Pricing Weather Derivatives Index based on Temperature: The Case of Bahir Dar,Ethiopia     

Tesfahun BERHANE  Aemiro SHIBABAW  Gurju AWGICHEW 《资源与生态学报(英文版)》2019,10(4):415-423

In this paper we present a stochastic model for daily average temperature to calculate the temperature indices upon which temperature-based derivatives are written. We propose a seasonal mean and volatility model that describes the daily average temperature behavior using the mean-reverting Ornstein-Uhlenbeck process. We also use higher order continuous-time autoregressive process with lag 3 for modeling the time evolution of the temperatures after removing trend and seasonality. Our model is fitted to 11 years of data recorded, in the period 1 January 2005 to 31 December 2015, Bahir Dar, Ethiopia, obtained from Ethiopia National Meteorological Services Agency. The analytical approximation formulas are used to price heating degree days (HDD) and cooling degree days (CDD) futures. The suggested model is analytically tractable for derivation of explicit prices for CDD and HDD futures and option. The price of the CDD future is calculated, using analytical approximation formulas. Numerical examples are presented to indicate the accuracy of the method. The results show that our model performs better to predict CDD indices.  相似文献   

基于F-范数的不确定性平差模型的解算方法     

鲁铁定  朱国红 《大地测量与地球动力学》2018,38(6):557-561

为提高基于F-范数的不确定性平差模型的解算效率,给出直接迭代算法进行参数估计。该算法无需SVD,解算过程简单且易于编程计算,同时给出迭代不收敛时的SVD-解方程算法。二元线性拟合及沉降观测AR模型的算例结果表明,这2种算法正确可行,与SVD-迭代算法具有等价性。当迭代收敛时,宜使用直接迭代算法,收敛速度更快,解算效率更高;当迭代不收敛时,可釆用SVD-解方程算法。  相似文献   

性类固醇激素及其受体在半滑舌鳎性腺分化发育过程中的表达与生理功能     

徐永江  柳学周  温海深  王清印  马学坤  倪娜  赵明 《中国海洋大学学报(自然科学版)》2010,40(7)

首次用17β-雌二醇(E_2)及其受体(ERα)、睾酮受体(AR)的多克隆抗体在半滑舌鳎(Cynoglossus semilaevisG(u|¨)nther)性腺分化发育过程中进行免疫细胞化学定位研究。结果表明:在半滑舌鳎原始性腺中已有E_2、ERα和AR的分布和表达;卵原细胞、初级卵母细胞、精原细胞、初级精母细胞、次级精母细胞对E_2及ERα、AR抗体均呈现不同程度的阳性反应,在精细胞和精子中对E_2和ERα呈免疫阴性反应,而AR则一直保持较强表达,揭示了半滑舌鳎性腺中类固醇激素可能通过旁分泌调控机制刺激卵子和精子发育和成熟。性类固醇激素及其受体免疫阳性物定位在生殖细胞的胞质、胞膜和核膜等广泛部位并有表达,在性腺分化和不同发育时期的表达强度有所不同,表明其在性腺分化发育过程各阶段所起生理功能不同。这些结果为证明性类固醇激素及受体参与调节半滑舌鳎性腺分化发育提供了重要形态学新证据。  相似文献   

����ARģ�͵��Ϻ������������Ԥ�����   总被引：2，自引：1，他引：1  

焉建国  陈正松  罗志才  李琼 《大地测量与地球动力学》2009,29(5):121-124

????AR?????????????????????????????????????AIC?????AR????????????????????,AR??4?????????????????????AR(4)???????????δ??10???????????????????  相似文献   

雄性半滑舌鳎雄激素受体基因的克隆与表达分析     

温海深  张葭人  陈彩芳  金国雄  陈晓燕  史宝  何峰 《中国海洋大学学报(自然科学版)》2009,39(3)

