The early exercise region for Bermudan options on two underlyings

This paper investigates the early exercise region for Bermudan options on two underlying assets. We present a set of analytical validation results for the early exercise region which can be used as a means of validating pricing techniques. When all strike prices are identical we show the existence of an intersection point such that for any asset price pair below this point early exercise is always optimal. We develop an approximation to this point in the two asset put case. When the strike prices are not all equal, we show that three separate cases exist for the early exercise region. For a Bermudan put on two assets we present these cases and show that there exists a critical point in which the boundaries of the two asset early exercise region bifurcate. Comparisons are drawn between the Bermudan results presented and the corresponding American option results.     

柱前衍生-超高效液相色谱-单重四极杆质谱法分析不同产地烤烟的20种游离氨基酸

为了分析烤烟中游离氨基酸含量与烤烟香型、产地的关系,以国内14个烟草种植省份的138个调制后的烤烟中部叶片为材料,采用柱前衍生-超高效液相色谱-单重四极杆质谱法对烤烟中的20种游离氨基酸进行分析。方法表征结果显示该方法满足分析要求,适合烤烟中游离氨基酸的检测。对调制后烤烟中部叶片的游离氨基酸分析结果显示,烤烟的游离氨基酸含量在产地间差异很大（28.50%~94.20%）,其中天冬酰胺、谷氨酰胺含量的相对标准偏差（RSD）超过80%;在3种典型香型（浓香型、清香型和中间香型）烤烟中,浓香型烤烟游离氨基酸含量的RSD大于其他两种香型。对同一香型的不同种植省份和同一省份不同香型的烤烟游离氨基酸分析结果显示,其含量呈现一定的规律。     

Complex dynamics of an archetypal self-excited SD oscillator driven by moving belt friction

We propose an archetypal self-excited system driven by moving belt friction, which is constructed with the smooth and discontinuous(SD) oscillator proposed by the Cao et al. and the classical moving belt. The moving belt friction is modeled as the Coulomb friction to formulate the mathematical model of the proposed self-excited SD oscillator. The equilibrium states of the unperturbed system are obtained to show the complex equilibrium bifurcations. Phase portraits are depicted to present the hyperbolic structure transition, the multiple stick regions, and the friction-induced asymmetry phenomena. The numerical simulations are carried out to demonstrate the friction-induced vibration of multiple stick-slip phenomena and the stick-slip chaos in the perturbed self-excited system. The results presented here provide an opportunity for us to get insight into the mechanism of the complex friction-induced nonlinear dynamics in mechanical engineering and geography.     

An iterative method for coil sensitivity estimation in multi-coil MRI systems

This paper presents an iterative coil sensitivity estimation method for multi-coil MRI systems. The proposed method works with coil images in the magnitude image domain. It determines a region of support (RoS), a region being composed of the same type of tissues, by a region growing algorithm, which makes use of both intensities and intensity gradients of pixels. By repeating this procedure, it can determine multiple regions of support, which together cover most of the concerned image area. The union of these regions of support provides a rough estimate of the sensitivity of each coil through dividing the intensities of pixels by the average intensity inside every region of support. The obtained rough coil sensitivity estimate is further approached with the product of multiple low-order polynomials, rather than a single one. The product of these polynomials provides a smooth estimate of the sensitivity of each coil. With the obtained sensitivities of coils, it can produce a better reconstructed image, which determines more correct regions of support and yields preciser estimates of the sensitivities of coils. In other words, the method can be iteratively implemented to improve the estimation performance. The proposed method was verified through both simulated data and clinical data from different body parts. The experimental results confirm the superiority of our method to some conventional methods.     

基于腔面非注入区的半导体激光器的热特性分析

利用Ansys有限元分析软件模拟了宽条形激光器腔面在不同生热率条件下对有源区温度的影响,并对带有腔面非注入区的激光器结构进行了热分析,比较了不同长度的非注入区结构的器件的温度特性。腔面的温升对器件可靠性影响极大,计算结果表明随着非注入区宽度的增加,芯片前腔面有源区的温度明显降低。结果为采用非注入区结构提高COD阈值功率提供了设计参考。     

A new method to build confidence regions for solutions of stochastic variational inequalities

Stochastic variational inequalities model a large class of equilibrium problems subject to data uncertainty. The true solution to such a problem is usually estimated by a solution to its sample average approximation (SAA) problem. This article proposed a new method to build asymptotically exact confidence regions for the true solution that are computable from the SAA solution.     

多目标跟踪中目标数量准确识别算法

由于场景中存在目标遮挡与重叠的影响,以及检测时产生的分割错误,同一个目标往往被识别为若干运动区域,或者多个目标被识别为同一个运动区域,从而导致目标数量识别错误。为了解决这一问题,提出了一种结合融合与分离操作的理论来分析视频的方法,将多目标跟踪的问题转化成为一个找寻后验极值的问题。采用图论的方法表示观测结果,利用图像序列中目标运动轨迹和外观相似度的信息,将多目标跟踪的问题归结为找寻图中多个最优路径的问题。该方法采用了滑动窗口框架以便统计固定数目帧的信息。实验结果表明该方法能够应对实际中发生的上述现象,达到了准确识别多目标数量的目的。     

Magnetoquantum de Haas-van Alphen oscillations in spin-split two-dimensional Fermi liquid

Theory of magnetoquantum oscillations with spin-split structure in strongly anisotropic (two-dimensional (2D)) metal is developed in the formalism of level approach. Parametric method for exact calculation of oscillations wave forms and amplitudes, developed earlier for spin degenerate levels is generalized on a 2D electron system with spin-split levels. General results are proved: 1) proportionality relation between magnetization and chemical potential oscillations accounting for spin-split energy levels and magnetic field unperturbed levels (states of reservoir), 2) basic equation for chemical potential oscillations invariant to various models of 2D and 1D energy bands (intersecting or overlapping) and localized states. Equilibrium transfer of carriers between overlapping 2D and 1D bands, characterizing the band structure of organic quasi 2D metals, is considered. Transfer parameter, calculated in this model to be of the order of unity, confirms the fact that the wave form of oscillations in organic metals should be quasisymmetric up to ultralow temperature. Presented theory accounts for spin-split magnetization oscillations at magnetic field directions tilted relative to the anisotropic axis of a metal. Theoretical results are compared with available experimental data on organic quasi-2D metal α-(BEDT-TTF)₂KHg(SNC)₄ explaining the appearance of clear split structure under the kink magnetic field and absence above by the corresponding change in the electron g-factor rather than cyclotron mass. Received 20 December 2000 and Received in final form 13 July 2001     

金属间化合物Ho2Co17-xSix的结构和磁性研究

研究了非磁性原子Si替代Co对Ho2Co17金属间化合物结构和磁性的影响。X射线衍射结果表明,所有Ho2Co17-xSix（x=0.5,1.0,1.5,2.0,2.5,3.0）化合物都为Th2Ni17型六角结构;化合物的晶格常数和单胞体积都随Si含量的增加而呈线性下降。磁性测量结果表明,Ho2Co17-xSix化合物的饱和磁化强度随Si含量的增加而呈线性下降。从热磁曲线测量观察到,Ho2Co17-xSix化合物在x=0.5时可能呈面各向异性,当0.5≤x≤3.0时出现由易面到易轴的自旋重取向,自旋重取向温度Tsr随Si原子含量的增加先下降,而后双上升,在x=2.5处出现最低点。