Pensions modelling

Valuable insights into the problem of how to fund defined benefitpension schemes can be obtained by analysis using the standardBlack–Scholes/Merton option pricing model, consideringthe pension fund finances jointly with those of the sponsoringcompany. The nature of the fund assets and liabilities is completelydifferent, and this lies behind current controversies aboutthe appropriate discount rate, valuation, financial accountingand preferential status for pension fund claimants in insolvency.     

Hg1-xCdxTe/Cd1-zZnzTe的X射线反射率及半峰全宽的动力学研究

X射线衍射摇摆曲线的计算机模拟是一种获得材料晶体质量参量的有效方法，其中材料本征摇摆曲线的计算是计算机模拟的基础。用X射线动力学理论计算了Hg1-xCdxTe和Cd1-zZnzTe本征反射率曲线，并研究了组分、膜厚分别对本征反射率和半峰全宽的影响。结果表明Hg1-xCdxTe和Cd1-zZnzTe的本征反射率和半峰全宽与材料组分和厚度有明显的依赖关系，且该依赖关系取决于X射线在材料中的散射和吸收的相对强弱。薄膜的厚度也是直接影响本征摇摆曲线峰形、半峰全宽和反射率的重要因素，当薄膜厚度小于穿透深度时，表征本征反射率曲线的各个参量均与薄膜厚度有直接的关系。对于(333)衍射面，碲镉汞材料厚度大于7μm后，本征反射率和半峰全宽将不再发生明显变化。     

Determination of the rheological behavior of epoxy–amine thermosets by dynamic mechanical analysis: Isothermal methods versus nonisothermal methods

The reticulation process of an epoxy resin using an amine as a cure agent was studied at different temperatures and concentrations of the cure agent with dynamic mechanical thermal analysis. The study was performed under both isothermal and nonisothermal conditions, and a temperature–time–transformation diagram was obtained. The measurements from the two modes gave similar results, although the nonisothermal mode required fewer experiments. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 1965–1977, 2003     

Use of dynamic trees in a network simplex algorithm for the maximum flow problem

Goldfarb and Hao (1990) have proposed a pivot rule for the primal network simplex algorithm that will solve a maximum flow problem on ann-vertex,m-arc network in at mostnm pivots and O(n ² m) time. In this paper we describe how to extend the dynamic tree data structure of Sleator and Tarjan (1983, 1985) to reduce the running time of this algorithm to O(nm logn). This bound is less than a logarithmic factor larger than those of the fastest known algorithms for the problem. Our extension of dynamic trees is interesting in its own right and may well have additional applications.Research partially supported by a Presidential Young Investigator Award from the National Science Foundation, Grant No. CCR-8858097, an IBM Faculty Development Award, and AT&T Bell Laboratories.Research partially supported by the Office of Naval Research, Contract No. N00014-87-K-0467.Research partially supported by the National Science Foundation, Grant No. DCR-8605961, and the Office of Naval Research, Contract No. N00014-87-K-0467.     

Convergence analysis of time-point relaxation iterates for linear systems of differential equations

We study convergence properties of time-point relaxation (TR) Runge-Kutta methods for linear systems of ordinary differential equations. TR methods are implemented by decoupling systems in Gauss-Jacobi, Gauss-Seidel and successive overrelaxation modes (continuous-time iterations) and then solving the resulting subsystems by means of continuous extensions of Runge-Kutta (CRK) methods (discretized iterations). By iterating to convergence, these methods tend to the same limit called diagonally split Runge-Kutta (DSRK) method. We prove that TR methods are equivalent to decouple in the same modes the linear algebraic system obtained by applying DSRK limit method. This issue allows us to study the convergence of TR methods by using standard principles of convergence of iterative methods for linear algebraic systems. For a particular problem regions of convergence are plotted.     

Ionic nanocomposites based on XNBR-OMg filled with layered nanoclays

Ionic elastomers based on carboxylated nitrile rubber (XNBR) crosslinked with magnesium oxide (OMg) and filled with layered nanoclays have been prepared. Two types of nanofillers were employed: a commercial one (Cloisite 15 A) and the other prepared in our laboratory (BCA-ODA). The properties of raw and vulcanized compounds have been studied in order to elucidate the effect of layered nanoclays. X-ray diffraction analysis shows that during compounding and crosslinking the macromolecular chains of rubber were intercalated in a commercial nanofiller, whilst our nanoclay was exfoliated. However, this fact does not affect the properties of compounds homogeneously. Vulcanization parameters, Mooney viscosity and decay and rheological properties were affected depending on the filler type. Mechanical properties were not significantly varied, but glass transition temperature and ionic transition temperature were shifted in comparison with those of the unfilled compound.     

重力输水管道优化设计方法研究

针对重力输水管道设计中存在的问题，文章以管道造价最小为目标，应用动态规划，提出了一种新的重力输水管道优化设计方法，对输水管的当量管径、流量分配、连接管设置与可靠性校核计算等问题作了探讨。该方法可用于沿线有节点流量流出的并联输水管道优化设计，能明显节省投资，有良好的实用性     

Convexity Bias in the Pricing of Eurodollar Swaps

The traditional use of LIBOR futures prices to obtain surrogates for the Eurodollar forward rates is proved to yield a systematic bias in the pricing of Eurodollar swaps when one assumes that the yield curve is well described by the Heath-Jarrow-Morton model. The resulting theoretical inequality is consistent with the empirical observations of Burghardt and Hoskins (1995), and it provide a theoretical basis for price anomalies that are suggested by more recent empirical data.     

基于专家动态权重的群组AHP交互式决策方法

为了能在群组决策中得到更为客观和准确的决策结果,在把专家权重划分为静态权重和动态权重的基础上,研究了在交互式决策中专家动态权重的确定方法,给出了共识度的一个定义.在此基础上,研究了群组AHP交互式决策方法中的一致性和相容性检验,给出了基于专家动态权重的群组AHP交互式决策方法流程,最后用一个示例说明了该方法的应用步骤.     

Guaranteed-accuracy approximation of reachable sets for a linear dynamic system subject to impulse actions

A method is proposed for approximating the reachable set of a dynamic system with a state space dimension no higher than six-eight considered on a finite time interval. The system is governed by linear differential equations with piecewise constant coefficients and impulse actions specified at prescribed times. The method is based on guaranteed-accuracy polyhedral approximations of reachable sets at researcher-specified times. Every approximation is constructed using the preceding one. A procedure is described for choosing parameters of the method that ensure the required accuracy with close-to-minimal time costs.