利用RT-PCR方法从半滑舌鳎(Cynoglossus semilaevis)中克隆了雄激素受体(Androgen receptor,AR)基因cDNA的部分序列(434 bp),经BLAST比对与狼鲈(Dicentrarchus labrax)、花溪(Kryptolebias marmoratus)、三斑海猪鱼(Halichoeres trimaculatus)和三刺鱼(Gasterosteus aculeatus)的雄激素受体同源性分别为84%,82%,82%和81%.组织表达分析表明,AR基因在半滑舌鳎的性腺、肝、胃、脾、肾、头肾、肠、鳃、心、脑和肌肉这11种组织中均有表达,表达量有所差异.肾中表达量最丰富,鳃中最少.根据其他硬骨鱼类表达模式,推测半滑舌鳎可能只含有1种AR.  相似文献   

基于AR（p）的卡尔曼滤波在GPS变形监测中的应用     

赵新秀  王解先 《全球定位系统》2009,34(5):42-45

由于AR（p）模型结构比较简单且计算比较方便,在变形分析中,目前常采用此模型建立变形模型。然而单纯的AR模型把模型参数作为定值,变形数据拟合误差及变形预测误差可能会比较大。介绍了将卡尔曼滤波引入AR模型,利用观测数据建立AR模型,即建立观测方程;以AR模型的参数为状态向量建立状态方程。从而形成动态系统的卡尔曼滤波函数模型,动态计算出AR模型的参数以便预测。此方法快速、实时,且占有较少内存,充分利用了AR模型和卡尔曼滤波二者的优点。  相似文献   

Analysis of the Decadal and Interdecadal Variations of the East Asian Winter Monsoon as Simulated by 20 Coupled Models in IPCC AR4     

HE Shengping  WANG Huijun 《Acta Meteorologica Sinica》2012,26(4):476-488

Using the output data of 20 coupled climate models used in IPCC AR4 and observational data from NCEP, the capability of the models to simulate the boreal winter climatology of the East Asian sea level pressure, 850-hPa wind, and surface air temperature; the decadal variations of the East Asian winter mon- soon (EAWM) intensity and EAWM-related circulation, and the interdecadal variations of EAWM-related circulation are systematically evaluated. The results indicate that 16 models can weakly simulate the declin- ing trend of the EAWM in the 1980s. More than half of the models produce relatively reasonable decadal variations of the EAWM-related circulation and the interdecadal di?erences of EAWM-related circulation between the boreal winters of 1960-1985 and 1986-1998, including the weakened Siberian high, Aleutian low, and East Asian trough, the enhanced Arctic oscillation and North Pacific oscillation, and a deepened polar vortex. It is found that the performance of the multi-selected-model ensemble in reproducing the spatial dis- tribution of the variations is encouraging, although the variational amplitudes are generally smaller than the observations. In addition, it is found that BCCR_BCM2.0, CGCM3.1_T63, CNRM_CM3, CSIRO_MK3.0, GISS-ER, INM_CM3.0, and MRI_CGCM2.3.2 perform well in every aspect  相似文献   

华山树木年轮年表的建立   总被引：83，自引：2，他引：83  

邵雪梅  吴祥定 《地理学报》1994,49(2):174-181

本文以秦岭东部的华山为例，论述了建立常规标准化、差值、自回归标准化这三种树木年轮年表的途径，指出了在半湿润地区利用这种途径建立树木年轮气候学年表的必要性，并进一步分析了三种年表对气候要素的响应及其差异。在取样环境较复杂的地点，建立多种年表有利于深入探讨气候要素与树木生长之间的关系，有推广的价值。  相似文献   

农田土壤水分的随机模拟和预报   总被引：3，自引：0，他引：3  

申双和  周英 《南京气象学院学报》1993,16(3):324-328

  相似文献   

用时间序列模拟和预报天山乌鲁木齐河源1号冰川年径流总量     

宋强  陈靖 《冰川冻土》1990,(2)

本文把1958—1984年天山乌鲁木齐河源1号冰川的融水径流总量的时间序列X(t),分解为趋势项L(t)、周期项P(t)、平稳项S(t)、随机项ε(t),使该时间序列表示为X(t)=L(t)+P(t)+S(t)+ε(t)。采用非线性回归提取L(t),用谱分析和Fourier级数提取P(t),余差用自回归方程建模,用上述项的叠加作出预报,按相关指数公式计算R=0.90,效果良好。  相似文献