Valuation of futures options with initial margin requirements and daily price limit

The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.     

A FAST SIMPLEX ALGORITHM FOR LINEAR PROGRAMMING

Recently, computational results demonstrated remarkable superiority of a so-called ＂largest-distance＂ rule and ＂nested pricing＂ rule to other major rules commonly used in practice, such as Dantzig＇s original rule, the steepest-edge rule and Devex rule. Our computational experiments show that the simplex algorithm using a combination of these rules turned out to be even more efficient.     

ON THE REASONING EXPRESSIONS AND THE NATURE OF DEDUCTION RULES

Reasoning expressions are those which express the reaasoning procedure by means ofonly deduction rules and the initial formulas(axioms or assumptions)without the helpof any intermediate results.They express the procedure systematically,completely andconcisely.The deduction rules are mappings from formulas(premises)to formula(conclusion).The elementary rules are certain propositional connectives(but notnecessarily truth functions)while the higher rules are certain quantifiers.Besides,thedetachment rule is an inverse of the connective implication,and is itself the kernel ofdeduction method;while another inverse of implication(i.e.the suggestion rule)is thekernel of induction method.     

数值积分的可选择误差界(英文)

Similar to having done for the mid-point and trapezoid quadrature rules,we obtain alternative estimations of error bounds for the Simpson＇s quadrature rule involving n-time（1 ≤ n ≤ 4） differentiable mappings and then to the estimations of error bounds for the adaptive Simpson＇s quadrature rule.     

利用有限域上奇异伪辛几何构作具有仲裁的认证码

A construction of authentication codes with arbitration from singular pseudo-symplectic geometry over finite fields is given and the parameters of the code are computed. Under the assumption that the encoding rules of the transmitter and the receiver are chosen according to a uniform probability distribution, the probabilities of success for different types of deceptions are also computed.     

TRACTABILITY OF MULTIVARIATE INTEGRATION PROBLEM FOR PERIODIC CONTINUOUS FUNCTIONS

The authors study the tractability and strong tractability of a multivariate integration problem in the worst case setting for weighted l-periodic continuous functions spaces of d coordinates with absolutely convergent Fourier series.The authors reduce the initial error by a factor ε for functions from the unit ball of the weighted periodic contin- uous functions spaces.Tractability is the minimal number of function samples required to solve the problem in polynomial in ε~(-1)and d.and the strong tractability is the pres- ence of only a polynomial dependence in ε.This problem has been recently studied for quasi-Monte Carlo quadrature rules.quadrature rules with non-negative coefficients. and rules for which all quadrature weights are arbitrary for weighted Korobov spaces of smooth periodic functions of d variables.The authors show that the tractability and strong tractability of a multivariate integration problem in worst case setting hold for the weighted periodic continuous functions spaces with absolutely convergent Fourier series under the same assumptions as in Ref.[14]on the weights of the Korobov space for quasi-Monte Carlo rules and rules for which all quadrature weights are non-negative.The arguments are not constructive.     

NASH EQUILIBRIA WITHOUT CONTINUITY OF THE CHOICE RULES

The proposal in Alcantud and Alo′s-Ferrer [1], where players that express their tastes according to choice rules facing a competitive situation, is further exploited here. We prove that, under lack of continuity of the choice rules it is also possible to ensure the existence of equilibrium. We shall appeal to general situations that are fulfilled by well-established models, where players have non-transitive preferences of various types.     

A SET OF SYMMETRIC QUADRATURE RULES ON TRIANGLES AND TETRAHEDRA

We present a program for computing symmetric quadrature rules on triangles and tetrahedra. A set of rules are obtained by using this program. Quadrature rules up to order 21 on triangles and up to order 14 on tetrahedra have been obtained which are useful for use in finite element computations. All rules presented here have positive weights with points lying within the integration domain.     

