A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.     

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is not the case for equity volatility. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. In a previous paper we studied the stochastic process for equity volatility, and proposed analytic approximations for different capital structures. In this companion paper we derive analytic approximations for the value of European equity options and warrants for a firm financed by equity, debt and warrants. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities either as a function of the stock price, or as a function of the firm's total assets. Since stock prices are observable, then for practical purposes, traders prefer to use the stock as the underlying instrument, we concentrate on valuation models in terms of the stock price. Second, we derive an exact solution for the valuation in terms of the stock price of (i) a European call option on the stock of a levered firm, i.e. a European compound call option on the total assets of the firm, (ii) an equity warrant for an all-equity firm, and (iii) an equity warrant for a firm financed by equity and debt. Unfortunately, to compute these solutions we need to specify the function of the stock price in terms of the firm's assets value. In general we are unable to specify this expression, but we propose tight bounds for the value of these options which can be easily computed as a function of the stock price. Our results provide useful extensions of the Black-Scholes model.     

An Efficient Chosen-Plaintext Attack on an Image Fusion Encryption Algorithm Based on DNA Operation and Hyperchaos

This paper proposes a more efficient attack method on an image fusion encryption algorithm based on DNA operation and hyperchaos. Although several references have reported some methods to crack the image encryption algorithm, they are not the most efficient. The proposed chosen-plaintext attack method can break the encryption scheme with (4×N/M+1) or (M/(4×N)+1) chosen-plaintext images, which is much less than the number of chosen-plaintext images used in the previous cracking algorithms, where M and N represent the height and width of the target ciphertext image, respectively. The effectiveness of the proposed chosen-plaintext attack is supported by theoretical analysis, and verified by experimental results.     

社会保障的改善对我国居民家庭消费——投资选择的影响研究

与发达国家相比,我国居民家庭的资产配置中存在着消费比例过低、金融资产配置结构不合理等问题.而导致这一问题的重要因素是我国目前的社会保障仍处于较低水平.以跨期消费—投资组合理论为基础,研究社会保障制度的改善对居民家庭资产配置的影响机理及影响效果.结果表明,社会保障制度一方面通过降低居民家庭的风险厌恶水平,可以显著提高其消费比例及风险资产投资比例;另一方面通过提高退休后的收入水平,可以提高居民家庭的整体效用水平.同时,社会保障制度的改善,也有利于提高居民家庭对金融市场的参与热情,有利于活跃我国金融市场.     

Standoff Laser-Induced Fluorescence Sensors for Biological Warfare Agents

We report comparison studies of two different sensors, the gated intensified charge-coupled device and the multianode photo multiplier tube detector for standoff detection of bio-aerosol. The ultraviolet laser-induced fluorescence technique is considered. Ultraviolet laser-induced fluorescence signals are evaluated under different bacteria aerosol concentrations, ranges, atmospheric conditions, and solar backgrounds. The signal-to-noise ratio is calculated for both the detectors for daylight and twilight solar conditions. The detectable concentration and range for both of the detectors is evaluated. Standoff ultraviolet laser-induced light detection and ranging is applicable in homeland security for early warning of biological warfare agents.     

Hybrid defensive resource allocations in the face of partially strategic attackers in a sequential defender–attacker game

Many models have been developed to study homeland security games between governments (defender) and terrorists (attacker, adversary, enemy), with the limiting assumption of the terrorists being rational or strategic. In this paper, we develop a novel hybrid model in which a centralized government allocates defensive resources among multiple potential targets to minimize total expected loss, in the face of a terrorist being either strategic or non-strategic. The attack probabilities of a strategic terrorist are endogenously determined in the model, while the attack probabilities of a non-strategic terrorist are exogenously provided. We study the robustness of defensive resource allocations by comparing the government’s total expected losses when: (a) the government knows the probability that the terrorist is strategic; (b) the government falsely believes that the terrorist is fully strategic, when the terrorist could be non-strategic; and (c) the government falsely believes that the terrorist is fully non-strategic, when the terrorist could be strategic. Besides providing six theorems to highlight the general results, we find that game models are generally preferred to non-game model even when the probability of a non-strategic terrorist is significantly greater than 50%. We conclude that defensive resource allocations based on game-theoretic models would not incur too much additional expected loss and thus more preferred, as compared to non-game-theoretic models.     

An integrated model for screening cargo containers

This paper focuses on detecting nuclear weapons on cargo containers using port security screening methods, where the nuclear weapons would presumably be used to attack a target within the United States. This paper provides a linear programming model that simultaneously identifies optimal primary and secondary screening policies in a prescreening-based paradigm, where incoming cargo containers are classified according to their perceived risk. The proposed linear programming model determines how to utilize primary and secondary screening resources in a cargo container screening system given a screening budget, prescreening classifications, and different device costs. Structural properties of the model are examined to shed light on the optimal screening policies. The model is illustrated with a computational example. Sensitivity analysis is performed on the ability of the prescreening in correctly identifying prescreening classifications and secondary screening costs. Results reveal that there are fewer practical differences between the screening policies of the prescreening groups when prescreening is inaccurate. Moreover, devices that can better detect shielded nuclear material have the potential to substantially improve the system’s detection capabilities.     

光学图像加密与多参数加权类分数傅里叶变换

为了提高图像加密的安全性, 提出了一种多参数加权类分数傅里叶变换。此类多参数加权类分数傅里叶变换是C.C.Shih提出的四项加权类分数傅里叶变换的一种扩展, 除了分数阶数, 还有四个在四项加权系数之中的自由参数, 称其为向量参数。同时给出此多参数加权类分数傅里叶变换的离散形式, 并把这种算法应用到光学图像加密中。此算法在应用一次二维分数傅里叶变换可以有十个密键：一类为阶数参数; 另一类为向量参数, 因此这种加密算法在增加了安全性的同时, 加密过程的复杂度降低。数值仿真验证了此算法的有效性和可靠性。     

一类改进的混沌迭代加密算法

指出了最近提出的一类混沌迭代分组密码算法的缺陷,通过选择明文攻击可以恢复出置换后的明文.算法中二进制序列的产生只依赖于密钥,而与明文无关,从而使算法容易造成信息泄露并遭受攻击.基于此,给出了一种可以抵御选择明文攻击的安全性更高的算法. 关键词： 混沌 混沌密码 攻击 安全性     

An Overview of Key Technologies in Physical Layer Security

The open nature of radio propagation enables ubiquitous wireless communication. This allows for seamless data transmission. However, unauthorized users may pose a threat to the security of the data being transmitted to authorized users. This gives rise to network vulnerabilities such as hacking, eavesdropping, and jamming of the transmitted information. Physical layer security (PLS) has been identified as one of the promising security approaches to safeguard the transmission from eavesdroppers in a wireless network. It is an alternative to the computationally demanding and complex cryptographic algorithms and techniques. PLS has continually received exponential research interest owing to the possibility of exploiting the characteristics of the wireless channel. One of the main characteristics includes the random nature of the transmission channel. The aforesaid nature makes it possible for confidential and authentic signal transmission between the sender and the receiver in the physical layer. We start by introducing the basic theories of PLS, including the wiretap channel, information-theoretic security, and a brief discussion of the cryptography security technique. Furthermore, an overview of multiple-input multiple-output (MIMO) communication is provided. The main focus of our review is based on the existing key-less PLS optimization techniques, their limitations, and challenges. The paper also looks into the promising key research areas in addressing these shortfalls. Lastly, a comprehensive overview of some of the recent PLS research in 5G and 6G technologies of wireless communication networks is provided.