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21.
Dashan Huang Yoshitaka Kai Frank J. Fabozzi Masao Fukushima 《European Journal of Operational Research》2007
This paper presents a model for optimally designing a collateralized mortgage obligation (CMO) with a planned amortization class (PAC)-companion structure using dynamic cash reserve. In this structure, the mortgage pool’s cash flow is allocated by rule to the two bond classes such that PAC bondholders receive substantial prepayment protection, that protection being provided by the companion bondholders. The structure we propose provides greater protection to the PAC bondholders than current structures during periods of rising interest rates when this class of bondholders faces greater extension risk. We do so by allowing a portion of the cash flow from the collateral to be reserved to meet the PAC’s scheduled cash flow in subsequent periods. The greater protection is provided by the companion bondholders exposure to interest loss. To tackle this problem, we transform the problem of designing the optimal PAC-companion structure into a standard stochastic linear programming problem which can be solved efficiently. Moreover, we present an extended model by considering the quality of the companion bond and by relaxing the PAC bondholder shortfall constraint. Based on numerical experiments through Monte Carlo simulation, we show the utility of the proposed model. 相似文献
22.
In this paper we apply linear control theory to study the effect of various inventory policies on order and inventory variability, which are key drivers of supply chain performance. In particular, we study a two-echelon supply chain with a stationary demand pattern under the influence of three inventory policies: an inventory-on-hand policy that bases orders on the visible inventory at an installation, an installation-stock policy that bases orders on the inventory position (on-hand plus on-order inventory) at an installation, and an echelon-stock policy that bases orders on the inventory position at that installation and all downstream installations. We prove analytically that the inventory-on-hand policy is unstable in practical settings, confirming analytically what has been observed in experimental settings and in practice. We also prove that the installation-stock and echelon-stock policies are stable and analyze their effect on order and inventory fluctuation. Specifically, we show the general superiority of the echelon-stock in our setting and demonstrate analytically the effect of forecasting parameters on order and inventory fluctuations, confirming the results in other research. 相似文献
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We use the PCP-SAFT equation of state, which is of the Van der Waals type and has a sound physical basis, to predict mixture properties, such as vapor–liquid and liquid–liquid equilibria, as well as excess enthalpies. We use molecular properties, such as dipole moment, quadrupole moment, polarizability and dispersion interaction coefficients, that have been determined quantum mechanically in Part I of this publication and adjust the remaining three pure compound parameters to pure compound data. We finally present a new combination rule for the dispersion energy parameter ? that is based on the quantum mechanically determined data. The predictions based on quantum mechanically determined pure compound properties along with the new combination rule show an improved performance compared to the original PCP-SAFT combination rule. 相似文献
25.
26.
Kai Wang Huan-yu Li Jian-ping Li Zhi-gang Zhang Ning Zhang Lu Chai Qing-yue Wang 《Optics Communications》2006,265(2):369-372
Recently, the semiconductor saturable absorber mirror (SESAM) has become a key component of passive mode-locked solid-state lasers. Here we present a simple method based on the reflection Z-scan technique to measure the key optical parameters of SESAM such as saturation fluence and modulation depth. The experimental results demonstrate that our method is able to perform with a high accuracy of 10−4 and a dynamic range of over four orders of magnitude. 相似文献
27.
提出了一种基于微悬臂梁传感技术研究大分子折叠/构象转变的新方法.通过分子自组装的方法将热敏性的聚N-异丙基丙烯酰胺(PNIPAM)分子链修饰到微悬臂梁的单侧表面,用光杠杆技术检测温度在20—40℃之间变化时由于微悬臂梁上的PNIPAM分子在水中的构象转变所引起的微悬臂梁变形.实验结果显示:在升温过程中,微悬臂梁的表面应力发生了变化并且导致微悬臂梁产生了弯曲变形,这个过程对应着微悬臂梁上的PNIPAM分子从无规线团构象到塌缩小球构象的构象转变.在降温过程中,微悬臂梁发生了反方向的弯曲变形,这对应着PNIPA
关键词:
构象转变
聚N-异丙基丙烯酰胺分子链
表面应力
微悬臂梁 相似文献
28.
Suppose F is a field of characteristic p?5, and that B is a p-block of the symmetric group Sn of defect 3. We prove that the Ext1-quiver of B is bipartite, with the bipartition being described in a simple way using the leg-lengths of p-hooks of partitions. 相似文献
29.
T Kai T Isami K Kobata Y Kurosaki T Nakayama T Kimura 《Chemical & pharmaceutical bulletin》1992,40(9):2498-2504
The maximum fluxes (Jmax) of beta-blockers through keratinized membranes were determined in vitro and compared with their physiochemical parameters such as lipophilicity (log k'0) and melting point (mp). Rat abdominal skin and hamster cheek pouch mucosa were used as the model membranes. Propranolol, metoprolol, timolol, pindolol, nadolol and agenolol were used as beta-blockers with a variety of physicochemical characters. Linear relations of Jmax with either log k'0 or mp were observed both in intact rat skin and in intact hamster cheek pouch, suggesting that the lipophilicity and thermodynamic activity of a drug in the crystal state primarily affect the drug's permeation through these membranes. However, the slope, dJmax/d(log k'0), for cheek pouch mucosa was greater than that for rat skin, corresponding to the lack of appendigeal shunt pathways in cheek pouch. Penetration studies using the delipidized membranes and the isolated stratum corneum sheet of hamster cheek pouch mucosa clarified that the primary rate-limiting barrier function might exist in the lipid layer of the stratum corneum. Jmax values for the tape-stripped and delipidized skins correlated with both the solubilities of drugs in the vehicle and with the mp, suggesting the polar porous characteristics of both model membranes. However, a theoretical approach confirmed that the contribution of an intracellular or aqueous pore route in the intact membrane to the permeation of drugs with positive lipophilic indexes is negligible. 相似文献
30.
Sparse approximate inverse (SAI) techniques have recently emerged as a new class of parallel preconditioning techniques for
solving large sparse linear systems on high performance computers. The choice of the sparsity pattern of the SAI matrix is
probably the most important step in constructing an SAI preconditioner. Both dynamic and static sparsity pattern selection
approaches have been proposed by researchers. Through a few numerical experiments, we conduct a comparable study on the properties
and performance of the SAI preconditioners using the different sparsity patterns for solving some sparse linear systems.
This revised version was published online in July 2006 with corrections to the Cover Date. 相似文献