A note on the existence of unique equivalent martingale measures in a Markovian setting

Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved.     

地方应用型本科院校金融工程专业产学研人才培养模式探索

地方应用型本科院校金融工程专业建设正面临着教育部差异化人才培养政策、国家供给侧改革战略和数字经济算能需求三大复杂环境,如何提升人才培养质量,是个紧迫的专业教育改革热点问题。文章基于产学研合作培养的制度基础、社会基础和技术基础,针对金融工程本科专业培养产学研制度、培养内容和实践进行了创新性探索。     

价值工程原理在高校学生干部评价中的应用

本文论述了高校评价学生干部中开展价值工程的方法和步骤,通过对功能和成本两方面的综合分析,找出培养学生干部工作中的问题。     

Mean-variance hedging for interest rate models¶with stochastic volatility

The mean-variance hedging approach for pricing and hedging claims in incomplete markets was originally introduced for risky assets. The aim of this paper is to apply this approach to interest rate models in the presence of stochastic volatility, seen as a consequence of incomplete information. We fix a finite number of bonds such that the volatility matrix is invertible and provide an explicit formula for the density of the variance-optimal measure which is independent of the chosen times of maturity. Finally, we compute the mean-variance hedging strategy for a caplet and compare it with the optimal stategy according to the local risk minimizing approach. Received: 14 July 2000 / Accepted: 10 April 2001     

完善公路监理体制确保公路工程质量

分析我国公路工程监理的现状，进一步阐述完善监理制度的必要性，并对监理工作的几个主要的关系进行了分析，巳达到确保工程质量的目的。     

Option pricing in the presence of natural boundaries and a quadratic diffusion term

This paper uses a probabilistic change-of-numeraire technique to compute closed-form prices of European options to exchange one asset against another when the relative price of the underlying assets follows a diffusion process with natural boundaries and a quadratic diffusion coefficient. The paper shows in particular how to interpret the option price formula in terms of exercise probabilities which are calculated under the martingale measures associated with two specific numeraire portfolios. An application to the pricing of bond options and certain interest rate derivatives illustrates the main results.     

基于企业工程的企业信息文化及其建设模式研究

在探讨企业工程与企业信息文化内涵的基础上,提出企业信息文化是企业工程成功实施的关键:良好的企业信息文化是企业工程实施的保障,不良企业信息文化将成为企业工程的阻碍。根据企业工程实施的不同阶段与特点,从企业信息文化三要素入手,给出了构建与企业工程相适应的企业信息文化的三种模式:基于组织学习的建设模式、基于持续创新的建设模式和基于知识共享的建设模式。     

浅谈高职高专院校数学教学方法与手段的改革

教学方法与教学手段的改革是高校教学改革的重点之一。高职高专院校的数学教学应采取多种形式的教学方法,比如启发式教学法、形象解析法等等。只有恰当和正确地设计教学方法和教学手段.才能达到高质量的教学效果,进而针对性地提高学生运用数学思维解决实际问题的能力。     

《经济应用数学》课程分层次教学调查与思考

随着近年高校招生规模的扩大,学生数学基础差和数学水平参差不齐的状况越来越明显。通过对高职高专学生进行分层次教学问卷调查,试用分层次教学调动学生学习数学的积极性,满足不同层次学生的学习需求,从而使他们顺利达到教学目标,提高学生的数学素质及能力。