随机挽回率下第n次违约互换的蒙特卡罗模拟定价

考虑到挽回率是违约互换定价的重要因素,同时获得准确的挽回率也是极其困难的,于是假设挽回率是随机的,并与对应资产违约时间呈Copula类相依结构.在该假设条件下提出一种对第n次违约互换定价的模拟算法.通过实证模拟发现,恒定挽回率,独立随机挽回率和Copula结构的挽回率对应的定价结果相差较大.     

Characterization of Zr-Si-N films deposited by cathodic vacuum arc with different N2/SiH4 flow rates

Zr-Si-N films were deposited on silicon and steel substrates by cathodic vacuum arc with different N₂/SiH₄ flow rates. The N₂/SiH₄ flow rates were adjusted at the range from 0 to 12 sccm. The films were characterized by X-ray diffraction (XRD), X-ray photoelectron spectroscopy (XPS), scanning electron microscope (SEM), hardness and wear tests. The structure and the mechanical properties of Zr-Si-N films were compared to those of ZrN films. The results of XRD and XPS showed that Zr-Si-N films consisted of ZrN crystallites and SiN_x amorphous phase. With increasing N₂/SiH₄ flow rates, the orientation of Zr-Si-N films became to a mixture of (1 1 1) and (2 0 0). The column width became smaller, and then appeared to vanish with the increase in N₂/SiH₄ flow rates. The hardness and Young's modulus of Zr-Si-N films increased with the N₂/SiH₄ flow rates, reached a maximum value of 36 GPa and 320 GPa at 9 sccm, and then decreased 32 GPa and 305 GPa at 12 sccm, respectively. A low and stable of friction coefficient was obtained for the Zr-Si-N films. Friction coefficient was about 0.1.     

Sonodegradation of 17α-ethynylestradiol in environmentally relevant matrices: laboratory-scale kinetic studies

The sonochemical degradation of 17α-ethynylestradiol (EE2) in secondary treated effluents was investigated. Ultrasound irradiation was provided by a horn-type sonicator operating at 80 kHz. The effect of various operating conditions such as estrogen concentration (25-160 μg/L), power density (18-46 W/L), liquid bulk temperature (15-60 °C), gas sparging (air, oxygen, and helium), solution pH (3 and 7.8), as well as the addition of radical promoters (hydrogen peroxide) or catalysts (TiO₂ and Fe²⁺) on degradation kinetics was evaluated. Changes in estrogen concentration were followed by high performance liquid chromatography and the yeast estrogen screening (YES) assay. EE2 degradation in the range 25-110 μg/L follows first order kinetics in regard to its concentration, while lower order kinetics occur at higher concentrations. The reaction rate increases linearly with applied power and decreases exponentially with temperature at the conditions in question. Continuous sparging of air or oxygen has little effect on the kinetics relative to air-equilibrated conditions, while helium has a marginally positive effect. The inorganic and organic contents of the wastewater matrix appear to promote degradation at inherent conditions in comparison to experiments in ultrapure water. Nevertheless, the addition of H₂O₂ (8.6 and 86 mg/L), Fe²⁺ (2.5-25 mg/L) or TiO₂ (50-2000 mg/L) has no or, in some cases, adverse effect on kinetics.     

Blow-Up Estimates for a Non-Newtonian Filtration System

ＩｎｔｒｏｄｕｃｔｉｏｎａｎｄＰｒｏｂｌｅｍｉｎｔｈｅＲｅｓｅａｒｃｈｏｆＴｏｒｏｉｄＴｈｅｓｔｒｕｃｔｕｒｅｏｆｐｏｓｉｔｉｖｅｓｏｌｕｔｉｏｎｓｆｏｒｑｕａｓｉ＿ｌｉｎｅａｒｒｅａｃｔｉｏｎ＿ｄｉｆｆｕｓｉｏｎｓｙｓｔｅｍｓ (ｎｏｎｌｉｎｅａｒＮｅｗｔｏｎｉａｎｆｉｌｔｒａｔｉｏｎｓｙｓｔｅｍｓ)ａｎｄｓｅｍｉ＿ｌｉｎｅａｒｒｅａｃｔｉｏｎ＿ｄｉｆｆｕｓｉｏｎｓｙｓｔｅｍｓ (Ｎｅｗｔｏｎｉａｎｆｉｌｔｒａｔｉｏｎｓｙｓｔｅｍｓ)ｉｓａｈｏｔｔｏｐｉｃｉｎｔｈｅｓｔｕｄｙｏｆｎｏｎｌｉｎｅａｒｄ…     

Blow-up estimates for semilinear parabolic systems coupled in an equation and a boundary condition

This paper deals with the blow-up rate estimates of solutions for semilinear parabolic systems coupled in an equation and a boundary condition. The upper and lower bounds of blow-up rates have been obtained.     