中介逻辑的命题运算系统(Ⅰ)

In this paper, we construct the propositional calculus system of mediumlogic MP under the view of medium principe. We first make out thevocabulary of MP and the rules of its formation and inference, and then, after a primary development, we reduce it to ten formal theorems (the formal relations of inference). More precisely, the theorems can be divided into 38 relations of inference, in which only 5 have alrealy been contained in the classiccal natural inference system P, this is to say, all the others are peculiar to tthe non-classical logic system MP.     

利用有限局部环Z/pkZ上的幂等矩阵的标准型构作认证码

In this paper,we determine the normal forms of idempotent matrices for similarity over finite local rings Z/p~kZ,from which we construct a Cartesian au- thentication code and compute its size parameters and the probabilities of successful impersonation and substitution attack under the hypothesis that the cecoding rules are chosen according to a uniform probability distribution.     

Szegő–Lobatto quadrature rules

Gauss-type quadrature rules with one or two prescribed nodes are well known and are commonly referred to as Gauss–Radau and Gauss–Lobatto quadrature rules, respectively. Efficient algorithms are available for their computation. Szeg? quadrature rules are analogs of Gauss quadrature rules for the integration of periodic functions; they integrate exactly trigonometric polynomials of as high degree as possible. Szeg? quadrature rules have a free parameter, which can be used to prescribe one node. This paper discusses an analog of Gauss–Lobatto rules, i.e., Szeg? quadrature rules with two prescribed nodes. We refer to these rules as Szeg?–Lobatto rules. Their properties as well as numerical methods for their computation are discussed.     

Recursive and explicit rules: How can we build student algebraic understanding?

Differing perspectives have been offered about student use of recursive and explicit rules. These include: (a) promoting the use of explicit rules over the use of recursive rules, and (b) encouraging student use of both recursive and explicit rules. This study sought to explore students’ use of recursive and explicit rules by examining the reasoning of 25 sixth-grade students, including a focus on four target students, as they approached tasks in which they were required to develop generalizations while using computer spreadsheets as an instructional tool. The results demonstrate the difficulty that students had moving from the successful use of recursive rules toward explicit rules. In particular, two students abandoned general reasoning, instead focusing on particular values in an attempt to construct explicit rules. It is recommended that students be encouraged to connect recursive and explicit rules as a potential means for constructing successful generalizations.     

A linear proportional effort allocation rule

This paper proposes a new class of allocation rules in network games. Like the solution theory in cooperative games of how the Harsanyi dividend of each coalition is distributed among a set of players, this new class of allocation rules focuses on the distribution of the dividend of each network. The dividend of each network is allocated in proportion to some measure of each player’s effort, which is called an effort function. With linearity of the allocation rules, an allocation rule is specified by the effort functions. These types of allocation rules are called linear proportional effort allocation rules. Two famous allocation rules, the Myerson value and the position value, belong to this class of allocation rules. In this study, we provide a unifying approach to define the two aforementioned values. Moreover, we provide an axiomatic analysis of this class of allocation rules, and axiomatize the Myerson value, the position value, and their non-symmetric generalizations in terms of effort functions. We propose a new allocation rule in network games that also belongs to this class of allocation rules.     

Evolution of fuzzy classifiers using genetic programming

In this paper, we propose a genetic programming (GP) based approach to evolve fuzzy rule based classifiers. For a c-class problem, a classifier consists of c trees. Each tree, T _i , of the multi-tree classifier represents a set of rules for class i. During the evolutionary process, the inaccurate/inactive rules of the initial set of rules are removed by a cleaning scheme. This allows good rules to sustain and that eventually determines the number of rules. In the beginning, our GP scheme uses a randomly selected subset of features and then evolves the features to be used in each rule. The initial rules are constructed using prototypes, which are generated randomly as well as by the fuzzy k-means (FKM) algorithm. Besides, experiments are conducted in three different ways: Using only randomly generated rules, using a mixture of randomly generated rules and FKM prototype based rules, and with exclusively FKM prototype based rules. The performance of the classifiers is comparable irrespective of the type of initial rules. This emphasizes the novelty of the proposed evolutionary scheme. In this context, we propose a new mutation operation to alter the rule parameters. The GP scheme optimizes the structure of rules as well as the parameters involved. The method is validated on six benchmark data sets and the performance of the proposed scheme is found to be satisfactory.     

