基于鞅和线性规划对偶原理的或有要求权定价方法

采用线性规划对偶原理、鞅测度理论和完全套期保值方法,给出了有限证券市场或有要求权的卖方套利价格和买方套利价格的计算方法。分别对允许证券卖空和现金借贷的情况以及不允许证券卖空但允许现金借贷的情况进行研究。分析表明,套利价格可通过求解相应的鞅测度空间中的线尾规划问题得到。     

市场指数模型下最优证券组合的简化算法

研究市场指数模型下最优证券组合的简化算法,扩展了针对预期超额收益—贝塔比率最大化提出的简化算法,并将其应用于确定最小风险证券组合构成、考虑风险容忍度的最优证券组合构成、允许和不允许限制性卖空情况下有效证券组合构成及其变动。     

考虑委托代理关系的有限套利研究

基于委托-代理关系的有限套利的研究,对于理解非理性资产价格形成机制及行为不确定条件下资本资源有效配置具有重要意义.为定量分析满足最优契约条件下经纪人有限套利的行为特征,建立了基于委托-代理关系的有限套利模型.研究发现:证券价格是影响委托人最优投资规模的最敏感因素,代理人的基本工资水平次之,代理人的努力水平的影响最弱.此外,确定了在信息传递不完全条件下,委托人提早撤回资金时的证券最低价格.     

不允许借贷的最优消费及资产决策模型研究

引入遗留财富重视程度因子,在无借贷约束和不允许借贷约束的条件下,建立了有穷时间限的最优消费与资产决策模型.运用随机最优控制理论及鞅最优性原理求出了模型的显式最优解.在此基础上,运用比较静态分析方法考察了在有约束和没有约束两种市场中的消费行为,并对两种市场中的消费和资产决策行为进行了比较研究.     

有交易费的未定权益无套利套期保值定价

针对多种股票参与交易的市场,利用折算函数衡量总资产,给出了有交易费市场情形下的套利机会定义和基本性质,进而利用辅助鞅方法和凸分析方法,得到了套期保值策略的无套利性质和未定权益的套期保值定价公式.     

有交易费的未定权益无套利公平定价

讨论了有交易费市场模型下未定权益无套利公平定价问题 .首先 ,提出了资产折算函数 .其次 ,基于资产折算函数并利用辅助鞅方法 ,给出了在有交易市场模型下套利机会的定义和无套利分析的一些结果的讨论 .第三 ,借助微分方程和价值函数的方式 ,给出了有交易费市场模型下未定权益无套利公平价的定义 .最后 ,利用随机分析和无套利分析的理论 ,给出了有交易费市场模型下未定权益的上、下无套利公平定价形式 .这样 ,即可以给出有交易费市场模型下未定权益无套利公平定价区 ,同时 ,还给出了在风险资产不参与交易下 ,一种特殊     

有交易费的未定权益无套利套期保值定价

针对多种股票参与交易的市场，利用折算函数衡量总资产，给出了有交易费市场情形下的套利机会定义和基本性质，进而利用辅助鞅方法和凸分析方法，得到了套期保值策略的无套利性质和未定权益的套期保值定价公式。     

基于Agent的我国股票市场卖空机制仿真研究

针对我国股市现有的卖空约束缺陷,用复杂适应系统的思想和方法分析股市的复杂性,运用Swarm平台,构建基于Agent的直接计算机模型。设定模型由"交易事件"驱动,给定Agent理性和非理性的行为规则,让Agent通过对有关数据分析后建立有偏预期或无偏预期的交易策略,从而导致资产价格和交易量的变化,以此分析引入卖空机制对股市的影响。仿真模拟表明,卖空机制可以把价格风险降低,增加市场的流动性,对改变股市的资产结构有积极影响,成为投资者和市场规避风险的工具。     

基于PSO的考虑完整费用的证券组合优化研究

通过分析中国证券市场证券交易不可拆分、不能卖空的特点以及现存的各种交易费用,建立一个考虑完整交易费用的证券投资组合优化模型,同时给出一个应用粒子群算法(PSO)求解的实例。结果证明该证券投资组合优化模型的完整性和有效性,也表明PSO算法可以快速准确地求解证券投资组合优化问题。     

证券投资组合模型及其应用

证券投资组合问题广泛存在于金融、风险投资等多个领域。文中分别在全部投资和选择性投资两种场合下重点研究了证券投资组合方案选择问题。对于全部投资而言,文中建立起了多目标规划模型并在求解过程中采用理想点法将其转化为线性规划模型,利用LINGO软件求解出最佳投资比例。对于后者,文中通过引入一个服从0-1分布的参数,将其化为一般情况求解。通过一个实例以说明上述方法的应用,并对模型进行了改进与推广。     

煤矿井下安全监控分站的设计及其仿真实现

为了设计一种具有低成本、低功耗、易操作、功能强且可靠性高的煤矿井下安全分站,针对煤矿安全生产实际,文章提出了采用MCS-51系列单片机为核心、具有CAN总线通信接口的煤矿井下安全监控分站的设计方案;首先给出煤矿井下安全监控分站的整体构架设计,然后着重阐述模拟量输入信号处理系统的设计过程,最后说明单片机最小系统及其键盘、显示、报警、通信等各个组成部分的设计;为验证设计方案的可行性与有效性,使用Proteus软件对设计内容进行仿真验证,设计的煤矿井下安全监控分站具有瓦斯、温度等模拟量参数超标报警功能和电机开停、风门开闭等开关量指示功能;仿真结果表明:设计的煤矿井下安全监控分站具有一定的实际应用价值.     

