实物期权在新药开发中的应用

实物期权作为一种新兴的投资评估工具，以能够解决传统分析方法中所无法克服的高度不确定性和管理灵活性而被广泛的应用。本文详细介绍了实物期权二叉树定价模型在一新药开发的定价分析中的应用，进而得出实物期权定价分析方法在具有初始投资额大、投资期限长、不确定性大等特点的新产品开发过程中的实际应用价值。     

例析空间向量在求“角”问题中的应用

解决立体几何问题有综合推理与空间向量的方法,其中利用空间向量法可回避经过作图—证明—计算等复杂的推理过程,为一些用传统方法解决技巧性大、随机性较强的问题提供了通法．     

几何平均下的水平重置期权定价

针对重置期权的风险对冲△跳现象,研究了一种亚式特征的水平重置期权的定价问题.首先在BS模型下用股票的几何平均价格作为水平重置期权执行价格重置与否的统计量,然后运用测度变换和鞅定价方法得到了风险中性定价公式,最后利用风险中性定价公式得出风险对冲△值的显示解,改进了水平重置期权的部分已有结果.     

两种路径依赖重置期权的设计与定价

本文在标准的Black—Scholes框架下，设计了两种路径依赖重置期权。并利用风险中性定价方法讨论了定价问题，得到了价格的解析表达式。     

三角换元解决有关代数问题

本文介绍用三角换元法解决有关代数问题的方法和技巧．     

规定水平下重置期权的有限差分解

利用Black—Scholes偏微分方程,结合重置期权与关卡期权的关系,建立了规定水平下的重置期权定价模型,最后运用C—N格式和θ法构造该模型的有限差分格式．     

城市交通拥挤问题的探讨

本文探讨了城市交通拥挤问题的解决方法．根据道路的拥挤状况引入畅通度的概念，量化了道路的拥挤程度．在道路的物理距离的基础上加入畅通因素把它转化为一种新的距离，这样使原有寻找最短路径的算法能继续适用．同时本文详细介绍了公路网络中信息的存储方法：Coordinate Storage（COO），Compressed Sparse Row（CSR），Compressed Sparse Column（CSC），Block Sparse Row，以及最短路径的搜索算法：Dijkstra算法和Bellman—ford算法，同时给出了Dijkstra算法步骤和它的最新改进算法．     

基于Fourier变换的裂解价差期权定价

本文研究了期货期权和裂解价差期权的定价问题.利用Fourier变换方法,在ASub CIR模型的基础上,获得了单因素期货期权,两因素期货期权以及价差期权价格的表达式,最后用C++和MATLAB计算出期权的价格,解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题.     

分期付款期权在基于教育基金保险的期权中的应用

文献[1]提出了一种基于教育基金保险的欧式看涨期权,它赋予合约持有人在约定时间以约定价格购买连续支付固定年限的教育年金保险的权利,本文在[1]的基础上进一步提出基于教育基金保险的分期付款期权,该期权进一步改进了基于教育基金保险的欧式看涨期权,它赋予期权持有人分期支付期权费的权利,而不是一次性支付期权费,经过首期期权费的支付,期权持有人可以在继续支付期权费以持有期权和中断期权费的支付让期权作废之间选择,这样就可以使投资者在必要的时候取消期权,从而避免无效成本支出.该期权更加方便于低收入家庭和欲将资本用于其它高回报的投资的家庭进行教育投资.本文用后向递推和二叉树方法的方法给出期权定价公式,并确定分期支付的期权费的范围.     

非热平衡Schwarzschild-de Sitter黑洞的熵

从Schwarzschild—de Sitter时空背景下的K1ein—Gordon方程出发，利用brick—wall方法计算了黑洞的自由能和熵．这种黑洞由于存在两个视界面，而且它们的温度不相同，因此用一般方法计算熵存在着一定的困难．采用改进的brick—wall模型，认为自由能和熵主要来自于视界附近薄层的贡献，很好地解决了这一困难，并得到了满意的结果．结果表明，这种黑洞的熵为它的两个视界面积之和的1／4，与人们预期的结果相符．由此可见，渐近de Sitter时空中的黑洞摘除了黑洞视界面的贡献之外，还应包括宇宙视界面的贡献．这从一定程度上指示了黑洞熵与视界面积之间的内在联系，也更进一步地指示了brick—wall模型的本质．     

