基于GARCH模型的三叉树期权定价方法

在波动率满足GARCH模型下,提出了有支付红利和交易费用的三叉树图,通过建立三叉树模型得到了期权的定价模型.在此基础上进一步研究了一种强路径依赖型奇异回望期权的定价问题.最后进行数值计算和实证分析,结果表明,基于GARCH模型的三叉树定价方法是有效的,且计算稳定.     

期权定价的新型三叉树方法

讨论了普通二叉树模型定价公式的缺陷,在新型二叉树定价模型的基础上利用原点矩和中心矩的关系得出新型三叉树定价模型公式,并且证明该三叉树模型下期权价格满足的方程是B-S方程在Δt上的一阶近似.     

三叉树模型下的等价鞅测度

本文研究了三叉树模型下的等价鞅测度刻划问题，得到了三叉树模型的最小熵鞅测度，逆相对熵鞅测度，方差最优鞅测度和极小鞅测度的精确表达式。     

商品和金融摇摆期权定价模型及其数值研究

采用具有均值回复特点的三叉树模型研究上摇一下摇特征或带有惩罚条款的复杂商品摇摆期权,并运用森林树法进行数值计算.进而分析最大可执行次数、每次执行最大可执行量、惩罚系数对摇摆期权价格的影响.此外还运用多次最优停时研究连续时间框架下的金融摇摆期权定价问题.为了避免高维诅咒,选择改进的最小二乘蒙特卡罗方法完成数值计算,并分析标的资产价格及最大可执行次数对期权价格的影响.数值分析结果表明,当实施次数为一次时,摇摆期权价格与相应的美式期权价格重合,从而在一定程度上验证了模型的正确性.     

一类循环图在射影平面上的嵌入北大核心CSCD

嵌入的联树模型是研究图的曲面嵌入的一种有效方法,尤其能方便快捷地研究图在球面,环面,射影平面,Klein瓶上的嵌入。此方法通过合理选择生成树,得到联树和关联曲面,然后对关联曲面进行计数,计算出图在曲面上的嵌入个数.本文利用嵌入的联树模型得出了循环图C(2n+1,2)(n>2)在射影平面上的嵌入个数.     

基于图分解的最优三角化图及连接树的构建

本文基于分解贝叶斯网道义图改进了传播算法的三角化图及连接树的构建.证明了寻找最优三角化图问题可以分解为素块上独立的小的子问题.于是,所有素块的最优三角化图的并即为贝叶斯网的最优三角化图.进—步,我们给出了一个算法,通过连接各个素块的最优三角化图的团树来构建全局最优三角化图的团树.我们进行了模拟实验来展示分解对于求三角化图及连接树的效果.     

美式障碍期权定价的总体最小二乘拟蒙特卡罗模拟方法

障碍期权的价格依赖于其标的资产的价格路径,实际市场中标的资产的价格变化存在跳跃现象。本文在跳跃扩散模型下使用总体最小二乘拟蒙特卡罗方法(TLSFM)对美式障碍期权定价问题进行了研究。TLSFM使用随机化的Faure序列并结合总体最小二乘回归方法,改进了Longstaff等提出的最小二乘蒙特卡罗模拟方法(LSM)。通过基于TLSFM与LSM和改进的三叉树方法的美式障碍期权定价结果的比较分析,说明了基于TLSFM的美式障碍期权定价具有结果稳定,时效性更强的优势。     

基于分层树回归模型的快速图像超分辨率重建算法

设计了一种改进的分层树模型来实现图像实时超分辨率重建.其核心思想是在压缩的图像空间中训练分层树,来获得最优树节点参数和叶子节点回归矩阵,从而达到实时目的.与原始的分层树模型相比,有如下改进·在图像预处理部分,提出通过幅值、相位、频率变换极大压缩图像空间,从而加快训练速度和提高重建质量.在模型设计部分,去掉将低分辨率图像线性插值这一步骤,提出将低分辨率图像和高分辨率图像直接进行回归训练,从而减少模型参数数量·在理论部分,从泰勒展式的角度和离散余弦变换(DCT)的角度分别解释了模型设计和图像空间压缩的合理性.实验结果表明,在传统实时超分辨率重建方法中,所提出的新方法在重建效果上有较明显优势.同时与其他超分辨率模型相比,新方法所需参数较少,可极大节省硬件成本.模型可应用于以CPU为主的移动设备进行图像或视频的快速超分辨率重建.     

中国国债期货与隐含择券期权定价

本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。     

两类图的最小亏格

本文在联树模型的基础上提出了解决图的最小亏格问题的新思路,进而解决了两类apex图的最小亏格问题.     

Error estimation,adaptivity and data transfer in enriched plasticity continua to analysis of shear band localization

In this paper, an adaptive FE analysis is presented based on error estimation, adaptive mesh refinement and data transfer for enriched plasticity continua in the modelling of strain localization. As the classical continuum models suffer from pathological mesh-dependence in the strain softening models, the governing equations are regularized by adding rotational degrees-of-freedom to the conventional degrees-of-freedom. Adaptive strategy using element elongation is applied to compute the distribution of required element size using the estimated error distribution. Once a new mesh is generated, state variables and history-dependent variables are mapped from the old finite element mesh to the new one. In order to transfer the history-dependent variables from the old to new mesh, the values of internal variables available at Gauss point are first projected at nodes of old mesh, then the values of the old nodes are transferred to the nodes of new mesh and finally, the values at Gauss points of new elements are determined with respect to nodal values of the new mesh. Finally, the efficiency of the proposed model and computational algorithms is demonstrated by several numerical examples.     

