砂岩方梁断裂过程区范围的实验确定方法

裂纹前端的断裂过程区是引起岩石非线性断裂及尺寸效应的主要原因。利用数字图像相关技术对砂岩开展了三点弯曲梁实验,获得观测区域高精度的全场位移和应变数据,根据断裂韧带区域水平位移和水平应变的分布特征,结合裂尖岩石颗粒变化的微观分析,提出采用裂纹尖端水平位移波动性和水平应变突变性所得到的波动系数和水平应变突变值,确定断裂过程区形状和临界尺寸的方法。结果表明:砂岩断裂过程区的形状为不规则的狭长带状区域,断裂过程区的临界长度为11~13mm,临界宽度为1.58~2.36mm。断裂过程区区域内形变在趋向裂尖时呈指数增加,但其单位区域内的形变增量呈波动状态。该方法能够更加准确判断岩石断裂过程区的范围,有助于分析岩石的非线性断裂特性。     

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.     

Dicationic disiloxane ionic liquids

1. Download : Download high-res image (64KB)
2. Download : Download full-size image

     

交易行为可作为价格波动的先行指标吗?——基于线性与非线性模型的比较研究

本文基于沪深300股指期货四个不同样本期的1分钟交易数据,比较研究了静态线性的马尔可夫转换自回归模型MSA(Markov Switch Autoregress Model)和动态非线性Symmetrised Joe-Clayton Copula模型在对金融变量间相互关系上建模的适用性。研究结果表明,当期价格波动与滞后一期交易行为间不存在稳定的线性关系,但存在明显的尾部相关结构,并且其相关性在趋势行情中尤为显著。这一结果不但表明,趋势行情中滞后一期的交易行为可以作为当期价格波动的先行指标,还展现出了非线性Copula模型在描述金融变量间的相互关系上的适用性和显著优势。     

Unifying pricing formula for several stochastic volatility models with jumps

In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log‐normal and a log‐uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out‐of‐the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.     

Low volatile monofunctional reactive diluents for radiation curable formulations

In the last decades the importance of UV curable formulations has increased continuously. Their fast curing speed, solvent-free polymerization conditions, and the formation of hard and highly crosslinked photopolymer networks represent major benefits. Commercial UV resins generally consist of multi-functional vinyl oligomers, photoinitiators, additives, and reactive diluents. Mono- and multi-functional reactive diluents serve as thinners to lower the overall resin viscosity and to improve processability. However, many monofunctional reactive diluents like isobornyl (meth)acrylate or benzyl (meth)acrylate exhibit high volatility, often already at room temperature. This causes adverse effects such as unpleasant odor, potential health risks, and changing resin composition during processing. A new group of monomers that show high potential for replacing traditional highly volatile reactive diluents are salicylate (meth)acrylates. In this work, salicylate-based thinners are synthesized, polymerized, and characterized with respect to their viscosity, volatility, thermal stability, photoreactivity, and thermomechanical properties of their homopolymers. Additionally, a first example of their diluting effect in a highly viscous difunctional polyester urethane methacrylate is demonstrated with 30 wt% of a cycloaliphatically and an aromatically substituted salicylate methacrylate. The polymers of the diluted resin exhibit similarly high glass transition temperatures of 110 and 126 °C, which are in the range of the polymers of the undiluted resin.     

Robust investment–reinsurance optimization with multiscale stochastic volatility

This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion with drift for the surplus of the AAI who invests in a risky asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance problem for a general class of utility functions under a general SV model. Applying perturbation techniques to the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation associated with our problem, we derive an investment–reinsurance strategy that well approximates the optimal strategy of the robust optimization problem under a multiscale SV model. We also provide a practical strategy that requires no tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to draw economic interpretations from the robust decision rules.     

基于傅立叶变换的SVJ模型的欧式期权定价

为了更加精确的计算期权价格,将结合随机波动和跳扩散模型(以下简称SVJ模型)以更好的描述期权标的资产价格过程,然而这样的价格过程无法得到概率密度函数的封闭形式,而只能得到包含特殊函数和无限求和的复杂的表达式.不过它们的特征函数都是封闭且是唯一的,因而可以通过它们的特征函数,并运用两种傅立叶变换的方法来求出期权价格.其中FFT算法计算的结果将与Monte Carlo模拟得出的结果进行比较,然后再将SVJ模型的计算结果和Black-Scholes模型进行比较.     

国际油价波动跳跃性特征的实证分析

根据国际油价波动中存在异常跳跃的情况,本文运用EGARCH-Jump模型对国际油价波动的跳跃性特征进行了实证分析。结果表明,加入跳跃因素的模型减缓了国际油价波动的持续性,同时杠杆效应消失,表明跳跃性因素是国际油价波动的影响因素之一,也证实了国际油价波动的跳跃性特征是国际石油市场产生杠杆效应的原因。但从长期来看,跳跃性因素对国际油价波动的扰动影响并不大,国际油价的波动仍主要受正常信息的影响。总体上,EGARCH-Jump模型比普通GARCH族模型能更好地捕捉国际油价波动的动态性特征。     

Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines

We apply constrained smoothing B‐splines to the construction of arbitrage‐free implied volatilities and derived measures. The constrained smoothing B‐splines allows the imposition of the constraints of monotonicity and convexity given by the no‐arbitrage conditions in the pricing function. We illustrate the methodology in the construction of implied volatilities and also in the construction of derived measures such as risk‐neutral densities, showing that it can be used as an effective tool for general treatment of option prices. Copyright © 2011 John Wiley & Sons, Ltd.