Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

Construction of a new family of Bernstein‐Kantorovich operators

In the present paper, we construct a new sequence of Bernstein‐Kantorovich operators depending on a parameter α. The uniform convergence of the operators and rate of convergence in local and global sense in terms of first‐ and second‐order modulus of continuity are studied. Some graphs and numerical results presenting the advantages of our construction are obtained. The last section is devoted to bivariate generalization of Bernstein‐Kantorovich operators and their approximation behaviors.     

半参数线性混合效应模型的联合变量选择

多数基于线性混合效应模型的变量选择方法分阶段对固定效应和随机效应进行选择,方法繁琐、易产生模型偏差,且大部分非参数和半参数的线性混合效应模型只涉及非参数部分的光滑度或者固定效应的选择,并未涉及非参变量或随机效应的选择。本文用B样条函数逼近非参数函数部分,从而把半参数线性混合效应模型转化为带逼近误差的线性混合效应模型。对随机效应的协方差矩阵采用改进的乔里斯基分解并重新参数化线性混合效应模型,接着对该模型的极大似然函数施加集群ALASSO惩罚和ALASSO惩罚两类惩罚,该法能实现非参数变量、固定效应和随机效应的联合变量选择,基于该法得出的估计量也满足相合性、稀疏性和Oracle性质。文章最后做了个数值模拟,模拟结果表明,本文提出的估计方法在变量选择的准确性、参数估计的精度两个方面均表现较好。     

Regularized Principal Component Analysis for Spatial Data

In many atmospheric and earth sciences, it is of interest to identify dominant spatial patterns of variation based on data observed at p locations and n time points with the possibility that p > n. While principal component analysis (PCA) is commonly applied to find the dominant patterns, the eigenimages produced from PCA may exhibit patterns that are too noisy to be physically meaningful when p is large relative to n. To obtain more precise estimates of eigenimages, we propose a regularization approach incorporating smoothness and sparseness of eigenimages, while accounting for their orthogonality. Our method allows data taken at irregularly spaced or sparse locations. In addition, the resulting optimization problem can be solved using the alternating direction method of multipliers, which is easy to implement, and applicable to a large spatial dataset. Furthermore, the estimated eigenfunctions provide a natural basis for representing the underlying spatial process in a spatial random-effects model, from which spatial covariance function estimation and spatial prediction can be efficiently performed using a regularized fixed-rank kriging method. Finally, the effectiveness of the proposed method is demonstrated by several numerical examples.     

Molecular Architecture Manipulation in Free Radical Copolymerization: An Advanced Monte Carlo Approach to Screening Copolymer Chains with Various Comonomer Sequence Arrangements

A Kinetic Monte Carlo (KMC) simulation approach has been adopted in this study to capture evolutionary events in the course of free radical copolymerization, through which batch and starved‐feed semibatch processes are compared. The implementation of the KMC code deve­loped in this work: (i) enables satisfactory control of the molecular weight of the copolymer by tracking the profiles of concentrations of macroradicals, monomers, and polymer as well as degree of polymerization, polydispersity, and chain length distribution; (ii) captures the bivariate distribution of chain length and copolymer composition; (iii) comprehensively tracks and analyzes detailed information on the molecular architecture of the growing chains, thus distinguishing between sequence length and polydispersity of chains produced in batch and starved‐feed semibatch operations; (iv) makes possible the screening of products, based on such details as the number and weight fractions of products having different comonomer units located at various positions along the copolymer chains. The aforementioned characteristics are achieved by stochastic calculations through code developed in‐house. This KMC simulator becomes a very useful tool for the development of tailored copolymers through free radical polymerization, with blocks separated with single units of a different type.

     

Interpolating minimal energy C1‐Surfaces on Powell–Sabin Triangulations: Application to the resolution of elliptic problems

In this article, we present a method to obtain a C¹‐surface, defined on a bounded polygonal domain Ω, which interpolates a specific dataset and minimizes a certain “energy functional.” The minimization space chosen is the one associated to the Powell–Sabin finite element, whose elements are C¹‐quadratic splines. We develop a general theoretical framework for that, and we consider two main applications of the theory. For both of them, we give convergence results, and we present some numerical and graphical examples. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 798–821, 2015     

Zero sets of bivariate Hermite polynomials

We establish various properties for the zero sets of three families of bivariate Hermite polynomials. Special emphasis is given to those bivariate orthogonal polynomials introduced by Hermite by means of a Rodrigues type formula related to a general positive definite quadratic form. For this family we prove that the zero set of the polynomial of total degree n+m$n+m$ consists of exactly n+m$n+m$ disjoint branches and possesses n+m$n+m$ asymptotes. A natural extension of the notion of interlacing is introduced and it is proved that the zero sets of the family under discussion obey this property. The results show that the properties of the zero sets, considered as affine algebraic curves in R²${\mathbb{R}}^2$, are completely different for the three families analyzed.     

二维正态分布函数值的一个近似算法

二维正态分布函数值的计算是估算串联结构体系失效概率上、下限的一项重要内容。目前一般常采用两种方法，即数值积分和界限法。前者因计算量大，耗时多不便实用，后者使结构体系失效率的上、下界限进一步变宽。本文给出一个计算二维正态分布函数值的近似方法。实际计算表明，本方法计算效率高，精度完全能满足工程应用要求     

A logarithmic complexity floating frame of reference formulation with interpolating splines for articulated multi-flexible-body dynamics

An interpolating spline-based approach is presented for modeling multi-flexible-body systems in the divide-and-conquer (DCA) scheme. This algorithm uses the floating frame of reference formulation and piecewise spline functions to construct and solve the non-linear equations of motion of the multi-flexible-body system undergoing large rotations and translations. The new approach is compared with the flexible DCA (FDCA) that uses the assumed modes method [1]. The FDCA, in many cases, must resort to sub-structuring to accurately model the deformation of the system. We demonstrate, through numerical examples, that the interpolating spline-based approach is comparable in accuracy and superior in efficiency to the FDCA. The present approach is appropriate for modeling flexible mechanisms with thin 1D bodies undergoing large rotations and translations, including those with irregular shapes. As such, the present approach extends the current capability of the DCA to model deformable systems. The algorithm retains the theoretical logarithmic complexity inherent in the DCA when implemented in parallel.     

A moving mesh algorithm for aero‐thermo‐mechanical modelling in turbomachinery

This paper describes the development of a mesh deformation method used for aero‐thermo‐mechanical coupling of turbo‐engine components. The method is based on the nonlinear solution of an elastic medium analogy, solved using finite element discretisation and modified to let the boundary nodes be free to slide over the deflected surfaces. This sliding technique relies on a B‐spline reconstruction of the moving boundary and increases the robustness of the method in situations where the boundary deflection field presents significant gradients or large relative motion between two distinct boundaries. The performance of the method is illustrated with the application to an interstage cavity of a turbine assembly, subjected to the deformations computed by a coupled thermo‐mechanical analysis of the engine component. Copyright © 2011 John Wiley & Sons, Ltd.