CEV模型和B-P混合驱动模型下亚式期权Monte Carlo模拟

对亚式期权在CEV模型和B-P混合驱动模型限制下进行Monte Carlo模拟定价,建立风险中性测度,模拟出不同弹性因子值下资产价格路径.为了得出优于标准的Monte Carlo模拟,应用方差缩减技术来提高期权定价的精度.最后对亚式期权定价模型进行数值案例分析,得出弹性因子取值、时间步长、模拟次数与期权价值变化的关系.     

用Mathematica解一个系统的优化设计问题

Mathem atica软件 [1 ] 拥有符号运算、数值计算、和图形演示等广泛的数学计算功能 .本文用Mathematica解决了一个系统的优化设计问题 .通过对各容差搭配方案下目标值 y的方差估计和计算机随机模拟两种方法 ,得到了该系统的最优设计方案 .这两种方法也适用于一般的系统最优设计问题     

POT模型中GPD估计方法选择及金融风险测度

极大似然、矩、概率加权矩估计是GPD参数估计的主要方法.用蒙特卡罗模拟技术产生大量GPD数据,用三种方法估计参数.通过BIAS和RMSE判断估计方法优劣,研究其随样本量和形状参数变化的差异,得到估计方法选择的标准.     

Nematics in Hybrid Cylindrical Cells

A hybrid (weak-strong anchoring) cylindrical cell with antagonistic boundary conditions (planar–homeotropic) at the outer confining surface and at a central coaxial cylindrical core and filled with nematic liquid crystals is investigated by means of the Elastic Theory and Monte Carlo Simulations. The director orientation profile on the surface characterized by weak anchoring is built as a function of the extrapolation length and other relevant parameters. By considering the angle on the surface as an order parameter, a transition in the orientation is found when the extrapolation length becomes smaller than a critical value and the orientation of the surface with strong anchoring is dominant. The order parameter critical exponent is numerically calculated, and the mean field value (β≈1/2) is found in all cases. These transitions are essentially confirmed by Monte Carlo simulations even if some numerical discrepancies are found. The analysis show similarities between planar and cylindrical geometries, but non-usual consequences are found more easily in the latter one.     

Estimating Expected Information Gains for Experimental Designs With Application to the Random Fatigue-Limit Model

Expected gain in Shannon information is commonly suggested as a Bayesian design evaluation criterion. Because estimating expected information gains is computationally expensive, examples in which they have been successfully used in identifying Bayes optimal designs are both few and typically quite simplistic. This article discusses in general some properties of estimators of expected information gains based on Markov chain Monte Carlo (MCMC) and Laplacian approximations. We then investigate some issues that arise when applying these methods to the problem of experimental design in the (technically nontrivial) random fatigue-limit model of Pascual and Meeker. An example comparing follow-up designs for a laminate panel study is provided.     

基于Clayton Copula-GARCH模型投资组合VaR的度量

运用Copula方法研究了含股指期货的投资组合的风险度量问题.首先采用不同的GARCH模型对单个资产收益率建模,然后选择Clayton Copula函数来描述投资组合各资产之间的相关结构,建立联合分布模型,进而采用Monte Carlo方法模拟产生各资产的收益率序列,计算出投资组合的VaR.Kupiec检验表明,ClaytonCopula-GARCH模型在投资组合风险度量上具有较高的准确性.     

Fritiof程序的移植和开发

Fritiof程序是一个著名的粒子物理蒙特卡罗模拟程序,在国际上比较通用。本文简要介绍它的理论模型,功能及主要特点,描述了程序的移植、开发和应用。     

Monte Carlo方法模拟低能电子在Al中的散射

基于文献[1]的工作,电子在固体中的弹性散射用Mott微分截面计算;非弹性散射分为单电子激发和等离子激发并由Streitwolf、Gryzinski及Quinn的截面描述.模拟了低能电子在Al块样及薄膜中的散射过程,对不同能量低能电子作用下Al的背散射系统、能谱又透射系数作了计算,结果与实验符合较好.也对背散射电子、低能损背散射电子表面分布作了计算,结果表明低能损背散射电子具有较好的空间分辨率.     

光谱技术检测鲜红斑痣病变程度的MC模拟

在分析鲜红斑痣病理的基础上,根据病变程度改变真皮上层血液层的厚度,并建立相应的光学模型,确定其组织光学参数.通过Monte Carlo模拟,得出：鲜红斑痣皮肤反射光谱与荧光光谱均可反映鲜红斑痣皮肤病变程度,特别是血管直径的变化;当血管直径增大时,鲜红斑痣皮肤反射光谱反射率与荧光光谱强度均明显下降.研究表明反射光谱和荧光光谱可能应用于判断或分析鲜红斑痣皮肤的病变程度,从而为鲜红斑痣的临床治疗方案及治疗效果提供参考.     

Adsorption of Benzene and Propylene in Zeolite ZSM-5： Grand Canonical Monte Carlo Simulations

The adsorption behavior of benzene and propylene in zeolite ZSM-5 was studied by Grand Canonical Monte Carlo(GCMC) simulations. It could be found that benzene and propylene molecules showed different adsorption behavior in the zeolite cavities. The loadings of propylene were significantly larger than those of benzene at 100 kPa. From the figures of potential energy distribution,the potential energy of benzene/zeolite was more negative than that of propylene/zeolite,so benzene could be adsorbed more stably t...