Only connect: teaching, technology and telesis

Abstract This paper describes an approach to the design of interactive multimedia materials being developed in a European Community project. The developmental process is seen as a dialogue between technologists and teachers. This dialogue is often problematic because of the differences in training, experience and culture between them. Conditions needed for fruitful dialogue are described and the generic model for learning design used in the project is explained.     

View-based model-driven architecture for enhancing maintainability of data access services

In modern service-oriented architectures, database access is done by a special type of services, the so-called data access services (DAS). Though, particularly in data-intensive applications, using and developing DAS are very common today, the link between the DAS and their implementation, e.g. a layer of data access objects (DAOs) encapsulating the database queries, still is not sufficiently elaborated, yet. As a result, as the number of DAS grows, finding the desired DAS for reuse and/or associated documentation can become an impossible task. In this paper we focus on bridging this gap between the DAS and their implementation by presenting a view-based, model-driven data access architecture (VMDA) managing models of the DAS, DAOs and database queries in a queryable manner. Our models support tailored views of different stakeholders and are scalable with all types of DAS implementations. In this paper we show that our view-based and model driven architecture approach can enhance software development productivity and maintainability by improving DAS documentation. Moreover, our VMDA opens a wide range of applications such as evaluating DAS usage for DAS performance optimization. Furthermore, we provide tool support and illustrate the applicability of our VMDA in a large-scale case study. Finally, we quantitatively prove that our approach performs with acceptable response times.     

A pragmatic multi-method investigation of discrepant technological events: Coping,attributions, and ‘accidental’ learning

Discrepant technological events or situations that entail a problem, a misunderstanding or a difficulty with the Information Technology (IT) being employed, are common in the workplace, and can lead to frustration and avoidance behaviors. Little is known, however, about how individuals cope with these events. This paper examines these events by using a multi-method pragmatic approach informed by coping theory. The results of two studies – a critical incident study and an experiment – serve to build and test, respectively, a theoretical model that posits that individuals use a variety of strategies when dealing with these events: they experience negative emotions, make external attributions, and adopt engagement coping strategies directed at solving the event, eventually switching to a disengagement coping strategy when they feel they have no control over the situation. Furthermore, users’ efforts may result in ‘accidental’ learning as they try to overcome the discrepant IT events through engagement coping. The paper ends with a discussion of the results in light of existing literature, future opportunities for research, and implications for practice.     

The Distributed Time-Triggered Simulation Scheme: Core Principles and Supporting Execution Engine

Distributed real-time simulation is a young technology field but its practice is under increasing demands. In recent years the author and his collaborators have been establishing a new approach called the distributed time-triggered simulation (DTS) scheme which is conceptually simple and easy to use but widely applicable. The concept was initiated in the course of developing a new-generation object-oriented real-time programming scheme called the time-triggered message-triggered object (TMO) programming scheme. Some fundamental issues inherent in distributed real-time simulation that were learned during recent experimental studies are discussed along with some approaches for resolving the issues. An execution engine developed to support both the TMOs engaged in control computation and the TMOs engaged in DTS is also discussed along with its possible extensions that will enable significantly larger-scale DTSs.     

Software-Konfigurationsmanagement in großen Softwareprojekten

Zusammenfassung Mit zunehmender Größe der Softwaresysteme verschärfen sich die für die Software-Herstellung typischen Probleme: Beherrschen großer Objektmengen, Erhalten der Systemkonsistenz, Kontrolle der ständigen Änderungseinflüsse und Gewährleisten einer langen Lebensdauer. Die Disziplin Konfigurationsmanagement bildet den methodischen Ansatz, diese Probleme besser zu beherrschen. Software-Konfigurationsmanagement faßt die Herstellung von Softwaresystemen als eine Abfolge von kontrollierten Änderungen an gesicherten Zwischen- und Endergebnissen auf. Dargestellt werden die Objekte und Funktionen des Software-Konfigurationsmanagements sowie die hierfür in großen Software-Projekten benötigten Methoden, Instanzen und Hilfsmittel.     

Call for Papers The 6^th International Conference on Grid and Cooperative Computing

Recent years have seen rapid advances in various grid-related technologies, middleware, and applications. The GCC conference has become one of the largest scientific events worldwide in grid and cooperative computing. The 6th international conference on grid and cooperative computing (GCC2007) Sponsored by China Computer Federation (CCF),Institute of Computing Technology, Chinese Academy of Sciences (ICT) and Xinjiang University ,and in Cooperation with IEEE Computer Soceity ,is to be held from August 16 to 18, 2007 in Urumchi, Xinjiang, China.     

Information for Authors

正http://www.zju.edu.cn/jzus http://www.springerlink.com Aim The Journals of Zhejiang University-SCIENCE(A/B/C)are edited by the international board of distinguished Chinese and foreign scientists,and are aimed to present the latest developments and achievements in scientific research in China and     

Editorial:Brain-machine interface(BMI) and cyborg intelligence

正Brain-machine interfaces(BMIs)aim at building a direct communication pathway between the brain and an external device,and represent an area of research where significant progress has been made during the past decade.Based on BMIs,mind information can be read out by neural signals to control     

Information for Authors

正http://www.zju.edu.cn/jzus http://www.springerlink.com Aim The Journals of Zhejiang University-SCIENCE(A/B/C)are edited by the international board of distinguished Chinese and foreign scientists,and are aimed to present the latest developments and achievements in scientific research in China and overseas to the world’s scientific circles,especially to stimulate