Option pricing and perfect hedging on correlated stocks

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.     

Recurrence propagation equation of Hermite-Gaussian beams through a paraxial optical ABCD system with hard-edge aperture

Based on the generalized Huygens-Fresnel diffraction integral, a recurrence propagation equation of Hermite-Gaussian (H-G) beams through a paraxial optical ABCD system with hard-edge aperture is derived, which permits us to obtain the analytical propagation expression for H-G beams of any order. The advantages of our analytical results are analyzed, and the application is illustrated with numerical examples.     

S_fS_(f-1)约化系数的解析表式

利用线性方程方法和解析延拓得到了导出置换群Sf Sf- 1约化系数解析表达式的一种简单的代数计算方法 .着重讨论了无重复度时Sf Sf- 1约化系数解析表达式的推导方法 .作为例子 ,给出了关于置换群内积 [f- 1,1]·[f- 1,1]和 [f - 1,1]·[f - 2 ,1,1]有关的所有Sf Sf- 1约化系数的解析表达式 .     

Cyclic integrals and reduction of rotational relativistic Birkhoffian system

The order reduction method of the rotational relativistic Birkhoffian is studied.For a rotational relativistic Birkhoffian system.the cyclic integrals can be found by using the perfect differential method.Through these cyclic integrals,the order of the system can be reduced.If the rotational relativistic Birkhoffian system has a cyclic integral,then the Birkhoffian equations can be reduced at least two degrees and the Birkhoffian form can be kept.An example is given to illustrate the application of the results.     

The effects of dust temperature and the dust charge variation in a dusty plasma with vortex—like ion distribution

By considering both the dust temperature and the dust charge variation in dusty plasma with vortex-like ion distribution, we obtained a modified Korteweg－de Vries equation. It indicates that the effect of dust charge variation can cause the one-dimensional soliton amplitude to become larger, and the dust temperature can cause the soliton amplitude to become larger as well. Moreover, as the dust temperature increases, the soliton amplitude will increase.     

Extended Hydrodynamics from Enskog’s Equation for a Two-Dimensional System General Formalism

Balance equations are derived from Enskog’s kinetic equation for a two-dimensional system of hard disks using Grad’s moment expansion method. This set of equations constitute an extended hydrodynamics for moderately dense bi-dimensional fluids. The set of independent hydrodynamic fields in the present formulations are: density, velocity, temperature and also—following Grad’s original idea—the symmetric and traceless pressure tensor p _ij and the heat flux vector q ^k . An approximation scheme similar in spirit to one made by Grad in his original work is made. Once the hydrodynamics is derived it is used to discuss the nature of a simple one-dimensional heat conduction problem. It is shown that, not too far from equilibrium, the nonequilibrium pressure in this case only depends on the density, temperature and heat flux vector. PACS: 51.10.+y, 05.20.Jj, 44.10.+i, 05.70.Ln     

高维非线性演化方程孤立波的同伦分析法求解

利用同伦分析法求解了修正的Kadomtsev-Petviashvili方程, 得到了它的近似孤立波解, 该解与精确解符合得非常好.结果表明，同伦分析法在求解高维非线性演化方程的孤立波解时, 仍然是一种行之有效的方法. 关键词： 同伦分析法 修正的Kadomtsev-Petviashvili方程 孤立波解     

非线性离散微分方程的双曲函数法求解

本文推广了双曲函数方法用于求解非线性离散系统。求解离散的(2+1)维Toda系统和离散的mKdV系统，成功地得到了离散钟型孤立子、离散冲击波型孤立子及一些新的精确行波解。     

Upper bound for the time derivative of entropy for a dynamical system driven by coloured cross-correlated white noises

It is shown how the cross-correlation time and strength of coloured cross-correlated white noises can set an upper bound for the time derivative of entropy in a nonequilibrium system. The value of upper bound can be calculated directly based on the Schwartz inequality principle and the Fokker--Planck equation of the dynamical system driven by coloured cross-correlated white noises. The present calculations can be used to interpret the interplay of the dissipative constant and cross-correlation time and strength of coloured cross-correlated white noises on the upper bound.     

Friedmann Cosmology with a Generalized Equation of State and Bulk Viscosity

The universe content is considered as a non-perfect fluid with bulk viscosity and is described by a more general equation of state (endowed some deviation from the conventionally assuned cosmic perfect fluid model).We assume the bulk viscosity is a linear combination of two termsone is constant,and the other is proportional to the scalar expansion θ = 3a/a.The equation of state is described as p = (γ - 1)p p0,where p0 is a parameter.In this framework we demonstrate that this model can be used to explain the dark energy dominated universe,and different proper choices of the parameters may lead to three kinds of fates of the cosmological evolutionno future singularity,big rip,or Type-Ⅲ singularity as presented in [S.Nojiri,S.D.Odintsov,and S.Tsujikawa,Phys.Rev.D 71 (2005) 063004].