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Dynamic Hedging Based on Markov Regime-Switching Dynamic Correlation Multivariate Stochastic Volatility Model

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Journal of Donghua university(English Edition) 2017年第3期34卷 475-478页

作者：王宜峰 postdoctoral-Research station Shenwan Hongyuan Securities Co. Ltd. Shanghai 200031 China applied economics postdoctoral Research station Antai College of Economics & Management Shanghai Jiaotong UniversityShanghai 200030 China

It is important to consider the changing states in *** Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.

关键词： dynamic correlation multivariate stochastic volatility(DCMSV) model Markov regime-switching dynamic correlation multivariate stochastic volatility(MRS-DC-MSV) model minimum variance hedge ratio

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Pricing Credit Default Swap with Contagious Risk and Simulation

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Journal of Shanghai Jiaotong university(Science) 2016年第1期21卷 57-62页

作者：郝瑞丽张金清刘永辉胡周红 Post-Doctoral station of applied economics School of Economics Fudan University School of Statistics and Mathematics Shanghai Finance University School of Business Information Management Shanghai University of International Business and Economics Department of applied Mathematics Shanghai University of Finance and Economics

This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection's seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.

关键词： credit default swap(CDS) contagious risk Vasicek interest rate

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Coordinated deformation control technologies for the high sidewall—bottom transfixion zone of large underground hydro-powerhouses

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Journal of Zhejiang university-Science A(applied Physics & Engineering) 2022年第7期23卷 543-563页

作者： Qi-xiang FAN Zhi-yun DENG Peng LIN Guo LI Ji-lin FU Wei HE China Huaneng Group Co. Ltd.Beijing100031China China Three Gorges Group Corporation Beijing100038China Department of Hydraulic Engineering Tsinghua UniversityBeijing100084China

It is imperative to understand the spatial and temporal coordination deformation mechanism and develop targeted deformation control technologies for high sidewall—bottom transfixion(HSBT)zones to guarantee the stability of rock surrounding underground hydro-powerhouses under complex geological *** this study,the spatial and temporal coordinated deformation control of HSBT zones was addressed from the aspects of the deformation mechanism,failure characteristics,and control requirements,and some coordinated deformation control technologies were *** this basis,a case study was conducted on the deformation control of the HSBT zone of the underground powerhouse at the Wudongde hydropower station,*** results showed that the relationship between excavation and support,and the mismatch of deformation and support of the surrounding rock mass in the HSBT zone of underground caverns with a large span and high in-situ stress can be appropriately *** solution requires proper excavation and construction procedures,fine blasting control,composite and timely support,and real-time monitoring and dynamic *** technologies proposed in this study will ensure the safe,high-quality,and orderly construction of the Baihetan and Wudongde underground caverns,and can be applied to other similar projects.

关键词： Underground powerhouse Coordinated deformation mechanism High sidewall-bottom transfixion(HSBT) Cavern group Control technology

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Bus travel time reliability incorporating stop waiting time and in‑vehicle travel time with AVL data

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International Journal of Coal Science & Technology 2022年第5期9卷 187-202页

作者： Zixu Zhuang Zhanhong Cheng Jia Yao Jian Wang Shi An School of Transportation Science and Engineering Harbin Institute of TechnologyHarbin 150090HeilongjiangChina School of economics and Management Dalian University of TechnologyDalian 116024LiaoningChina

Improving bus travel time reliability can attract more commuters to use bus transit,and therefore reduces the share of cars and alleviates trafc *** paper formulates a new bus travel time reliability metric that jointly considers two stochastic processes:the in-stop waiting process and in-vehicle travel time process,and the bus travel time reliability function is calculated by the convolution of independent events’*** new reliability metric is defned as the probability when bus travel time is less than a certain threshold and can be used in both conditions with and without bus ***,Automatic Vehicle Location(AVL)data of the city of Harbin is used to demonstrate the applicability of the proposed *** show that factors such as weather,day of the week,departure time,travel distance,and the distance from the boarding stop to the bus departure station can signifcantly afect the travel time ***,a case with low bus departure frequency is analyzed to show the impact of travelers’arrival distribution on their bus travel time ***,it is demonstrated that the travel time reliabilities of two bus transfer schemes of the same Origin–Destination(O–D)pair can have signifcantly diferent *** the bus travel time reliability pattern of the alternative bus routes can help passengers to choose a more reliable bus route under diferent *** proposed bus travel time reliability metric is tested to be sensitive to the efect of diferent factors and can be applied in bus route recommendation,bus service evaluation,and optimization.

