Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

卫星振动对星间光码分多址系统性能的影响

卫星振动是影响星间光CDMA通信系统性能的一个重要因素.考虑多用户干扰、背景光噪音、热噪音、接收机噪音和卫星振动,给出了基于PPM信号格式的星间二维光CDMA通信系统的系统模型.采用数值分析的方法,详细分析了卫星振动对该系统误码率性能的影响.结果表明,码速率、通信波长和卫星振动都会影响星间二维光CDMA通信系统的误码率性能.当卫星振动标准偏差σ≤4×10－7时,卫星振动对系统误码率性能的影响较小；当卫星振动标准偏差σ≥1.2×10－6,卫星振动对系统误码率性能的影响很大,得到的误码率难以满足系统的通信要求,需要采用卫星振动抑制或补偿等技术提高星间二维光CDMA通信系统的误码率性能.     

水斗非定常自由水膜流三维贴体数值模拟

本研究采用水斗三维非正交贴体坐标系进行了非定常自由水膜流动的数值解析。对不规则水斗内表面采用三维非正交贴体坐标系下离散点进行拟合,推导了曲面离散点的法向矢量和曲面微元面高斯曲率、平均曲率等几何特征量的计算公式,进而导出流体粒子在运动方向上曲率计算式。在水斗三维贴体坐标系中,还推导了流体粒子在水斗曲面上的运动控制方程。最后对某水轮机水斗内表面非定常自由水膜流进行了数值模拟,得到其非定常水膜流态分布。     

微振动光电检测与数据采集系统的设计

提出了一种新的光学非接触式测量方法测量了物体的微振动振幅。用激光作为光源,以四象限硅光电池[1]作为光电探测器,借助三角测量原理,投射在振动源表面的激光反射光束在光电探测器上产生平面位移,将位移信号放大,通过A/D模块采集电压数值,并通过串口通信机制在PC终端实时显示。实验结果表明,该方法原理正确,灵敏度高,便于实现连续、快速、自动化检测,在工业在线检测方面具有良好的应用前景。     

Simulation of the nonlinear vibration of a string using the Cellular Automata based on the reflection rule

In this study, the nonlinear dynamic responses of a string are simulated using the Cellular Automata method based on the reflection rule. In the case of nonlinear systems, the velocity of wave propagation is not constant and depends on the amplitude. A new treatment of the dynamic time step is proposed for the Cellular Automata method considering the effect of the propagation velocity. As numerical examples, first, the dynamic responses of a string with linear characteristic are simulated using the Cellular Automata method. A typical resonance curve can be obtained. Second, the dynamic responses of a string with nonlinear characteristic are simulated using the proposed method. Some characteristic types of vibration can be obtained. It is concluded that the linear and nonlinear dynamic responses of a string may be obtained by simulation using the Cellular Automata method.     

Study of an identity

We solve the word problem of the identity x(yz) = (xy)(yz) by investigating a certain group describing the geometry of that identity. We also construct a concrete realization of the one-generated free algebra relative to the above identity. Received March 23, 2001; accepted in final form July 6, 2002.     

Multidimensional transonic shocks and free boundary problems for nonlinear equations of mixed type

We establish the existence and stability of multidimensional transonic shocks for the Euler equations for steady potential compressible fluids. The Euler equations, consisting of the conservation law of mass and the Bernoulli law for the velocity, can be written as a second-order, nonlinear equation of mixed elliptic-hyperbolic type for the velocity potential. The transonic shock problem can be formulated into the following free boundary problem: The free boundary is the location of the transonic shock which divides the two regions of smooth flow, and the equation is hyperbolic in the upstream region where the smooth perturbed flow is supersonic. We develop a nonlinear approach to deal with such a free boundary problem in order to solve the transonic shock problem. Our results indicate that there exists a unique solution of the free boundary problem such that the equation is always elliptic in the downstream region and the free boundary is smooth, provided that the hyperbolic phase is close to a uniform flow. We prove that the free boundary is stable under the steady perturbation of the hyperbolic phase. We also establish the existence and stability of multidimensional transonic shocks near spherical or circular transonic shocks.

     

Some new results on superimposed codes

A (w,r) cover‐free family is a family of subsets of a finite set such that no intersection of w members of the family is covered by a union of r others. A (w,r) superimposed code is the incidence matrix of such a family. Such a family also arises in cryptography as the concept of key distribution pattern. In the present paper, we give some new results on superimposed codes. First we construct superimposed codes from super‐simple designs which give us results better than superimposed codes constructed by other known methods. Next we prove the uniqueness of the (1,2) superimposed code of size 9 × 12, the (2,2) superimposed code of size 14 × 8, and the (2,3) superimposed code of size 30 × 10. Finally, we improve numerical values of upper bounds for the asymptotic rate of some (w,r) superimposed codes. © 2004 Wiley Periodicals, Inc.     

Free probability and the von Neumann algebrasof free groups

This short note summarizes the circumstances of the birth of free probability theory andsome of the recent achievements.