但是求出其精确解是很困难的。本文考虑一类奇异半线性抛物方程初、边值问题的有限元方法,给出了半离散解的加权L2范数的误差估计。