SINNMR studies of acoustically induced rotation of suspended particles

Experiments and data analyses are reported on the 20 kHz acoustic manipulation of samples of trisodium phosphate dodecahydrate, of varying particle size, suspended in suitable support media. Data are obtained to expand the understanding and optimisation of the SINNMR (sonically induced narrowing of the nuclear magnetic resonance spectra of solids) technique, and use this to determine acoustically induced particle rotational correlation times. It is concluded that the average particle rotational correlation time decreases with increasing particle size and decreasing viscosity/density of the support media. Acoustic cavitation and accompanying interparticle collisions are shown to be important in the observation of SINNMR spectra.     

An experimental method for studying nonisothermal crystallization of polymers at very high cooling rates

A new technique based on light depolarizing microscopy was developed for studying non-isothermal crystallization of polymers at average cooling rates up to about 5000°C/min. The polymer is cooled down by a gaseous cooling medium supplied at a constant temperature. The temperature of polymer is measured by a thermocouple imbedded directly in the sample. A heat transfer analysis was used to establish appropriate sample geometry to assure that, under the applied cooling condition, the temperature distribution along the sample thickness can be neglected. A light-scattering effect, which occurs when crystallization is carried out under high cooling rates, was observed. This required the development of a method to correct the depolarized light intensity for the effect of light scattering. An appropriate correction method was developed based on both a theoretical and an experimental analysis of the light intensity measurement. This provided a means to measure the overall crystallization kinetics. Examples of such measurements for iPP, HDPE, and LDPE are presented. In addition to the overall crystallization kinetics, the developed technique includes a video camera and VCR system used for measurements of spherulite growth rates during crystallization under high cooling rates. Constant spherulite growth rates were observed for isotactic polypropylene crystallized under very non-isothermal conditions. © 1996 John Wiley & Sons, Inc.     

U一统计量余项的指数收敛速度

本文主要利用ｄｅｃｏｕｐｌｉｎｇ不等式讨论Ｕ－统计量余项的指数收敛速度。     

Perturbation Theory for the Asymptotic Decay Rates in the Queues with Markovian Arrival Process and/or Markovian Service Process

Three kinds of queues with Markovian arrival process and/or Markovian service process, are considered in this paper. In great generality, their basic steady-state distributions have asymptotically exponential tails. We investigate the sensitivity of these asymptotic decay rates to the small entrywise perturbations in the parameter matrices of the Markovian arrival process.     

Equations of motion and boundary conditions of incremental rate type for polar continua

ＩｎｔｒｏｄｕｃｔｉｏｎＩｎ[1]ｔｈｅｒｅｌａｔｉｏｎｓｏｆｖａｒｉｏｕｓｓｔｒｅｓｓｔｅｎｓｏｒｓ,ｔｈｅｅｑｕａｔｉｏｎｓｏｆｍｏｍｅｎｔｕｍａｎｄｔｈｅｃｏｒｒｅｓｐｏｎｄｉｎｇｂｏｕｎｄａｒｙｃｏｎｄｉｔｉｏｎｓｏｆｖａｒｉｏｕｓｆｏｒｍｓｆｏｒｃｌａｓｓｉｃａｌｃｏｎｔｉｎｕｕｍｍｅｃｈａｎｉｃｓａｒｅｓｙｓｔｅｍａｔｉｃａｌｌｙｄｅｒｉｖｅｄ.Ｉｎ[2]ｔｈｅｇｅｎｅｒａｌｉｚｅｄｃｏｎｔｉｎｕｕｍｆｉｅｌｄｔｈｅｏｒｉｅｓａｒｅｃｏｍｐｒｅｈｅｎｓｉｖｅｌｙｒｅｖｉｅｗｅｄａｎｄｃｌａｒ…