Copula理论在复合期权定价中的应用

本文使用风险中性评价方法分三部分计算了复合期权的价值,针对需要计算联合分布的第二部分,通过选取边缘分布为GARCH模型的二元正态Copula模型进行推理验证,结果求得的联合分布与使用风险中性评价方法的计算结果一致.进一步计算得到了时间相依的复合期权的价值,并且给出了使用Bayes时序诊断法和Z检验来诊断期权定价时其出现价格大的波动时的局部拐点的方法.     

决策依赖不确定条件下基于复合实物期权估值的工程系统投资决策研究

不确定性是复杂工程系统的内在属性,在决策依赖不确定条件下对工程系统的投资决策需考虑不确定性与决策过程之间的交互作用,使得投资决策问题的求解非常困难.提出了决策依赖不确定条件下复合实物期权估值的最小二乘模拟算法,方法较好地解决了在决策依赖不确定条件下由于不同期权价值相互耦合所带来的计算复杂性,进一步拓展了最小二乘模拟算法在期权估值中的应用,基于该方法,可以比较方便地解决决策依赖不确定条件下工程系统投资决策问题.     

In-situ and ex-situ study of crystallization behaviour of magnetron sputtered Ni63Zr37 amorphous thin film

ABSTRACT

The stages of crystallization of magnetron sputter-deposited Ni₆₃Zr₃₇ film with mostly amorphous structure have been investigated by differential scanning calorimetry (DSC) and in-situ annealing at 300°C by use of heating stage on a high-resolution transmission electron microscope (HRTEM). These results have been further confirmed by grazing incidence X-ray diffraction analyses of thin film specimens annealed ex-situ at 300°C for various durations. The temperature for crystallization found by DSC has been found to increase from 371°C to 434°C with an increase in heating rate from 3°C/min to 10°C/min, and the apparent activation energy for amorphous to crystalline transformation has been found as ～260.2?kJ/mol from the Kissinger plot. Studies on HRTEM using in-situ heating stage have shown the crystallization to occur on annealing at 300°C for ～10?min. Crystallization at a temperature lower than that found by DSC is attributed to structural relaxation with reduction of free volume due to thermal activation. It has been observed that Ni₃Zr forms first due to its large negative enthalpy of formation, and is followed by the formation of Ni-rich solid solution (Ni_ss) grains. HRTEM studies have shown grain rotation with the formation of partial dislocations at Ni₃Zr-Ni_ss interfaces as well as twinning followed by detwinning with dislocation formation in the Ni_ss matrix possibly to reduce the interfacial energy.     

Magnetic transition and large reversible magnetocaloric effect in EuCu1.75P2 compound

The magnetocaloric effect(MCE) in EuCu1.75P2 compound is studied by the magnetization and heat capacity measurements.Magnetization and modified Arrott plots indicate that the compound undergoes a second-order phase transition at TC ～ 51 K.A large reversible MCE is observed around TC.The values of maximum magnetic entropy change(-△SxMma) reach 5.6 J·kg-1·K-1 and 13.3 J·kg-1·K-1 for the field change of 2 T and 7 T,respectively,with no obvious hysteresis loss in the vicinity of Curie temperature.The corresponding maximum adiabatic temperature changes(△Tadmax) are evaluated to be 2.1 K and 5.0 K.The magnetic transition and the origin of large MCE in EuCu1.75P2 are also discussed.     

