动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

应变Si1-xGex层中p型杂质电离常温和低温特性

本文采用解析的方法计算了应变Si1-xGex层中p型杂质电离度与Ge组分x、温度T以及掺杂浓度N的关系.发现常温时,在同一Ge组分下,随着掺杂浓度的升高,杂质的电离度的先变小,而后又迅速上升到1.在同一掺杂浓度下,轻掺杂时,杂质的电离度随Ge组分的增加先变大,而后几乎不变;重掺杂时,杂质电离能变为0后,杂质电离度为1.低温下,轻掺杂时,载流子低温冻析效应较为明显,杂质的电离度普遍较小,当掺杂浓度大于Mott转换点时,载流子冻析效应不再明显,电离率迅速上升到1.在同一Ge组分下,随着掺杂浓度的升高,杂质的电离度先变小,后变大,而后又迅速上升到1.在同一掺杂浓度下,轻掺杂时,杂质的电离度随Ge组分的增加变大;重掺杂时,杂质电离能变为0后,杂质电离度为1.     

Research on Hawking Radiation as Tunneling from Schwarzshild-anti-de Sitter Black Hole

After taking into account energy conservation and the particle’s self-gravitation interaction, Hawking radiation of the massive particle as tunneling from Schwarzshild-anti-de Sitter black hole is studied by using Parikh-Wilczek’s semi-classical quantum tunneling approach. Meanwhile, Hawking radiation as tunneling from the black hole is reexamined by developing Angheben–Nadalini–Vanzo–Zerbini (ANVZ) covariant method to cover energy conservation and the particle’s self-gravitation interaction. Both the results perfectly generalize those obtained by Parikh and Wilczek, and show that the tunneling rate is related to the change of Bekenstein-Hawking entropy, and the factual emission spectrum is not exactly thermal, but satisfies the underlying unitary theory. PACS: 04.70-s, 9760. Lf.     

现代热力学的完整分类系统--非平衡非耗散热力学新领域

在同一体系中同时有多个不可逆过程时，不可逆过程之间会有相互影响，原来的非自发过程有可能在其他自发过程的影响下得以进行，这种现象就称为热力学耦合或反应耦合，长期以来，经典热力学把热力学第二定律的等式作为平衡体系的充分必要条件，其中隐含了一个前提性的假定，即经典热力学的对象只限于非耦合的体系，摈弃这一隐含的前提性假定以后，热力学自身就发展成为一个现代热力学的完整学术体系，适用于任何宏观体系（包括极其复杂的生命体系），现代热力学的完整学术体系中包含了一个崭新的非平衡非耗散热力学新领域，由于该领域属于热力学第二定律的等式部分，因此可以定量计算，并得到一系列理论计算的非平衡相图，与文献上报道的激尖低压金刚石合成等的大量实验数据相符。     

On the blow-up rate of large solutions for a porous media logistic equation on radial domain

In this paper we establish the exact blow-up rate of the large solutions of a porous media logistic equation. We consider the carrying capacity function with a general decay rate at the boundary instead of the usual cases when it can be approximated by a distant function. Obtaining the accurate blow-up rate allows us to establish the uniqueness result. Our result covers all previous results on the ball domain and can be further adapted in a more general domain.     

中国银行间拆借利率扩散模型的极大拟似然估计

本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。并用自助法对众多不同的模型进行了广义拟似然比检验。结论表明:中国货币市场利率具有均值回复效应:利率敏感系数γ值为1.421265,对利率水平具有较高敏感性。     

Lp[0,1]空间Müntz有理逼近的Jackson型估计

设Λ={λn}n∞=1为正的实数数列,且当n→∞时,有λn↘0.本文给出了当λn≤Mn-1/2,n=1,2,…,(其中M＞0为一正常数)时Müntz系统{xλn}的有理函数在Lp[0,1]空间的逼近速度,主要结论为Rn(f,Λ) Lp≤CMω(f,n-1/2)Lp,1≤p≤∞.     

SiCp/Y112铝基复合材料制备工艺及性能

3种不同铸造工艺条件下铝基复合材料的微观组织,并对其硬度进行了测定.研究表明:与全液态铸造法和半固态铸造法相比,搅熔铸造制备的SiCp/Y112铝基复合材料,其增强相SiC颗粒分布均匀,气孔率较少.是一种较理想的金属基复合材料制备工艺.未增强的Y112基体铝合金的维氏硬度高于其半固态坯料的维氏硬度;而SiCp/Y112铝基复合材料的维氏硬度明显高于基体的维氏硬度,并随着SiC颗粒的体积分数的增加其复合材料的维氏硬度不断提高.     

多气隙电阻板室抗辐照性能研究

给出了为RHIC-STAR飞行时间探测器设计的多气隙电阻板室(MRPC)的辐照实验结果. 实验采用100mCi⁶⁰Co γ源, 采用不同的剂量率对MRPC进行辐照. 一个室在大剂量率2.87×10^－2Gy/h下辐照了24h后, 其性能如噪声计数率, 暗电流等均大大退化. 另一个室在相对低剂量率5.31×10^－4Gy/h下辐照了530h, 其性能没有见到任何变坏. 实验的目的是为了了解这种探测器在几年的运行中经过大剂量的辐照后的性能变化情况.