A higher‐order accuracy lattice Boltzmann model for the wave equation

A lattice Boltzmann model with higher‐order accuracy for the wave motion is proposed. The new model is based on the technique of the higher‐order moment of equilibrium distribution functions and a series of lattice Boltzmann equations in different time scales. The forms of moments are derived from the binary wave equation by designing the higher‐order dissipation and dispersion terms. The numerical results agree well with classical ones. Copyright © 2008 John Wiley & Sons, Ltd.     

On the moment of inertia of a proto neutron star

The influences of σ* and Φ mesons,temperature and coupling constants of nucleons on the moment of inertia of the proto neutron star(PNS) are examined in the framework of relativistic mean field theory for the baryon octet {n,p,Λ,Σ+,Σ0,Σ+,Ξ-,Ξ0} system.It is found that,compared with that without considering σ* and Φ mesons,the moment of inertia decreases.It is also found that the higher the temperature,the larger the incompressibility and symmetry energy coeficient,and the larger the moment of inertia of a PNS.The influence of temperature and coupling constants of the nucleons on the moment of inertia of a PNS is larger than that of the σ* and Φ mesons.     

Higher order Ostrowski type inequalities over Euclidean domains

The classical Ostrowski inequality for functions on intervals estimates the value of the function minus its average in terms of the maximum of its first derivative. This result is extended to functions on general domains using the L^∞ norm of its nth partial derivatives. For radial functions on balls the inequality is sharp.     

Third-order extensions of Lo’s semiparametric bound for European call options

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area. Specifically, we derive closed-form semiparametric bounds for the payoff of a European call option, given up to third-order moment (i.e., mean, variance, and skewness) information on the underlying asset price. We analyze how these bounds tighten the corresponding bounds, when only second-order moment (i.e., mean and variance) information is provided. We describe applications of these results in the context of option pricing; as well as in other areas such as inventory management, and actuarial science.     

Pricing American Asian options with higher moments in the underlying distribution

We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21–31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.     

Propagation characteristics of TM Gaussian beam

The propagation characteristics of TM polarized Gaussian beam, which is the rigorous solution of an eigenfunction problem for a confocal resonator, have been investigated using the nonparaxial vectorial moment theory of light beam propagation. The analytical expressions of the beam propagation factors are given by means of Fourier transform. Both the transversal second-order moment beam widths follow a simple hyperbolic variational law. For nonparaxial case, however, beam has different propagating features in the two transversal directions. As to paraxial case, its propagation approximately reduces to that of scalar Gaussian beam TEM₀₀ mode.     

Proton Orbital [541]1/2 and Backbending in 178W

The microscopic mechanism of nine experimentally observed bands in ^178W is investigated using the particle-number conserving method of the cranked shell model with monopole and quadrupole paring interactions. The experimental results, including the moments of inertia and angular momentum alignments of nine bands in ^178W, are reproduced well by the particle-number conserving calculations, in which no free parameter is involved. Calculations demonstrate that occurrence of sharp backbending comes mainly from the contribution of high-j intruder orbitals vi13/2 or πh11/2 and their interference effect with orbitals near the Fermi surface. Theω variation of the occupation probability of each cranked orbital and the contribution to moment of inertia from each cranked orbital are analyzed.     

The LIL for <Emphasis Type="Italic">U</Emphasis>-Statistics in Hilbert Spaces

We give necessary and sufficient conditions for the (bounded) law of the iterated logarithm for U-statistics in Hilbert spaces. As a tool we also develop moment and tail estimates for canonical Hilbert-space valued U-statistics of arbitrary order, which are of independent interest. R. Adamczak’s research partially supported by MEiN Grant 2 PO3A 019 30. R. Latała’s research partially supported by MEiN Grant 1 PO3A 012 29.     

用矩匹配方法计算非线性风险度

矩匹配方法是用来求解非线性风险度(Value at Risk，简称：VaR)的一种普遍性方法，它是先假定样本经验分布服从已知分布族，然后运用矩匹配估计方法估计相应的参数，得到资产回报样本的密度函数，再计算风险度VaR；本采用的Johnson分布族是矩匹配方法的直接应用，并且计算出来的结果与局部Monte．Carlo结果进行了比较。并通过实证分析认为这种方法是一种良好的计算非线性VaR方法。