An evaluation of value based dispatching rules in a flow shop

Although investment in inventory has been of primary concern in job shops, little attention has been paid to using value-based dispatching rules in an effort to attain satisfactory on-time performance while reducing inventory investment. This paper compares performance based on both time and value measures of three usual time-based rules with six rules which directly incorporate value information in setting priorities. The results indicate that the value-based rules perform their intended function quite well with only slight sacrifice in on-time performance in light to moderately loaded shops. In addition, some of these values rules outperform the best time-based rules on both dimensions in heavily loaded shops.     

Pivot rules for linear programming: A survey on recent theoretical developments

The purpose of this paper is to discuss the various pivot rules of the simplex method and its variants that have been developed in the last two decades, starting from the appearance of the minimal index rule of Bland. We are mainly concerned with finiteness properties of simplex type pivot rules. Well known classical results concerning the simplex method are not considered in this survey, but the connection between the new pivot methods and the classical ones, if there is any, is discussed.In this paper we discuss three classes of recently developed pivot rules for linear programming. The first and largest class is the class of essentially combinatorial pivot rules including minimal index type rules and recursive rules. These rules only use labeling and signs of the variables. The second class contains those pivot rules which can actually be considered as variants or generalizations or specializations of Lemke's method, and so they are closely related to parametric programming. The last class has the common feature that the rules all have close connections to certain interior point methods. Finally, we mention some open problems for future research.On leave from the Eötvös University, Budapest, and partially supported by OTKA No. 2115.     

A learning process for fuzzy control rules using genetic algorithms

The purpose of this paper is to present a genetic learning process for learning fuzzy control rules from examples. It is developed in three stages: the first one is a fuzzy rule genetic generating process based on a rule learning iterative approach, the second one combines two kinds of rules, experts rules if there are and the previously generated fuzzy control rules, removing the redundant fuzzy rules, and the thrid one is a tuning process for adjusting the membership functions of the fuzzy rules. The three components of the learning process are developed formulating suitable genetic algorithms.     

Inversely Symmetric Interpolatory Quadrature Rules

We consider interpolatory quadrature rules with nodes and weights satisfying symmetric properties in terms of the division operator. Information concerning these quadrature rules is obtained using a transformation that exists between these rules and classical symmetric interpolatory quadrature rules. In particular, we study those interpolatory quadrature rules with two fixed nodes. We obtain specific examples of such quadrature rules.     

Symmetric Gauss–Lobatto and Modified Anti-Gauss Rules

The present paper is concerned with symmetric Gauss–Lobatto quadrature rules, i.e., with Gauss–Lobatto rules associated with a nonnegative symmetric measure on the real axis. We propose a modification of the anti-Gauss quadrature rules recently introduced by Laurie, and show that the symmetric Gauss–Lobatto rules are modified anti-Gauss rules. It follows that for many integrands, symmetric Gauss quadrature rules and symmetric Gauss–Lobatto rules give quadrature errors of opposite sign.     

Computational aspects of Boolean cubature

Boolean methods of interpolation [1,4] have been applied to construct multivariate quadrature rules for periodic functions of Korobov classes which are comparable with lattice rules of numerical integration [6,7]. In particular, we introducedd-variate Boolean trapezoidal rules [3,4] andd-variate Boolean midpoint rules [2,4]. The basic tools for constructing Boolean midpoint rules are Boolean midpoint sums. It is the purpose of this paper to use a modification of these Boolean midpoint sums to compute Boolean trapezoidal rules in an efficient way.