A Regularized Newton-Like Method for Nonlinear PDE

An adaptive regularization strategy for stabilizing Newton-like iterations on a coarse mesh is developed in the context of adaptive finite element methods for nonlinear PDE. Existence, uniqueness and approximation properties are known for finite element solutions of quasilinear problems assuming the initial mesh is fine enough. Here, an adaptive method is started on a coarse mesh where the finite element discretization and quadrature error produce a sequence of approximate problems with indefinite and ill-conditioned Jacobians. The methods of Tikhonov regularization and pseudo-transient continuation are related and used to define a regularized iteration using a positive semidefinite penalty term. The regularization matrix is adapted with the mesh refinements and its scaling is adapted with the iterations to find an approximate sequence of coarse-mesh solutions leading to an efficient approximation of the PDE solution. Local q-linear convergence is shown for the error and the residual in the asymptotic regime and numerical examples of a model problem illustrate distinct phases of the solution process and support the convergence theory.     

Adaptive finite element methods for Cahn–Hilliard equations

We develop a method for adaptive mesh refinement for steady state problems that arise in the numerical solution of Cahn–Hilliard equations with an obstacle free energy. The problem is discretized in time by the backward-Euler method and in space by linear finite elements. The adaptive mesh refinement is performed using residual based a posteriori estimates; the time step is adapted using a heuristic criterion. We describe the space–time adaptive algorithm and present numerical experiments in two and three space dimensions that demonstrate the usefulness of our approach.     

Adaptive Runge-Kutta Discontinuous Galerkin Methods with Modified Ghost Fluid Method for Simulating the Compressible Two-Medium Flow

In this paper, we investigate using the adaptive Runge-Kutta discontinuous Galerkin (RKDG) methods with the modified ghost fluid method (MGFM) in conjunction with the adaptive RKDG methods for solving the level set function to simulate the compressible two-medium flow in one and two dimensions. A shock detection technique (KXRCF method) is adopted as an indicator to identify the troubled cell, which serves for further numerical limiting procedure which uses a modified TVB limiter to reconstruct different degrees of freedom and an adaptive mesh refinement procedure. If the computational mesh should be refined or coarsened, and the detail of the implementation algorithm is presented on how to modulate the hanging nodes and redefine the numerical solutions of the two-medium flow and the level set function on such adaptive mesh. Extensive numerical tests are provided to illustrate the proposed adaptive methods may possess the capability of enhancing the resolutions nearby the discontinuities inside of the single medium flow region and material interfacial vicinities of the two-medium flow region.     

A dynamic mesh adaptation method for magnetohydrodynamics problems

A dynamic adaptation method is used to numerically solve the MHD equations. The basic idea behind the method is to use an arbitrary nonstationary coordinate system for which the numerical procedure and the mesh refinement mechanism are formulated as a unified differential model. Numerical examples of multidimensional MHD flows on dynamic adaptive meshes are given to illustrate the method.     

Adaptive mesh point selection for the efficient solution of scalar IVPs

We discuss adaptive mesh point selection for the solution of scalar initial value problems. We consider a method that is optimal in the sense of the speed of convergence, and we aim at minimizing the local errors. Although the speed of convergence cannot be improved by using the adaptive mesh points compared to the equidistant points, we show that the factor in the error expression can be significantly reduced. We obtain formulas specifying the gain achieved in terms of the number of discretization subintervals, as well as in terms of the prescribed level of the local error. Both nonconstructive and constructive versions of the adaptive mesh selection are shown, and a numerical example is given.     

Formulation and Application of the Initially Rigid Cohesive Finite Element Method

The presented procedure for cohesive crack propagation is based on an adaptive finite element (FE) implementation, which enables the introduction of cohesive surfaces in dependence on the current crack state. In contrast to already existing formulations, the focus of the present model lies on failure processes that can be described at quasi-static conditions within an implicit framework. Furthermore, an extension for mesh independent crack propagation in terms of an additional mesh adaptive formulation is presented. By the evaluation of the failure criterion considering the preferred crack direction, a new crack tip coordinate is computed and the discretization is accordingly adjusted. The remaining mesh is modified for the new boundary representation. The application of the proposed method is shown by the numerical investigation of a concrete fracture specimen from an experimental research project. (© 2009 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Adaptive mesh selection asymptotically guarantees a prescribed local error for systems of initial value problems

We study potential advantages of adaptive mesh point selection for the solution of systems of initial value problems. For an optimal order discretization method, we propose an algorithm for successive selection of the mesh points, which only requires evaluations of the right-hand side function. The selection (asymptotically) guarantees that the maximum local error of the method does not exceed a prescribed level. The usage of the algorithm is not restricted to the chosen method; it can also be applied with any method from a general class. We provide a rigorous analysis of the cost of the proposed algorithm. It is shown that the cost is almost minimal, up to absolute constants, among all mesh selection algorithms. For illustration, we specify the advantage of the adaptive mesh over the uniform one. Efficiency of the adaptive algorithm results from automatic adjustment of the successive mesh points to the local behavior of the solution. Some numerical results illustrating theoretical findings are reported.     

A simple and effective mesh adaptation

Simulation accuracy is greatly influenced by grid quality. Here, mesh quality indicates orthogonality of grid lines at the boundaries and quasi-orthogonality within critical regions, smoothness, solution adaptive behaviour and bounded aspect ratios. A simple, effective and computationally efficient approach for adapting quadrilateral grids to a given adaptive functional is presented. Several numerical examples are explored for supporting our claim.