纯生跳跃扩散型交换期权定价公式

在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生跳跃扩散型交换期权的定价的例子.     

Effect of distortion in electron impact excitation in Coulomb-projected Born approximation

We have calculated total and differential cross-sections for 1s →ns (n = 2, 3, 4) electron impact excitation of hydrogen and hydrogenic ions at various energies in Coulomb-projected Born approximation. Distortion due to static interactions, target polarization and exchange effects has been incorporated in the initial channel. The present calculations have been compared with other theoretical and experimental results.     

Evaluation of the drag force by integrating the energy dissipation rate in stokes flow for 2D domains using the FEM

The total drag force on the surface of a body, which is the sum of the form drag and the skin friction drag in a 2D domain, is numerically evaluated by integrating the energy dissipation rate in the whole domain for an incompressible Stokes fluid. The finite element method is used to calculate both the energy dissipation rate in the whole domain as well as the drag on the boundary of the body. The evaluation of the drag and the energy dissipation rate are post-processing operations which are carried out after the velocity field and the pressure field for the flow over a particular profile have been obtained. The results obtained for the flow over three different but constant area profiles—a circle, an ellipse and a cross-section of a prolate spheroid—with uniform inlet velocity are presented and it is shown that the total drag force times the velocity is equal to the total energy dissipation rate in the entire finite flow domain. Hence, by calculating the energy dissipation rate in the domain with unit velocity specified at the far-field boundary enclosing the domain, the drag force on the boundary of the body can be obtained.     

硼中子俘获治疗的蒙特卡罗方法模拟

用通用蒙特卡罗程序MCNP模拟了粒子在人脑中的输运过程. 吸收剂量率主要来自以下四个反应:¹⁰B(n,α)⁷Li,¹⁴N(n,p)¹⁴C,¹H(n,γ)²D,快中子弹性散射反应.对肿瘤区的贡献主要来自硼中子吸收反应.结果表明,超热中子比热中子适合于深肿瘤的治疗,而热中子对浅肿瘤的治疗有优越性,比如皮肤癌.同确定论方法的结果相比,蒙特卡罗方法不失为一种模拟中子俘获治疗的好工具.     

Representing the mean residual life in terms of the failure rate

In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Whereas the failure rate can be expressed quite simply in terms of the mean residual life and its derivative, the inverse problem—namely that of expressing the mean residual life in terms of the failure rate—typically involves an integral of a complicated expression. In this paper, we obtain simple expressions for the mean residual life in terms of the failure rate for certain classes of distributions which subsume many of the standard cases. Several results in the literature can be obtained using our approach. Additionally, we develop an expansion for the mean residual life in terms of Gaussian probability functions for a broad class of ultimately increasing failure rate distributions. Some examples are provided to illustrate the procedure.     

高剂量率单次快脉冲辐射参量测量

记述了“强光一号”高剂量率脉冲辐射装置在状态调试过程中对其出射波形和辐射剂量进行监测的基本情况，实际监测的结果与设计方监测的结果进行了比对，双方的剂量监测值基本一致，偏差在20％以内；双方的波形形状十分相似，但测量得到的波形半宽度却相差10～20ns，最后对双方束流监测产生的差异进行了定性分析。     

Stability of Markovian structure observed in high frequency foreign exchange data

Contrary to the common sense in economics and financial engineering, price fluctuations at very fine level of motion exhibit various evidences against the efficient market hypothesis. We attempt to investigate this issue by studying extensive amount of foreign currency exchange data for over five years at the finest level of resolution. We specifically focus on the proposed stability in binomial conditional probabilities originally found in much smaller examples of financial time series. In order to handle very large data, we have written an efficient program in C that automatically generates those conditional probabilities. It is found that the stability is maintained for extremely large time duration that covers almost the entire period. Based on the length of conditions for which the conditional probabilities are distinguishable each other, we identify the length of memory being less than 3 movements.     

πNN过程对Gottfried求和规则破坏的贡献

指出在计算πNN过程对核子结构函数的贡献时,将反冲核子视为物理核子更为合理.对Gottfried求和规则破坏、对质子中海夸克分布u和d不对称u(x)–d(x)等方面的贡献给出了详细的计算,与已有实验进行比较.结果表明π介子交换不是导致这一破坏以及影响核子结构函数的效应的惟一来源.     

双阱结构含时量子输运的微扰论及输运方程

利用Lewis-Riesenfeld不变量理论和与不变量有关的幺正变换方法研究了双阱结构含时量子 输运的微扰论.获得了双阱内含时薛定谔方程的精确解的完备集，在此基础上，把双阱与左 右热库的相互作用作为微挠，获得了双阱结构一阶近似下的输运方程，并在绝热近似下提供 了一种用于研究量子输运过程中几何相因子(Berry相因子)的方法. 关键词： 含时量子输运 输运方程 不变量 几何相因子     

Flow Search Approach and New Bounds for the m-Step Linear Conjugate Gradient Algorithm

A flow search approach is presented in this paper. In the approach, each iterative process involves a subproblem, whose variables are the stepsize parameters. Every feasible solution of the subproblem corresponds to some serial search stages, the stepsize parameters in different search stages may interact mutually, and their optimal values are determined by evaluating the total effect of the interaction. The main idea of the flow search approach is illustrated via the minimization of a convex quadratic function. Based on the flow search approach, some properties of the m-step linear conjugate gradient algorithm are analyzed and new bounds on its convergence rate are also presented. Theoretical and numerical results indicate that the new bounds are better than the well-known ones.