Galerkin-FEM for obtaining the numerical solution of the linear fractional Klein-Gordon equation

In this paper, an efficient numerical method for solving the linear fractional Klein-Gordon equation (LFKGE) is introduced. The proposed method depends on the Galerkin finite element method (GFEM) using quadratic B-spline base functions and replaces the Caputo fractional derivative using $L2$ discretization formula. The introduced technique reduces LFKGE to a system of algebraic equations, which solved using conjugate gradient method. The study the stability analysis to the approximation obtained by the proposed scheme is given. To test the accuracy of the proposed method we evaluated the error norm $L_{2}$. It is shown that the presented scheme is unconditionally stable. Numerical example is given to show the validity and the accuracy of the introduced algorithm.     

Application of He's variational iteration method to nonlinear Jaulent–Miodek equations and comparing it with ADM

Instead of finding a small parameter for solving nonlinear problems through perturbation method, a new analytical method called He's variational iteration method (VIM) is introduced to be applied to solve nonlinear Jaulent–Miodek, coupled KdV and coupled MKdV equations in this article. In this method, general Lagrange multipliers are introduced to construct correction functionals for the problems. The multipliers can be identified optimally via the variational theory. The results are compared with exact solutions.     

Simple finite element method in vorticity formulation for incompressible flows

A very simple and efficient finite element method is introduced for two and three dimensional viscous incompressible flows using the vorticity formulation. This method relies on recasting the traditional finite element method in the spirit of the high order accurate finite difference methods introduced by the authors in another work. Optimal accuracy of arbitrary order can be achieved using standard finite element or spectral elements. The method is convectively stable and is particularly suited for moderate to high Reynolds number flows.

     

Application of He’s Variational Iteration Method for Solving Nonlinear BBMB Equations and Free Vibration of Systems

A new analytical method called He’s variational iteration method (VIM) is introduced to be applied to solve nonlinear Benjamin-Bona-Mahony-Burgers (BBMB) equations and free vibration of a nonlinear system having combined linear and nonlinear springs in series in this article. In this method, general Lagrange multipliers are introduced to construct correction functionals for the problems. The multipliers can be identified optimally via the variational theory. The results are compared with the results of the homotopy analysis method and also with the exact solution. He’s Variational iteration method in this problem functions so better than the homotopy analysis method and exact solutions one of them in per section.     

Lemke-Howson方法的一个反例

参考文献[1]中对Lemke-Howson算法给出了相似于线性规划中的单纯形解法。本文用例指出了该解法中出现循环的情况,导致有解求不出。     

The Solution of Volterra Integral Equations of the Convolution Type Using Two-Point Rational Approximants

This paper applies the method of Laplace transform inversionusing two-point rational approximants, introduced by Grundy(1977), to the solution of Volterra integral equations of theconvolution type. The transforms which occur in solving theseequations using Laplace transform methods are, in many cases,of the type which can be inverted by the method introduced inGrundy (1977). There are however additional difficulties whichhave to be met. Examples are given to illustrate their resolutionand at the same time indicate the scope of the method.     

Lemke-Howson方法的一个反例

参考文献[I]中对Lemke—Howson算法给出了相似于线性规划中的单纯形解法．本文用例指出了该解法中出现循环的情况,导致有解求不出。     

Large-Scale Active-Set Box-Constrained Optimization Method with Spectral Projected Gradients

A new active-set method for smooth box-constrained minimization is introduced. The algorithm combines an unconstrained method, including a new line-search which aims to add many constraints to the working set at a single iteration, with a recently introduced technique (spectral projected gradient) for dropping constraints from the working set. Global convergence is proved. A computer implementation is fully described and a numerical comparison assesses the reliability of the new algorithm.     

Semismooth Newton and Newton iterative methods for HJB equation

In this paper, some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well-known Hamilton-Jacobi-Bellman equation. By using the slant differentiability introduced by Chen, Nashed and Qi in 2000, a semismooth Newton method is proposed. The method is proved to have monotone convergence by suitably choosing the initial iterative point and local superlinear convergence rate. Moreover, an inexact version of the proposed method is introduced, which reduces the cost of computations and still preserves nice convergence properties. Some numerical results are also reported.