关键词： Reliability Bus travel time Automatic vehicle location Bus departure frequency

Unraveling natural aging-induced properties change of sludge-derived hydrochar and enhanced cadmium sorption site heterogeneity

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Biochar 2022年第1期4卷 615-634页

作者： Bingyu Wang Cenyao Shang Huifang Xie Haijun Sun Qiang Zhang Lihong Xue Filip M.G.Tack Deyi Hou Yanfang Feng Jörg Rinklebe Jiangsu Key Laboratory of Chemical Pollution Control and Resources Reuse School of Environmental and Biological EngineeringNanjing University of Science and TechnologyNanjing 210094China Key Laboratory of Agro-Environment in Downstream of Yangtze Plain National Agricultural Experiment Station for Agricultural EnvironmentMinistry of Agriculture and Rural AffairsInstitute of Agricultural Resources and EnvironmentJiangsu Academy of Agricultural SciencesNanjing 210014China Co-Innovation Center for Sustainable Forestry in Southern China College of ForestryNanjing Forestry UniversityNanjing 210037China Department of Green Chemistry and Technology Ghent University9052 GhentBelgium School of Environment Tsinghua UniversityBeijing 100084China School of Architecture and Civil Engineering Institute of Foundation EngineeringWaterand Waste-ManagementLaboratory of Soiland Groundwater-ManagementUniversity of WuppertalPauluskirchstraße 742285 WuppertalGermany

Hydrochar has potential applications in soil improvement and heavy metal *** would undergo the process of aging when introduced into the soil,altering its ***,recent studies have focused mainly on the artificial aging of hydrochar,which could not reveal the cumulative effect of multiple environmental ***,the periodical monitoring of the property and sorption behavior of hydrochar after amending soils is necessary to better understand the multifaceted mechanisms associated with the natural aging of *** study selected the sludge-derived hydrochar(SLHC)as a typical hydrochar and applied a 16-month rice-wheat-rice rotation to mimic the natural aging of hydrochar,focusing on changing properties and cadmium(Cd)sorption and literature contrast between aging strategies and biochar *** porosity,O abundance,and ash content of 16-month aged SLHC increased by 37%,47%,and 8.5%,respectively,facilitating Cd sorption due to surface complexation,pore sorption,and *** sorption percentage of Cd to SLHC was in the range of 11-14%for SLHC-A0 and increased to 17-31%for SLHC-A4 and 20-32%for SLHC-A16 after natural *** natural aging of SLHC induced by ash content played an essential role in Cd sorption site *** regression analysis showed that aging strategies on sorption behavior significantly differed between ***,studies involving natural aging with multiple environmental factors are preferred over those involving chemical or biological *** studies should continue to explore the mechanisms of natural aging-induced heavy metal sorption between hydrochar and *** results improve insights to appraise the potential of SLHC as soil amendments to alleviate the adverse effects of heavy metal contamination and provide an essential basis for researchers and staff in soil management and environmental prevention.

关键词： Sludge-derived hydrochar Hydrothermal carbonization Natural aging Physicochemical properties Sorption behavior Cadmium

Assessing the ecological vulnerability of protected areas by using Big Earth Data

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International Journal of Digital Earth 2021年第11期14卷 1624-1637页

作者： Yaomin Zheng Shudong Wang Yue Cao Jinlian Shi Yi Qu Liping Li Tianjie Zhao Zhenguo Niu Rui Yang Peng Gong School of International economics and Management Beijing Technology and Business UniversityBeijingPeople’s Republic of China Aerospace Information Research Institute Chinese Academy of SciencesBeijingPeople’s Republic of China Institute for National Parks Tsinghua UniversityBeijingPeople’s Republic of China Department of Landscape Architecture School of ArchitectureTsinghua UniversityBeijingPeople’s Republic of China eInstitute for Culture and Tourism Development(ICTD) Beijing Technology and Business UniversityBeijingPeople’s Republic of China National and Local Joint Laboratory of Wetland and Ecological Conservation Institute of Natural Resources and EcologyHeilongjiang Academy of SciencesHarbinPeople’s Republic of China Ministry of Education Key Laboratory for Earth System Modeling Department of Earth System ScienceTsinghua UniversityBeijingPeople’s Republic of China Ministry of Education Ecological Field station for East Asian Migratory Birds BeijingChina Department of Geography and Department of Earth Sciences University of Hong KongHong KongPeople’s Republic of China

The ecological vulnerability of global protected areas(PAs)is linked to the 2030 United Nations Sustainable Development *** developed a novel degree of ecological vulnerability(DEV)index based on Big Earth Data to assess the ecological vulnerability of *** is a transparent,repeatable,large-scale and rapid assessment *** applied the method to case studies of International Union for Conservation of Nature(IUCN)PAs in the basins of the Aral Sea,the Caspian Sea,the Black Sea and the Lake *** 2001 and 2015,the spatial pattern of ecological vulnerability in the study area was relatively *** Caspian Sea basin and protected landscape/seascape(category V)showed high ecological vulnerability,while the Black Sea basin and wilderness areas(category Ib)showed low ecological *** Earth Data shows great vitality in PAs ecological vulnerability *** international cooperation is an important means to break the bottleneck of ecological environment and resource endowment in these important international basins.

关键词： Protected areas ecological vulnerability assessment remote sensing sustainable development goals