Modelling inflation shifts and persistence in Tunisia: perspectives from an evolutionary spectral approach

This article examines the dynamic characteristics of the inflation rate in Tunisia over the last two decades, and particularly following the onset of the Arab Spring in 2010 which causes distortions in this country’s monetary policy. We focus on the two specific dimensions of the Tunisian inflation rate: inflation regimes and persistence. We tackle this issue by adopting an evolutionary spectral approach, initially proposed by Priestley and Tong (1973). Our main findings indicate a stable inflation regime in the last 10 years, with an average inflation rate of around 5.5%. It is also found that the Tunisian inflation experienced a high degree of inertia which reflects its gradual responses to shocks. We also discuss the policy implications of these results, which typically require policy-makers to implement sound institutional reforms to reduce inflation.     

部分相干高斯—谢尔模光束在负色散介质中的光谱特性

文章利用由部分相干光理论及张量方法推导出的部分相干高斯—谢尔模(GSM)光束在介质中的传输公式,计算分析了部分相干GSM光束在负色散介质中的演化特性.研究结果表明,部分相干GSM光束在负色散介质中传输时会出现光谱分裂和频移现象.     

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

We solve in closed form a parsimonious extension of the Black–Scholes–Merton model with bankruptcy where the hazard rate of bankruptcy is a negative power of the stock price. Combining a scale change and a measure change, the model dynamics is reduced to a linear stochastic differential equation whose solution is a diffusion process that plays a central role in the pricing of Asian options. The solution is in the form of a spectral expansion associated with the diffusion infinitesimal generator. The latter is closely related to the Schrödinger operator with Morse potential. Pricing formulas for both corporate bonds and stock options are obtained in closed form. Term credit spreads on corporate bonds and implied volatility skews of stock options are closely linked in this model, with parameters of the hazard rate specification controlling both the shape of the term structure of credit spreads and the slope of the implied volatility skew. Our analytical formulas are easy to implement and should prove useful to researchers and practitioners in corporate debt and equity derivatives markets.     

有机波谱分析课程教学改革的探索与实践

简要介绍了有机波谱分析课程的教学内容、目的、任务及应用,重点介绍了:①有机波谱分析课程教学内容的改革;②有机波谱分析课程教学方法的改进;③识谱解谱是学生学习的核心;④有机波谱分析课程教学模式的改革。     

贝叶斯方法在二维目标定位中的应用

本文对如何运用贝叶斯方法,以一维方式采集资料,进行二维目标定位作了一些探讨。实验中,运用光电计测定出发射和接收红外二极管的模式,通过分析建立起物体的二维模型方程,然后运用贝叶斯方法,估计出物体在坐标中的水平位置和垂直距离。进而验证了这种基于贝叶斯方法的二维物体定位算法。这为以后研制具有较强实用性的地雷探测仪或者是其它的不方便进入目标区域情况下的应用提供了方法上的依据。     

Error analysis of finite difference and Markov chain approximations for option pricing

Mijatovi? and Pistorius proposed an efficient Markov chain approximation method for pricing European and barrier options in general one‐dimensional Markovian models. However, sharp convergence rates of this method for realistic financial payoffs, which are nonsmooth, are rarely available. In this paper, we solve this problem for general one‐dimensional diffusion models, which play a fundamental role in financial applications. For such models, the Markov chain approximation method is equivalent to the method of lines using the central difference. Our analysis is based on the spectral representation of the exact solution and the approximate solution. By establishing the convergence rate for the eigenvalues and the eigenfunctions, we obtain sharp convergence rates for the transition density and the price of options with nonsmooth payoffs. In particular, we show that for call‐/put‐type payoffs, convergence is second order, while for digital‐type payoffs, convergence is generally only first order. Furthermore, we provide theoretical justification for two well‐known smoothing techniques that can restore second‐order convergence for digital‐type payoffs and explain oscillations observed in the convergence for options with nonsmooth payoffs. As an extension, we also establish sharp convergence rates for European options for a rich class of Markovian jump models constructed from diffusions via subordination. The theoretical estimates are confirmed using numerical examples.     

中美两国经济波动及其相互影响的频域分析

以中美两国ＧＤＰ增长率为研究对象,通过计算其时变谱函数并联系经济现实,对两国各自的经济波动情况进行了分析。在此基础上,通过计算中美两国ＧＤＰ增长率间的时变增益函数,分析两国经济波动间的相互影响。结果显示,２００８年以前美国对中国经济的影响在逐渐减弱。即使发生了２００８年的金融危机,美国对中国经济的影响也主要集中在出口行业,美国经济受中国的影响在持续增加,并且这种影响主要集中在产业结构和社会消费习惯等方面。目前,这种影响依然存在。     

中国、香港与美国股票市场波动传导的时延分析

金融风险传导的控制是金融风险管理中非常重要的内容,对金融市场波动传导的规律性进行研究具有重要的理论意义和实践价值。基于时间序列高阶谱分析的时延估计方法分析非高斯性、非线性的股票指数时间序列,可以确定各股票市场波动传导的具体领先——滞后时间和相互间的影响强度。研究结果表明,内地股票市场和香港股票市场波动传导时滞很短;内地股票市场波动的原因主要来自内部,香港和美国股市的波动对内地的影响并不大。     

Trend and cyclical decoupling: new estimates based on spectral causality tests and wavelet correlations

The issue of decoupling of emerging market economies (EMEs) (especially in the Asian region) from the developments in advanced economies has become a subject of lively debate in recent years. Basically, decoupling seems to comprise three sub-hypotheses: (i) growth spillovers from advanced countries to EMEs decreasing progressively in importance, (ii) business cycles in EMEs becoming less synchronized with those of the advanced world and (iii) strengthening of growth spillovers and cyclical synchronization among the EMEs as a group. The received literature fails to distinguish adequately between the trend and cyclical aspects of the decoupling relationship. We resort to two frequency domain methods (nonstationary spectral causality testing and wavelet correlations), which seem to offer a neat separation of trend and cyclical decoupling. Based on a sample of seven EMEs from the Asian region (including the two large EMEs – China and India), we uncover strong evidence favouring both trend and cyclical decoupling.     

滇川黔铅锌成矿区含矿碳酸盐岩遥感解译探讨

光谱特征和图形特征分别是地物的电磁辐射特征在遥感图像上微观层次和宏观层次的表现形式。滇川黔铅锌成矿区矿床的含矿围岩是碳酸盐岩,广泛分布,但只有特殊的构造位置赋矿。该类矿床的围岩蚀变较弱,环境干扰因素较多,根据光谱特征利用多波段遥感图像提取蚀变异常信息存在较多的不确定性。不同构造位置的相同岩性因遭受不同的风化程度,其形成的地貌、水系以及土壤、植被覆盖等都会有差异,在遥感图像上显示为不同的图形特征,据此可推断岩性以及其结构、构造等特征。图形特征受环境干扰较小,具有较好的稳定性,在滇川黔铅锌成矿区含矿碳酸盐岩的研究中具有实用价值。