Stock Loans in Incomplete Markets

Abstract

A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007 Xia, J. and Zhou, X. Y. 2007. Stock loans. Mathematical Finance, 17(2): 307–317. [Crossref], [Web of Science ®] , [Google Scholar], Stock loans, Mathematical Finance, 17(2), pp. 307–317), this contract is modelled as a perpetual American option with a time-varying strike and analysed in detail within a risk-neutral framework. In this paper, we extend the valuation of such loans to an incomplete market setting, which takes into account the natural trading restrictions faced by the client. When the maturity of the loan is infinite, we use a time-homogeneous utility maximization problem to obtain an exact formula for the value of the loan fee to be charged by the bank. For loans of finite maturity, we characterize the fee using variational inequality techniques. In both cases, we show analytically how the fee varies with the model parameters and illustrate the results numerically.     

Semiconvergence of parallel multisplitting methods for symmetric positive semidefinite linear systems

In this paper we construct some parallel relaxed multisplitting methods for solving consistent symmetric positive semidefinite linear systems, based on modified diagonally compensated reduction and incomplete factorizations. The semiconvergence of the parallel multisplitting method, relaxed multisplitting method and relaxed two‐stage multisplitting method are discussed. The results generalize some well‐known results for the nonsingular linear systems to the singular systems. Copyright © 2010 John Wiley & Sons, Ltd.     

技术创新网络中备选合作伙伴与核心企业合作的博弈分析

网络是企业为了扩大生存空间而形成的一种组织形态,网络的扩张是核心企业根据网络目标不断筛选备选企业加入到网络的过程.从备选企业的角度出发,使用动态博弈的方法分析了备选企业是否应该同核心企业进行合作以及合作后可能面临的风险,通过博弈分析发现核心企业可以通过提高自身声誉、优化分配机制和选择吸收能力强的伙伴来促进合作达成,备选企业则可通过全面评估、提升学习吸收能力和保护核心知识等手段降低合作风险.     

Yamabe flow on manifolds with edges

Let be a compact oriented Riemannian manifold with an incomplete edge singularity. This article shows that it is possible to evolve g by the Yamabe flow within a class of singular edge metrics. As the main analytic step we establish parabolic Schauder‐type estimates for the heat operator on certain Hölder spaces adapted to the singular edge geometry. We apply these estimates to obtain local existence for a variety of quasilinear equations, including the Yamabe flow. This provides a setup for a subsequent discussion of the Yamabe problem using flow techniques in the singular setting.     

Tuned preconditioners for the eigensolution of large SPD matrices arising in engineering problems

In this paper, we study a class of tuned preconditioners that will be designed to accelerate both the DACG–Newton method and the implicitly restarted Lanczos method for the computation of the leftmost eigenpairs of large and sparse symmetric positive definite matrices arising in large‐scale scientific computations. These tuning strategies are based on low‐rank modifications of a given initial preconditioner. We present some theoretical properties of the preconditioned matrix. We experimentally show how the aforementioned methods benefit from the acceleration provided by these tuned/deflated preconditioners. Comparisons are carried out with the Jacobi–Davidson method onto matrices arising from various large realistic problems arising from finite element discretization of PDEs modeling either groundwater flow in porous media or geomechanical processes in reservoirs. The numerical results show that the Newton‐based methods (which includes also the Jacobi–Davidson method) are to be preferred to the – yet efficiently implemented – implicitly restarted Lanczos method whenever a small to moderate number of eigenpairs is required. Copyright © 2016 John Wiley & Sons, Ltd.     

Tracking control of chaotic spinning disks via nonlinear dynamic output feedback with input constraints

In many control engineering applications, it is impossible or expensive to measure all the states of the dynamical system and only the system output is available for controller design. In this study, a new dynamic output feedback control algorithm is proposed to stabilize the unstable periodic orbit of chaotic spinning disks with incomplete state information. The proposed control structure is based on the T‐S fuzzy systems. This investigation also introduces a new design procedure to satisfy a constraint on the T‐S fuzzy dynamic output feedback control signal. This procedure is independent of the exact value of initial states. Finally, computer simulations are accomplished to illustrate the performance of the proposed control algorithm. © 2015 Wiley Periodicals, Inc. Complexity 21: 148–159, 2016     

A High-Quality Preconditioning Technique for Multi-Length-Scale Symmetric Positive Definite Linear Systems

We study preconditioning techniques used in conjunction with the conjugate gradient method for solving multi-length-scale symmetric positive definite linear systems originating from the quantum Monte Carlo simulation of electron interaction of correlated materials. Existing preconditioning techniques are not designed to be adaptive to varying numerical properties of the multi-length-scale systems. In this paper, we propose a hybrid incomplete Cholesky (HIC) preconditioner and demonstrate its adaptivity to the multi-length-scale systems. In addition, we propose an extension of the compressed sparse column with row access (CSCR) sparse matrix storage format to efficiently accommodate the data access pattern to compute the HIC preconditioner. We show that for moderately correlated materials, the HIC preconditioner achieves the optimal linear scaling of the simulation. The development of a linear-scaling preconditioner for strongly correlated materials remains an open topic.     

不定最小二乘问题的改进的不完全双曲Gram-Schmidt预处理算法

应用改进的不完全双曲Gram-Schmidt(IHMGS)方法预处理不定最小二乘问题的共轭梯度法(CGILS)、正交分解法(ILSQR)与广义的最小剩余法(GMRES)等迭代算法来求解大型稀疏的不定最小二乘问题.数值实验表明,IHMGS预处理方法可有效提高相应算法的迭代速度,且当矩阵的条件数比较大时,效果更加显著.     

Fractal Measures of Fluid Mixing and Filtering of Inflow Noise in a Biological Reactor

For -galactosidase production by a recombinant strain of Escherichia coli, fractal dimensions have been computed for two intra-cellular and two extra-cellular variables under three kinds of Guassian noise. The fractal dimensions changed significantly with both fluid mixing and noise, indicating their usefulness as discriminating indexes to optimize mixing intensity and filtering of inflow noise.     

Accurate and fast algorithm of the molecular incomplete gamma function with a complex argument

Several efficient algorithms for the accurate and fast calculation of the molecular incomplete gamma function Fm(z) with a complex argument z are developed. The complex incomplete gamma function is arising in molecular integrals over the gauge-including atomic orbitals. Two kinds of algorithms are recommended: (1) a high-precision version and (2) a fast version. The high-precision version is able to guarantee 15 significant figures (10(-15) in the relative error) and the fast version is able to guarantee 12 significant figures (10(-12) in the relative error), at worst, within the double-precision arithmetic. The fast version is about 5-20 times faster than the high-precision version. For most molecular calculations, the fast version will give a satisfied precision.