Pathwise superhedging for time-dependent barrier options on càdlàg paths—Finite or infinite tradeable European,One-Touch,lookback or forward starting options

We establish pathwise duality using simple predictable trading strategies for the robust hedging problem associated with a barrier option whose payoff depends on the terminal level and the infimum of a càdlàg strictly positive stock price process, given tradeable European options at all strikes at a single maturity. The result allows for a significant dimension reduction in the computation of the superhedging cost, via an alternate lower-dimensional formulation of the primal problem as a convex optimization problem, which is qualitatively similar to the duality which was formally sketched using linear programming arguments in Duembgen and Rogers [10] for the case where we only consider continuous sample paths. The proof exploits a simplification of a classical result by Rogers (1993) which characterizes the attainable joint laws for the supremum and the drawdown of a uniformly integrable martingale (not necessarily continuous), combined with classical convex duality results from Rockefellar (1974) using paired spaces with compatible locally convex topologies and the Hahn–Banach theorem. We later adapt this result to include additional tradeable One-Touch options using the Kertz and Rösler (1990) condition. We also compute the superhedging cost when in the more realistic situation where there is only finite tradeable European options; for this case we obtain the full duality in the sense of quantile hedging as in Soner (2015), where the superhedge works with probability $1?\epsilon$ where $\epsilon$ can be arbitrarily small), and we obtain an upper bound for the true pathwise superhedging cost. In Section 5, we extend our analysis to include time-dependent barrier options using martingale coupling arguments, where we now have tradeable European options at both maturities at all strikes and tradeable forward starting options at all strikes. This set up is designed to approximate the more realistic situation where we have a finite number of tradeable Europeans at both maturities plus a finite number of tradeable forward starting options.¹     

时间敏感选项依赖下的基础设施恢复决策研究

突发事件发生后,基础设施之间的恢复依赖为恢复过程带来了严重挑战。为了能够在突发事件后高效而有序的实现基础设施恢复运行,根据相互之间的恢复依赖关系制定合理的恢复决策非常关键。本文基于网络流理论,以累积恢复效能最大化为目标,建立了时间敏感选项依赖下的恢复设计与调度决策混合整数规划模型。然后,讨论了模型在完全中心化、完全分散和信息共享决策环境下的应用方法。最后,通过真实基础设施数据集测试了模型,结果表明:(1)该模型在突发事件后的基础设施恢复决策中具有应用可行性;(2)决策环境显著影响存在恢复依赖的基础设施网络整体累积恢复效能;(3)与完全分散决策环境相比,在信息共享决策环境下独立决策的整体累积恢复效能可以得到大幅提升。     

A new approach to solve the one-dimensional Schrödinger equation using a wavefunction potential

A new approach to find exact solutions to one–dimensional quantum mechanical systems is devised. The scheme is based on the introduction of a potential function for the wavefunction, and the equation it satisfies. We recover known solutions as well as to get new ones for both free and interacting particles with wavefunctions having vanishing and non–vanishing Bohm potentials. For most of the potentials, no solutions to the Schrödinger equation produce a vanishing Bohm potential. A (large but) restricted family of potentials allows the existence of particular solutions for which the Bohm potential vanishes. This family of potentials is determined, and several examples are presented. It is shown that some quantum, such as accelerated Airy wavefunctions, are due to the presence of non–vanishing Bohm potentials. New examples of this kind are found and discussed.     

Socially responsible merchant operations: Comparison of shutdown-averse CVaR and anticipated regret policies

Commodity and energy production assets are managed as real options on market uncertainties. Social impacts of plant shutdowns incentivize balancing asset value with shutdown probability. We propose new shutdown-averse policies based on the popular dynamic conditional value-at-risk (CVaR). We analytically and numerically compare these policies to known shutdown-averse policies based on anticipated regret (AR). Our findings support the use of AR over CVaR to embed shutdown-aversion and the consideration of hybrid policies that are asymptotically time-consistent but easily interpretable.     

Optical analysis of polymer powder materials for Selective Laser Sintering

This study increases the basic understanding of optical material properties of polymer powders used in selective laser sintering (SLS). Therefore, different polymer powder materials were analyzed regarding their optical material properties with an integration spheres measurement setup. By the measurements a direct connection between the absorption behavior of the solid material and the overall optical material characteristics of the same material in powdery form could be shown. The results were used to develop an advanced explanation model for the optical material properties of powders. At present, existing explanation models only consider the occurring of multiple reflections in the gaps between the particles to explain the overall optical material properties of powder materials. Thus, by also considering the absorption behavior of the single particles, the basic understanding of the beam-matter interaction and their effect on the optical material properties of powder materials can be expanded.     

A new method for exact solutions of variant types of time‐fractional Korteweg‐de Vries equations in shallow water waves

The current article devoted on the new method for finding the exact solutions of some time‐fractional Korteweg–de Vries (KdV) type equations appearing in shallow water waves. We employ the new method here for time‐fractional equations viz. time‐fractional KdV‐Burgers and KdV‐mKdV equations for finding the exact solutions. We use here the fractional complex transform accompanied by properties of local fractional calculus for reduction of fractional partial differential equations to ordinary differential equations. The obtained results are demonstrated by graphs for the new solutions. Copyright © 2016 John Wiley & Sons, Ltd.     

Target‐Based Whole‐Cell Screening by 1H NMR Spectroscopy

An NMR‐based approach marries the two traditional screening technologies (phenotypic and target‐based screening) to find compounds inhibiting a specific enzymatic reaction in bacterial cells. Building on a previous study in which it was demonstrated that hydrolytic decomposition of meropenem in living Escherichia coli cells carrying New Delhi metallo‐β‐lactamase subclass 1 (NDM‐1) can be monitored in real time by NMR spectroscopy, we designed a cell‐based NMR screening platform. A strong NDM‐1 inhibitor was identified with cellular IC₅₀ of 0.51 μM , which is over 300‐fold more potent than captopril, a known NDM‐1 inhibitor. This new screening approach has great potential to be applied to targets in other cell types, such as mammalian cells, and to targets that are only stable or functionally competent in the cellular environment.     

一种新型均匀扩散器流场的数值模拟

异性纤维检出设备中扩散器内部流场的情况,直接影响着落棉率和整个清除系统的工作效率.本文用计算流体力学软件FLUENT对新型均匀扩散器的流场进行数值模拟,通过改进扩散器的结构参数,实现流场的均匀和稳定,进而提高整个系统纤维检出设备的清除效率.之后对计算结果进行分析,提出了两种经过结构优化的改进模型,并分析了其内部流场.     

基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型

针对假设股价的对数收益率布朗运动在期权定价时产生的无法解释股价对数收益率的尖峰厚尾和序列相关性的缺陷,采用了Zhang提出的非对称漂移双gamma跳-扩散过程来描述资产(股价)的对数收益率运动形态(该过程是kou提出的双指数跳-扩散过程的推广),并利用Esscher风险中性变换,研究了幂型期权的定价公式.还设计了两种创新的幂型期权,在非对称漂移双gamma跳-扩散过程下给出了相应的定价公式.     

长江河口滨海地区冲填土对地面沉降效应——以上海市临港新城为例

长江河口滨海地区广泛分布有大量的冲填土,由于其形成时间短,具有欠固结特性,因此对地面沉降影响较大。本文首先阐述上海市临港新城区冲填土分布特征,并按其填料不同将其分类后计算出不同种类冲填土大面积堆载所引起下部土层的地面沉降量和冲填土本身固结产生的沉降量,并与总的地面沉降量相比较,得出结论,并对进一步开展工作提出建议。