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	1. European option pricing with transaction costs and dividends under the long memory stochastic volatility model
	Liu Qian,Wang Xiaotian
	Mathematics 28 January 2013
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	Abstract:This paper deals with the problem of option pricing using the long memory stochastic volatility model with transaction costs and dividends. Through the 'anchoring and adjustment' argument, a European call option pricing formula is obtained. It has been shown that dividends and transaction costs play an important role in option pricing under the long memory stochastic volatility model.
	TO cite this article:Liu Qian,Wang Xiaotian. European option pricing with transaction costs and dividends under the long memory stochastic volatility model[OL].[28 January 2013] http://en.paper.edu.cn/en_releasepaper/content/4512817


	2. A Stochastic Inequality on the Largest Order Statisticsfrom Heterogeneous Gamma Variables
	ZHAO Peng
	Mathematics 17 January 2013
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	Abstract:In this paper, we compare the largest orders statistics arising fromindependent heterogeneous gamma random variables according to thethe reversed hazard rate order. The resultderived here strengthens and generalizes some of the results known inthe literature. Some numerical examples are also provided toillustrate the main result.
	TO cite this article:ZHAO Peng. A Stochastic Inequality on the Largest Order Statisticsfrom Heterogeneous Gamma Variables[OL].[17 January 2013] http://en.paper.edu.cn/en_releasepaper/content/4515984

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	3. Backward Doubly Stochastic Differential Equations with Time Delayed Generators
	LUO Jiaowan,ZHANG Youcun,LI Zhi
	Mathematics 25 December 2012
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	Abstract:In this paper, we study backward doubly stochastic differential equation with time delayed generators. In this new type of equations, generators at time t can depend on the values of a solution in the past, weighted with a time delay function for instance of the moving average type. We prove existence and uniqueness of a solution for a sufficiently small Lipschitz constant of generators.
	TO cite this article:LUO Jiaowan,ZHANG Youcun,LI Zhi. Backward Doubly Stochastic Differential Equations with Time Delayed Generators[OL].[25 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4506993


	4. Semi-Linear Degenerate Backward Stochastic Partial DifferentialEquations and Associated Forward Backward Stochastic DifferentialEquations
	DU Kai,ZHANG Qi
	Mathematics 18 December 2012
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	Abstract:In this paper, we consider the Cauchy problem of semi-linear degeneratebackward stochastic partial differential equations (BSPDEs in short) undergeneral settings without technical assumptions on the coefficients. For thesolution of semi-linear degenerate BSPDE, we first give a proof for itsexistence and uniqueness, as well as regularity. Then the connection betweensemi-linear degenerate BSPDEs and forward backward stochastic differentialequations (FBSDEs in short) is established, which can be regarded as anextension of Feynman-Kac formula to non-Markovian framework.
	TO cite this article:DU Kai,ZHANG Qi. Semi-Linear Degenerate Backward Stochastic Partial DifferentialEquations and Associated Forward Backward Stochastic DifferentialEquations[OL].[18 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4504574


	5. The Unbiased Property of the Two-step Procedure Under Positive Dependence
	Zhuang Weiwei,Jianping Yang,Taizhong Hu,Liu Jie
	Mathematics 13 December 2012
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	Abstract:In the past decade, the false discovery rate (FDR) introduced by Benjamini and Hochberg has been used widely in the multiple testing problems. For comparing different FDR-controlling procedure, the false negatives rate (FNR) as an similar measure are introduced . Sarkar proposed the unbiasedness property of a multiple testing procedure, which is defined as FDR+FNR≤1, and indicated that one good procedure should satisfy the unbiased property. Sarkar conjectured that the two-step ?idák procedure should be unbiased. We verify the conjecture of Sarkar , and establish the unbiased properties of the two-step ?idák procedure under positive dependence.
	TO cite this article:Zhuang Weiwei,Jianping Yang,Taizhong Hu, et al. The Unbiased Property of the Two-step Procedure Under Positive Dependence[OL].[13 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4502454


	6. Exit problems for jump processes with applicationsto dividend problems
	YIN Chuancun,SHEN Ying,WEN Yuzhen
	Mathematics 11 December 2012
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	Abstract:This paper investigates the first passage times to flat boundaries for hyper-exponential jump (diffusion) processes.Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot), the joint distribution of the process and running suprema (infima), are obtained. The processes recover many models appearing in the literature such as the compound Poisson risk models, the diffusion perturbed compound Poisson risk models, and their dual models. As applications, we present explicit expressions of the dividend formulae forbarrier strategy and threshold strategy.
	TO cite this article:YIN Chuancun,SHEN Ying,WEN Yuzhen. Exit problems for jump processes with applicationsto dividend problems[J].


	7. Bilateral Counterparty Risk Valuation for CDS in a Contagion Model Using Markov Chain
	Dong Yinghui,Wang Guojing
	Mathematics 09 December 2012
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	Abstract:The computation of the bilateralcounterparty valuation adjustment of CDS is in effect the modelingof the default correlation between the investor, the protectionseller, and the reference entity. We present a contagion model,where defaults of three parties are all driven by a commoncontinuous-time Markov process. We give the explicit formula for thebilateral credit valuation adjustment (CVA) of the CDS and examinethe effect of the regime switching on the CVA.
	TO cite this article:Dong Yinghui,Wang Guojing. Bilateral Counterparty Risk Valuation for CDS in a Contagion Model Using Markov Chain[OL].[ 9 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4502104


	8. FDR control for Two-step Procedure Under Positive Dependence
	Zhuang Weiwei,Jianping Yang,Taizhong Hu,Liu Jie
	Mathematics 30 November 2012
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	Abstract:Controlloing the familywise error-rate (FWE) is the traditional method in the multiple testing research. However, when many of tested hypotheses are rejected, controlling the FWE becomes overstrict. As the expected proportion of erroneous rejections among all rejections, the false discovery rate (FDR), introduced by Benjamini and Hochberg (1995), has been of interest in the past decade. Sarkar (2006) modified the sidák FDR procedures under independence from a single-step to a two-step procedure. In this paper, we consider how to control the FDR for the two-step sidák procedure, under the assumption that the test statistics are MTP2, and extend the results in Sarkar (2006).
	TO cite this article:Zhuang Weiwei,Jianping Yang,Taizhong Hu, et al. FDR control for Two-step Procedure Under Positive Dependence[OL].[30 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4499494


	9. Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes
	YIN Chuancun,SHEN Ying,YUEN Kam-Chuen
	Mathematics 22 November 2012
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	Abstract:This paper considers the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative L'evy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. We shown that a thresholdstrategy forms an optimal strategy under the condition that theL'evy measure has a completely monotone density.
	TO cite this article:YIN Chuancun,SHEN Ying,YUEN Kam-Chuen. Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes[OL].[22 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4497694


	10. A Mixed Brownian-Poisson-fractional Model for option pricing
	Liu Qian,Wang Xiaotian
	Mathematics 17 November 2012
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	Abstract:For option pricing, a mixed model with respect to standard Brownian motion and Poisson fractional process with 'Hurst exponent' being in (1/2,1) is established. We show that although return distributions of stocks are leptokurtic and skewed, have fatter tails than normal distribution and stock return series exhibit long-range dependence, the Black-Scholes formula still holds. We conclude that the skewed and fatter tail distributions as well as long-range dependence in stock return series are not fundamental factors to explain the smile effect of implied volatility in the Black-Scholes formula in some cases.
	TO cite this article:Liu Qian,Wang Xiaotian. A Mixed Brownian-Poisson-fractional Model for option pricing[OL].[17 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4496397

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