Valuation of forward start options under affine jump-diffusion models

Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, the proposed methodology is shown to possess a better accuracy–efficiency trade-off than the usual and more general approach initiated by Hong [Forward Smile and Derivative Pricing. Working paper, UBS, 2004] that is based on the knowledge of the forward characteristic function. Explicit pricing solutions are also offered under the nested jump-diffusion setting proposed by Bakshi et al. [J. Finance, 1997, 52, 2003–2049], which accommodates stochastic volatility and stochastic interest rates, and different integration schemes are numerically tested.     

Effects of Chinese consumers' relationship benefits and satisfaction on attitudes toward foreign fashion brands:The moderating role of country of salesperson

The paper examines the various responses of consumers depending on the country of salesperson (COS) and to look into the effects that consumer–salesperson relationship benefits have on consumer satisfaction and brand attitude. The results suggest that consumers' perceived social benefit and functional benefit positively influenced their satisfaction with salesperson, and a significant positive effect of consumers' satisfaction with salesperson on consumers' brand attitude is found. This positive relationship was moderated by COS. These findings suggest that COS will serve as an important retail mix for global marketers. Other results and management implications are also discussed.     

计算脱硫剂硫容合理确定换剂时间

介绍了丙烯精制系统使用的两种脱硫剂性质,影响脱硫剂硫容的因素,并对装置硫容进行了计算,科学的预测了换剂时间。     

评估COA放大性能的方法

本文提出直接评估电流反馈运算放大器放大性能的方法。     

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

This paper extends the Fourier-cosine (COS) method to the pricing and hedging of variable annuities embedded with guaranteed minimum withdrawal benefit (GMWB) riders. The COS method facilitates efficient computation of prices and hedge ratios of the GMWB riders when the underlying fund dynamics evolve under the influence of the general class of Lévy processes. Formulae are derived to value the contract at each withdrawal date using a backward recursive dynamic programming algorithm. Numerical comparisons are performed with results presented in Bacinello et al. [Scand. Actuar. J., 2014, 1–20], and Luo and Shevchenko [Int. J. Financ. Eng., 2014, 2, 1–24], to confirm the accuracy of the method. The efficiency of the proposed method is assessed by making comparisons with the approach presented in Bacinello et al. [op. cit.]. We find that the COS method presents highly accurate results with notably fast computational times. The valuation framework forms the basis for GMWB hedging. A local risk minimisation approach to hedging intra-withdrawal date risks is developed. A variety of risk measures are considered for minimisation in the general Lévy framework. While the second moment and variance have been considered in existing literature, we show that the Value-at-Risk (VaR) may also be of interest as a risk measure to minimise risk in variable annuities portfolios.     

加强管理提高普光气田电网功率因数

提高功率因数是电网节能管理的重要方法.本文主要介绍普光气田无功状况、无功补偿的原理、意义以及普光气田提高功率主要方法.     

仿CTCS-2级列控中心的设计

为了更好地研究列车控制系统,采用ARM Cortex-M3内核结构的低功耗、高性能嵌入式芯片LPC1768作主控制器,对石家庄铁道大学仿高铁信号系统实验室中的列控中心系统(TCC)进行了硬件电路设计,并以μCOS/Ⅱ操作系统为系统级软件开发平台,使用keil编程环境对列控中心进行了软件设计。     

Consistent pricing of VIX options with the Hawkes jump-diffusion model

This paper presents a valuation of VIX options employing a Hawkes jump-diffusion model that captures the clustering pattern of jumps observed extensively in the financial markets. In the consistent framework, the valuation problem of VIX options is solved efficiently via the Fourier cosine expansion (COS) method. The Monte Carlo (MC) simulations are carried out to demonstrate the reliability and efficiency of the COS method. Furthermore, a sensitivity analysis is performed to show how option prices response to different parameters associated with jump clustering. Finally, empirical studies are conducted to provide evidence to support our jump specification in matching the VIX option surface.     

智能卡操作系统结构研究

本文重点介绍智能卡操作系统COS的四大基本功能:传输管理,命令解释,文件管理,安全管理.在此基础上提出COS新的体系结构,并构建出各模块的状态转换图.最后根据项目实践总结该结构的优点.