CGMY模型下 的欧式外汇期权定价

修正传统有效市场假说,重新假设外汇汇率存在扩散和跳跃,并结合CGMY模型,采用傅里叶变换方法,推导出了CGMY模型下欧式外汇期权价格满足的分数阶偏微分方程(FPDE).尽管因分数阶偏导数引发的“全局性”很难处理,仍然推导出CGMY模型下欧式外汇期权的定价公式及其满足的平价公式.同时,引入一个新的缩放参数m来控制指数函数的增长率以克服被积函数衰减引起的计算困难,使其与Lévy密度函数的衰减在速度上达到一个平衡.最后,从数学与金融意义上分析了关键参数变化对欧式外汇期权价格的影响.     

一类具有时滞的Liénard方程的调和解

利用Mawhin的重合度理论讨论一类具有时滞的Liénard方程x″(t)+f(x(t))x′+g(x(t-τ(t)))=p(t)的调和解,推广和改进了现有的结果.     

扰动Fej\'{e}r点上复Hermite插值的联合逼近

$D$是复平面中由闭Jordan曲线$\Ga$围成的单连区域. 考虑在$\Ga$上扰动Fej\''er点的 Hermite插值一致逼近、平均逼近和联合逼近于函数$f\in A^{(q)}(\o D)$. 该文中的逼近阶一般说来是不可再改进的, 区域的边界限制条件到目前为止是最少的. 以往的全部同类结果都包括在该文中作为特殊情形, 由于该文方法上的改进, 简化和省去了以往 某些证明过程.     

有限伪反射群的相对不变式的 Poincar\'e级数

Let F be a field with characteristic 0, V = Fn the n-dimensional vector space over F and let G be a finite pseudo-reflection group which acts on V . Let χ ： G→ F＊ be a 1- dimensional representation of G. In this article we show that χ（g） = （detg）α（0 ≤ α ≤ r - 1）, where g ∈ G and r is the order of g. In addition, we characterize the relation between the relative invariants and the invariants of the group G, and then we use Molien’s Theorem of invariants to compute the Poincar′e series of relative invariants.     

Effective construction of Poincar\'e--Bendixson regions

This paper deals with the problem of location and existence of limit cycles for real planar polynomial differential systems. We provide a method to construct Poincar\''e--Bendixson regions by using transversal curves, that enables us to prove the existence of a limit cycle that has been numerically detected. We apply our results to several known systems, like the Brusselator one or some Li\''{e}nard systems, to prove the existence of the limit cycles and to locate them very precisely in the phase space. Our method, combined with some other classical tools can be applied to obtain sharp bounds for the bifurcation values of a saddle-node bifurcation of limit cycles, as we do for the Rychkov system.     

The fractal structure in the Rydberg lithium atoms in ionization dynamics of a static electric field

The ionization rate of Rydberg lithium atoms in a static electric field is examined within semiclassical theory which involves scattering effects off the core. By semiclassical analysis, this ionization process can be considered as the promoted valence electrons escaping through the Stark saddle point into the ionization channels. The resulting escape spectrum of the ejected electrons demonstrates a remarkable irregular electron pulse train in time-dependence and a complicated nesting structure with respect to the initial launching angles. Based on the Poincaré} map and homoclinic tangle approach, the chaotic behaviour along with its corresponding fractal self-similar structure of the ionization spectra are analysed in detail. Our work is significant for understanding the quantum-classical correspondence.     

Gorenstein space with nonzero evaluation map

Let be a differential graded algebra of finite type, if is a Gorenstein graded algebra, then so is . The purpose of this paper is to prove the converse under some mild hypotheses. We deduce a new characterization of Poincaré duality spaces as well as spaces with a nonzero evaluation map.

     

有界变差函数的Durrmeyer-Bézier算子收敛阶的估计

在Zeng等人对有界变差函数f的Durrmeyer-Bézier算子在区间(0,1)上收敛于(1/(α+1))f(x+)+(α/(α+1))f(x-)的收敛阶进行研究的基础上,利用基函数的概率性质等方法,对其所给的Durrmeyer-B啨zier算子收敛阶估计结果作进一步的改进,得到其收敛阶的精确估计.     

三次Bézier曲线的快速生成算法

本文给出了一种三次Ｂéｚｉｅｒ曲线的生成算法，在曲线的逐点生成过程中，只用到加减法，故效率极高．而且，此方法可推广到一般多项式或有理参数曲线     

二元数字期权定价与copula的关系

首先简要介绍了 copula的一些基本概念和性质 ,然后探讨了一种多元未定权益——二元数字期权的价格与 copula的关系 .结论表明 ,一个二元数字期权的价格恰好是一个 copula函数 ,由此结论进而给出了根据实际数据获得二元数字期权价格的基本思路和步骤 .