Systems Engineering - Theory & Practice最新文献

When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use the overlap of two or more futures contracts to hedge for the spot. In this article, using the shorter futures contract-by-stack to construct the hedging portfolio, which makes the time of the hedging portfolio equal to the spot's time, the optimal model of strip-and-roll hedge based on the min-variance is set up. First, by establishing the risk function of the overlap futures-contracts to gain the optimal hedging ratio, controlling problem of the total risk in the series of complicated time is solved. Second, in the total hedging risk of the smallest cases, the proportion of relations of the different overlap futures will be concluded and then the optimal ratio of different futures in the overlap interval. Empirical studies show that the efficiency of hedging in this study is higher than the existing stack-and-roll hedge model.

This article summarizes the factors and basic theory in mortgaged-backed securities pricing, builds suitable models for Chinese MBS product, and carries out empirical study on Jianyuan 2007-1RMBS. By assimilating the successful experiences of developed countries and regions, BDT model is applied to construct term structure of 1-year interest rate, and then under the assumption that CPR is 100% PSA, binary tree of interest rate path is generated through Monte-Carlo simulation, and finally, the option-adjusted spread (OAS) values of three tranches are calculated. The conclusion is that when OAS is low, the nominal spread equals to or slightly higher than OAS, while the difference will gradually expand with the OAS increasing. Moreover, the OAS pricing method more adapts to market-oriented interest rates, and can be used as reference in Chinese MBS pricing in the future.

From the perspective of Chinese commercial banks' loan pricing, combined with credit rationing theory, using the method of agent-based computational finance(ACF), to do the bank loan's simulation experiment both on “one cutting” type of interest rate pricing and a comprehensive pricing model. From the comparison, we found that the different interest rates pricing model impact SMEs loan. From the experiment when the loan interest rate raise to a certain extent, the earning of bank will reduce accompany by the increasing of interest rate, to some extent, reflecting the credit rationing phenomenon of SMEs(Small and Medium Enterprises). Through the experiment we found that the comprehensive loan interest rate pricing method slow down their financing difficulties, and they also don't reduce bank's earning. So the commercial banks should choose a reasonable interest rate pricing model, according to the loan amount, credit grade, asset-liability ratio, the way of security, and other indicators, according to the risk of small, low cost, and the specific circumstances of the borrower companies, to implement different interest rate.

Taking into account the uncertain delay of work on the critical path, the online strategy and competitive analysis are introduced into time-cost optimizing in project management. The competitive ratio of the strategy is given, and the prerushing strategy is proved to be the best determinate one. The relationship between the general strategy and the optimal offline strategy is analyzed, and three properties are discovered. On this basis, this article designs the risk-tolerance strategy and proves its competitive ratio to help the project manager in choosing the optimal strategy according to his own risk tolerance and forecast.

This article offers an effective solution of forecasting the RMB exchange rate volatility during the financial crisis period. Based on the test of nonlinearity structure in the exchange rate system via the method of surrogate data, the optimal lag periods for each specific exchange rate series were computed by autocorrelation criterion (AC) approach, and then, the structure of multilayer perceptrons (MLP) and recurrent neural networks (RNN) were applied to build the homogeneous artificial neural network (ANN) model. The comparison of the forecast results of ANNs with different parameters shows that, according to the specific exchange rate series, the forecast performance of ANN models with different freedom of degrees has obvious differences in different forecast periods. The RNN model, which contains layer feedback process, has showed great ability to explain and forecast the RMB exchange rates volatility behavior. The optimal forecasting model for each RMB exchange rate volatility series has been found and explained.