THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.     

纳秒级上升时间的高压脉冲群电源

按照IEC 61000-4-4/GB 17626.4—1998的要求，首先应用PSPICE仿真确定电路中各元件的参数值，然后基于拉普拉斯变换用MATLAB求解二阶电路验证各元件参数。在此基础上研制了一台以开关电源作为高压直流电源、以氢闸流管作为主控开关的脉冲群电源。该电源体积小、重量轻、效率高、成本低廉。试验结果表明，其输出信号符合标准要求，可用于快速瞬变脉冲群抗扰度试验。     

水调信息发布系统的设计与实现

在分析水电厂水调信息体系结构和应用需求的基础上,探讨采用现代信息技术构建基于交互式Web、自报/查询短消息、自动收发邮件及自动应答语音等的水调信息发布系统,从而实现多途径水调信息的发布、查询和管理,以解决水电厂单一模式的水调信息发布方式,提升水调信息多途径传递方式,以及信息传递的实时性和可靠性.     

Regional job-turnover and industrial policy. a note on a potential time pattern of regional industrial policies and their job effects - the case of the german city-state of bremen

Many regions have experienced long-run economic fluctuations generated by the life cycles of their dominant industrial clusters. During the downswings in the 1970s and 1980s, proactive structural policies were typically launched in German regions to combat job losses in their core clusters and to create new jobs in new industries. With respect to the German State of Bremen, this paper provides empirical evidence of: (1) a long-run regional downswing; (2) the potential job effects of proactive regional industrial policy programmes in terms of increasing regional employment, by safeguarding jobs in the regional core industries and creating new jobs in new growth industries; and (3) a time pattern in the job effects, which are related to the different generations of programmes.     

Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets

We examine the spillover wealth effects of the Orange County, California bankruptcy announcement in December 1994 on municipal bonds, municipal bond funds, and bank stocks. This bankruptcy is prominent because of unprecedented losses and because it was caused by a highly leveraged derivatives strategy rather than a shortage of tax revenues and excess spending. We find contagion in the bond market with significantly negative abnormal returns for municipal bond funds without direct exposure to Orange County and for non‐Orange County municipal bonds. In addition, our findings suggest the contagion spills over to the common stocks of investment and commercial banks that deal in or use derivatives; however, the equities of banks unexposed to derivatives are not affected.     

整合版CITE平台的通讯实现机制

阐述和分析CITE平台的通讯机制及产生故障的原因，并针对性地提出了解决方案。     

通用ATS实现技术研究

我国武器装备通用ATS(自动测试系统)经历了从引进、仿制到自行研制的过程，但是目前通用ATS总的局面是通用ATS不通用，这种局面主要是由于国内对通用ATS实现技术缺乏统一认识造成的。基于此，本文研究了与开发通用ATS密切相关的标准／规范、硬件配置技术、接口技术、集成测试软件开发环境技术。本文的研究结果适用于所有开发通用ATS的项目。     

基于降雨资料的雨量预警指标阈值求解模型

为保证雨量预警指标阈值在有效周期范围内发挥预警作用,通过分析现有雨量预警指标阈值的确定方法,提出了基于区域临界雨量法-降雨灾害同频率法-R/S分析法的雨量预警指标阈值求解模型。将该模型应用于江苏省泰兴市降雨时间序列的分析,对最大日降水量时间序列进行阈值确定、趋势分析,并用指标阈值进行预警验证。结果表明,该模型的雨量预警指标阈值确定结果相较单一模型更为准确,且具有一定的时效性,可为农村基层防汛预报预警提供参考。     

1957-2017年泾河流域降雨量及降雨侵蚀力时空变化分析

泾河流域受土壤侵蚀的影响,水土流失较为严重,为对流域水土流失风险评估和防治等提供参考依据,根据1957-2017年泾河流域5个气象站点的日降水资料,运用ArcGIS空间插值、小波分析、R/S分析等方法,分析了该时段降雨量及降雨侵蚀力时空变化规律。结果表明:泾河流域及各气象站点的降雨量与降雨侵蚀力均呈显著正相关关系;泾河流域降雨量与降雨侵蚀力年内分布不均,主要集中在夏季,分别占全年的67.80%和52.86%;泾河流域年均降雨量和降雨侵蚀力分别为496.83 mm和1 481.24 (MJ·mm)/(hm~2·h),年际总体呈波动上升趋势且未来降雨侵蚀力将延续增加趋势,两者均在1996和2009年出现突变点且第一主周期分别为27和17 a;泾河流域降雨量和降雨侵蚀力在空间上均呈从西北到东南递增的趋势。