Closed‐form approximations for spread options in Lévy markets

We provide new closed‐form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, ie, when log‐returns are modeled as Brownian motions (Black‐Scholes model), variance gamma processes (VG model), or normal inverse Gaussian processes (NIG model). For the specific case of exchange options (spread options with zero strike), we generalize the well‐known Margrabe formula (1978) that is valid in a Black‐Scholes model to the VG model under a homogeneity assumption.     

Regularized inversion of the Laplace transform for series of experiments

Not only in low-field nuclear magnetic resonance, Laplace inversion is a relevant and challenging topic. Considerable conceptual and technical progress has been made, especially for the inversion of data encoding two decay dimensions. Distortion of spectra by overfitting of even moderate noise is counteracted requiring a priori smooth spectra. In this contribution, we treat the case of simple and fast one-dimensional decay experiments that are repeated many times in a series in order to study the evolution of a sample or process. Incorporating the a priori knowledge that also in the series dimension evolution should be smooth, peak position can be stabilized and resolution improved in the decay dimension. It is explained how the standard one-dimensional regularized Laplace inversion can be extended quite simply in order to include regularization in the series dimension. Obvious improvements compared with series of one-dimensional inversions are presented for simulated as well as experimental data. For the latter, comparison with multiexponential fitting is performed.     

湍流大气传输中跟踪抖动对远场影响的仿真研究

分析了跟踪抖动对湍流大气传输远场光斑的影响。基于麦克斯韦电磁场理论,采用大气相干长度对大气湍流进行描述,推导了发射光束因跟踪抖动导致光轴偏离的远场表达式。在此基础上,利用相位屏法模拟抖动引起的倾斜相位和大气折射率起伏引起的相位调制,并采用低频补偿的功率谱反演法对传输过程进行了数值仿真。分析了不同跟踪抖动、湍流强度条件下远场光斑质心脱靶量的变化,以及不同尺寸模拟目标的回波概率。分析结果表明,在传输距离为10 km时,强湍流造成的远场光斑脱靶量可达几十μrad;当跟踪抖动较大时,湍流强弱对脱靶量影响差别很小。最后,对一定尺寸的模拟目标,从探测回波概率的角度给出了发射系统跟踪抖动量的控制范围。     

CALCULATION FORMULAS FOR PRINCIPAL STRESSES

在前人工作的基础上,运用一元三次方程的理论直接求解应力状态的特征方程,得到了实用的主应力计算公式.     

Full Bayesian analysis of claims reserving uncertainty

We revisit the gamma–gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for the variance parameters. The advantage of this empirical Bayesian framework is that allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for the variance parameters and to study the resulting sensitivities.     

An extension of the Yamada‐Watanabe theorem

A well‐known result on pathwise uniqueness of the solution of stochastic differential equations in is the Yamada‐Watanabe theorem. We have extended this result by replacing the Lipschitz assumption on the drift coefficient by much weaker assumption of semi‐monotonicity.