A software architecture framework for on-line option pricing

The problem of growing computational complexity in the finance industry demands manageable, high-speed and real-time solutions in solving complex mathematical problems such as option pricing. In current option trading scenarios, determining a fair price for options “any time” and “anywhere” has become vital yet difficult computational problem. In this study, we have designed, implemented, and deployed an architecture for pricing options on-line using a hand-held device that is J2ME-based Mobile computing-enabled and is assisted by web mining tools. In our architecture, the client is a MIDP user interface, and the back end servlet runs on a standalone server bound to a known port address. In addition, the server uses table-mining techniques to mine real-time data from reliable web sources upon the mobile trader’s directive. The server performs all computations required for pricing options since mobile devices have limited battery power, low bandwidth, and low memory. We have parallelized and implemented various computational techniques such as binomial lattice and finite differencing. To the best of our knowledge, this is one of the first studies that facilitate the mobile-enabled-trader to compute the price of an option in ubiquitous fashion. This architecture aims at providing the trader with various computational techniques to avail (to provide results from approximate to accurate results) while on-the-go and to make important and effective trading decisions using the results that will ensure higher returns on investments in options.

On splitting-based numerical methods for nonlinear models of European options

We present a large class of nonlinear models of European options as parabolic equations with quasi-linear diffusion and fully nonlinear hyperbolic part. The main idea of the operator splitting method (OSM) is to couple known difference schemes for nonlinear hyperbolic equations with other ones for quasi-linear parabolic equations. We use flux limiter techniques, explicit–implicit difference schemes, Richardson extrapolation, etc. Theoretical analysis for illiquid market model is given. The numerical experiments show second-order accuracy for the numerical solution (the price) and Greeks Delta and Gamma, positivity and monotonicity preserving properties of the approximations.     

智能家居中基于实时电价的家用电器调度方案

针对现有调度方案中不能解决电器使用的不确定性和可再生能源的问题,提出了一种考虑不确定性的基于实时电价的家用电器任务调度方案,该方案采用线性规划的建模方法,以最小费用支出为优化目标,兼顾了PV光伏系统、家用蓄电池以及向电网出售剩余电力情况下的能量流动,用随机规划方法和蒙特卡罗模拟来解决电器使用过程中的不确定性,保证了用户满意度.最后经实验证明,该方案具有重要的实际意义.     

Optimal software pricing in the presence of piracy and word-of-mouth effect

We develop an analytical model that embeds empirical findings on software diffusion to examine optimal pricing strategies for a spreadsheet software product under coalescing effects of piracy and word-of-mouth through its entire life cycle. We find that the demand of the innovators has the most significant impact on the firm's pricing decision. Our research recommends market skimming pricing strategy if innovators' demand is high and the market penetration pricing strategy is preferred otherwise. Surprisingly, the increase of conversion rate of imitators to buyers never significantly alters the pricing strategy pre-determined by the demand of innovators. Most interestingly, the optimal profit from instituting a two prices policy for a software product with five years lifespan outperforms that from a one price policy by no more than 4%, a finding that corroborates the common one price policy observed in reality.     

Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time jump process that affects the drift of the returns in the politically unstable countries. The valuation model gives rise to a singular stochastic control problem that is analyzed numerically. The fundamental tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a system of integral-differential Variational Inequalities with gradient constraints.     

基于熵的灰关联模型在工程评标中的应用

针对建设工程评标中投标信息不全是明朗的这一现象,为消除评价指标确定权重时的主观影响和选择最接近业主理想承包商的投标单位,构建基于熵权的灰色关联度决策模型用于工程评标过程中.应用熵权法确定评标指标体系中各指标权重,灰色关联方法用于投标单位与业主理想承包商的关联程度,关联度值大的表明投标单位与理想承包商越接近,越符合业主的施工要求.结果表明:结合熵权重的加权关联度的计算应用于工程评标,使得评标结果更加客观,符合实际,为业主评标定标提供了定量决策依据,同时利于招标单位更合理、准确的选择承包单位.     

Water Crisis

Abstract

Water crisis was not considered seriously at the Dublin and Rio conferences. It was put on the world agenda primarily by the Stockholm Water Symposia. Water management is likely to change more during the next twenty years compared to the past 2,000 years. The paper reviews the global water situtation based on the latest data available. In terms of water availability, it concludes that one can now be cautiously optimistic of the global water future. If there is to be a crisis, it is likely to be for two reasons: water quality and lack of investments. Neither of these two issues are receiving adquate attention at present. The roles IWRA can play in the future are briefly outlined.     

美军武器装备激励约束定价机制研究

在分析美军武器装备约束激励定价的3种机制,即成本激励约束定价、技术激励定价和进度激励约束定价的方法和标准基础上,概括了美军武器装备激励约束定价的主要特点,提出了我军建立武器装备激励约束定价机制的几点思考。     

建设工程项目招投标博弈分析

文章首先阐述了建设工程项目招投标过程博弈的特性,在此基础上构建了不完全信息静态博弈模型,并得出相应的结论,为招标方设计招标机制提供理论支撑,随后对建设工程项目招投标过程中普遍存在的"寻租"现象产生的根源进行博弈模型分析。最终,对建设工程项目招投标活动提出了相应的发展建议。