The studies of high-temperature and short-time annealing,phase transition process,and magnetic property for LaFe11.7Si1.3 compound

The high-temperature phase transition is analyzed according to the DSC of as-cast LaFe_11.7 Si_1.3 compound and the X-ray patterns of LaFe_11.7Si_1.3 compounds prepared by high-temperature and short-time annealing. Large amount of 1:13 phase begins to appear in LaFe_11.7Si_1.3 compound annealed near the melting point of LaFeSi phase (about 1422?K). When the annealing temperature is close to the temperature of peritectic reaction (about 1497?K), the speed of 1:13 phase formation is the fastest. The phase relation and microstructure of the LaFe_11.7Si_1.3 compounds annealed at 1523?K (5?h), 1373?K (2?h)?+?1523?K (5?h), and 1523?K (7?h) +1373?K (2?h) show that longer time annealing near peritectic reaction is helpful to decrease the impurity phases. For studying the influence of different high-temperature and short-time annealing on magnetic property, the Curie temperature, thermal, and magnetic hystereses, and the magnetocaloric effect of LaFe_11.7Si_1.3 compound annealed at three different temperatures are also investigated. Three compounds all keep the first order of magnetic transition behavior. The maximal magnetic entropy change ΔS_M (T, H) of the samples is 12.9, 16.04, and 23.8?J?kg^?1?K^?1 under a magnetic field of 0–2?T, respectively.     

Mixed alkali metal selenate proton conductors: Phase transitions and crystal structure of [Rb0.54(Nh4)0.46]3H(SeO4)2

Optical birefringence, calorimetric, thermal expansion, powder and single crystal X-ray diffraction investigations of mixed proton conductors [Rb_1-x(NH₄)_x]₃H(SeO₄)₂ were performed with the aim of studying the influence of partial substitution of cations on the superprotonic phase transition, on the atomic structure and on other characteristic features of this type of crystals.     

A Comparative Study on the Reinforcing Effect of Aramide and PET Short Fibers in a Natural Rubber-Based Composite

Four types of chopped fibers have been studied as reinforcement additives in a standard natural rubber based, carbon black filled formulation. The fibers studied were aramide (2 types) and polyester (2 types). The chopped fibers were added on top of the carbon black filled rubber compound at 2, 4, and 8 phr levels. The extra reinforcing effect in the modulus, especially at low elongation, the increase in hardness, the anisotropic properties, and the stiffening effects have been studied together with the evaluation of the mechanical hysteresis in strain and in compression. The permanent set of the resulting rubber compounds have been evaluated as well. The best compromise in performances and price was found for a certain type of polyester fiber.     

Molecular Packing in Crystalline Domains of Unsymmetrical Poly(benzoxazole-imide): Investigation using Modeling of a Model Compound

To probe the molecular packing in crystalline domains of an unsymmetrical poly(benzoxazole-imide) (BPDA-BOA) introduced alternating phenylbenzoxazole and bisphthalimide units via the two-step polymerization of 5-amino-2-(4- aminophenyl)benzoxazole (BOA) and 3,3′,4,4′-biphenyltetracarboxylic dianhydride (BPDA), the crystal structure of its model compound, 5-phthalimido-2-(4-phthalimidophenyl)benzoxazole (PA-BOA), was investigated using powder wide-angle X-ray diffraction (WAXD) combined with molecular modeling using a Materials Studio program. Powder WAXD pattern of the model compound can be well indexed in terms of amonoclinic unit cell with parameters of a = 12.005 Å, b = 3.837 Å, c = 23.562 Å, β = 96.711°. There are two molecules in the unit cell with the space group of P2 (3). Based on the crystal structure of the model compound powders and the WAXD analysis of poly(benzoxazole-imide) film, it can be concluded that the projection of the monomer repeat length of the poly(benzoxazole-imide) chains in the chain directionis around 19.0 Å, and the interchain side-by-side distance and face-to-face distance between the centroids of two neighboring BPDA-BOA chains are around 6.10 and 4.01 Å, respectively. The difference of molecular packing between the poly(benzoxazole-imide) chains in their crystalline domains and the model compounds in their crystals are also presented. Both the side-by-side and face-to-face π-π stacking distances between two neighboring polymer chains in the poly(benzoxazole-imide) crystalline domains are significantly larger than the corresponding values between two neighboring molecules in the model compound crystals due to a more kinked and twisted conformation.