一个非对称GARCH模型的严平稳遍历性

讨论了一个非对称广义自回归条件异方差新模型的严平稳性及遍历性,并且给出了该模型存在高阶矩的条件

ARCH型有限阶双线性模型的平稳性

给出了一个ARCH型有限阶双线性模型,讨论了这一模型的严平稳性及遍历性。进一步,做为这一新结论的应用,推导了经典的ARCH(p)模型存在平稳遍历解的充分必要条件

方差Gamma过程与期权定价

研究了几何Lévy过程中,具有代表性的一类过程-方差Gamma过程下的等价鞅测度类问题,并且讨论了其具有的分析性质.进一步,我们也考虑了基于该过程的普通期权的定价

最小对称熵鞅测度和不完备市场中的定价问题

在等价鞅测度集Me≠的条件下,文章给出了最小对称熵鞅测度的概念.利用这一新的准则,确定了鞅测度,提供了存在惟一最小对称熵鞅测度的充分条件.进一步,刻画了最小对称熵鞅测度密度的特征.最后,在不完备市场的条件下,讨论了对称熵最小化和效用函数最大化的等价性

带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法

我们首先提出了一个带ARMA(1,1)条件异方差相关的随机波动模型,它是基本的随机波动模型的一个自然的推广.进一步,对于这一新模型,我们给出了一个马尔可夫链蒙特卡罗(M CM C)算法.最后,利用该模型的模拟数据,展示了M CM C算法在这种模型中的应用

带有事件风险的永久美式期权的定价

主要研究带有事件风险的永久美式期权的定价及其最优停时问题.当事件发生时,期权就停止,期权的卖方就要付给期权执有者一定的打折后的支付.因此,事件风险的存在会影响期权执有者的执行策略.本文在一个合适的等价鞅测度下,给出了带有事件风险的永久美式期权的定价及其最优停时.进一步地推导了带有事件风险的永久美式期权的上界和下界

一族GARCH模型的概率性质

简要回顾了异方差ARCH(GARCH)模型的有关背景,并以此为基础提出了一族广义自回归条件异方差(GARCH)模型hδt-1,然后讨论了这族广义自回归条件异方差(GARCH)模型的严平稳性及遍历性,t=gt-1+ct-1hρ同时给出了该模型存在高阶矩的充分条件,并对这族GARCH模型的一类子模型进行了模拟

局部风险最小下保险合约的套期保值

单位联系保险合约的偿付额与金融市场中某特定股票的价格有关,我们考虑一同时描述金融市场和保险群体不确定性的模型,其不完全性来源于股价的混合扩散和保险个体的死亡,我们给出该模型下的最小鞅测度并在局部风险最小准则下考查单位联系寿险合约的套期保值问题

Study on the central response mechanism in gastric ulcer rats treated by electroacupuncture using ~1H NMR metabolomics techniques

目的:采用核磁共振氢谱技术(~1H; NMR)研究电针胃经穴治疗应激性胃溃疡大鼠大脑皮质、下丘脑、延髓代谢物谱的表达。方法:40只Wistar大鼠随机分为正常组、模型组、胃经组和胆经; 组。利用束缚冷应激法制备应激性胃溃疡模型大鼠,造模成功后用电针分别刺激胃经组和胆经组相关穴位。收集大鼠大脑皮质、下丘脑、延髓,获取一维~1H; NMR谱,并利用模式识别方法分析各组间的代谢轮廓差异。结果:模型组与正常组、胃经组、胆经组大鼠大脑皮质、下丘脑和延髓代谢物谱均有明显区分,其中正; 常组与模型组分离最明显,胃经组最接近正常组,说明其代谢物谱趋向正常。与模型组比较,胃经组大鼠大脑皮质乳酸、萘乙酸、甘露醇等表达上升(P<0.05; ),而肌酸、腺苷、肌苷等表达下降(P<0.05),下丘脑乳酸、肌醇、谷氨酸酯等表达上升(P<0.05),gamma-氨基丁酸等表达下降(P<0.; 05),延髓乳酸、谷氨酸脂、肌醇、丙氨酸等表达上升(P<0.05),而萘乙酸、肌酸等表达下降(P<0.05)。结论:电针胃经穴可调节胃溃疡大鼠大; 脑皮质、下丘脑、延髓的代谢产物表达,大脑皮质、下丘脑和延髓是电针胃经穴治疗胃溃疡的中枢响应位点。Objective: To study the metabolic profiling of the cerebral cortex,; hypothalamus and medulla oblongata from irritable gastric ulcer rats; treated with electroacupuncture on acupoints of the stomach meridian; with 1H nuclear magnetic resonance (~1H NMR) spectroscopy. Methods:; Forty SD rats are randomly divided into the control group, the model; group, the stomach meridian group and the gallbladder meridian group.; The irritable gastric ulcer rat model was established by water-immersion; and restraint stress method. After modeling, the rats from the stomach; meridian group and the gallbladder meridian group were treated with; electroacupuncture on the stomach meridian and gallbladder meridian; respectively. ~1H NMR spectroscopy was applied to detect the metabolic; profiling of the cerebral cortex, hypothalamus and medulla oblongata,; then analyzed metabolic contour differences among the groups using; pattern recognition method. Results: Obvious distinctions were found; between the metabolites spectrum of the cerebral cortex, hypothalamus; and medulla oblongata from the model group, the normal group, the; stomach meridian group and the gallbladder meridian group. More; significant differences were found between the normal group and the; model group, while the metabolites spectrum of the stomach meridian; group was more distinctly close to that in the normal group, indicating; that metabolites spectrum of the stomach meridian group was likely to; normal. Compared with the model group, the concentration of lactic acid,; acetic acid, mannitol increased while creatine, adenosine and inosine; decreased in cerebral cortex of the stomach meridian group (P<0.05), the; concentration of lactic acid, glutamic acid, inositol and alanine; increased while gamma aminobutyric acid decreased in hypothalamus of the; stomach meridian group (P<0.05), the concentration of lactate,; glutamate, myo-lnositol, alanine increased (P<0.05) and naphthylacetic; acid and creatine decreased in medulla oblongata of the stomach meridian; group (P<0.05). Conclusion: Electroacupuncture on acupoints of the; stomach meridian could regulate specific metabolites in the cerebral; cortex, hypothalamus and medulla oblongata, indicating that the cerebral; cortex, hypothalamus and medulla oblongata as the central response site; in the treatment of gastric ulcer by electroacupuncture on acupoints of; the stomach meridian.国家自然科学基金项目; 广东省自然科学基金项目; 深圳市科技计划项