A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

This article considers a problem of evaluating barrier option prices when the underlying dynamics are driven by stochastic elasticity of variance (SEV). We employ asymptotic expansions and Mellin transform to evaluate the option prices. The approach is able to efficiently handle barrier options in a SEV framework and produce explicitly a semi-closed form formula for the approximate barrier option prices. The formula is an expansion of the option price in powers of the characteristic amplitude scale and variation time of the elasticity and it can be calculated easily by taking the derivatives of the Black–Scholes price for a barrier option with respect to the underlying price and computing the one-dimensional integrals of some linear combinations of the Greeks with respect to time. We confirm the accuracy of our formula via Monte-Carlo simulation and find the SEV effect on the Black–Scholes barrier option prices.     

结构动力学方程数值积分的三参数算法

本文提出计算结构动力响应的三参数单步数值积分法,它具有无条件稳定性质,并具有合适的算法阻尼.通过分析及与其他数值积分法比较,说明本文算法的精度有所提高.     

三峡水利枢纽库区巫山县城新址地质环境质量预断评价

在系统分析新址地质环境条件、预断评价的目标、环境要素的构成基础上，选用敏感因子综合评价模型对新址地质环境质量进行了预断评价，分析了评价成果，提出了新城建设-地质环境系统调控措施，可作为合理制定新城规划、进行建设和环境保护的依据。     

三维裂纹体应力强度因子的计算

本文采用塌缩三棱柱形奇异单元的位移计算应力强度因子，给出了一个新的全三维外推公式，它是Ｃｈｅｎ和Ｋｕａｎｇ公式〔１３〕的全三维推广，特例证明，它的精度比Ｉｎ－ｇｒａｆｆｅａ和Ｍａｎｕ的公式〔８〕高一阶。数值计算表明，结果稳定和对单元尺寸改变不敏感     

一种四面体网格局部自适应方法在有限元中的应用

通过提出一种针对三维四面体网格的区域整形技术，给出了一种简便实用的四面体网格局部自适应加密方法，并将其与流量修正有限元法结合，应用于三维高速流的计算     

结构综合的曲线寻优近似解析方法

本文首次在结构优化领域应用曲线寻优近似解析方法，数值实验表明本文方法的效率较高     

A USM-Θ two-phase turbulence model for simulating dense gas-particle flows

A second-order moment two-phase turbulence model for simulating dense gas-particle flows (USM- model), combining the unified second-order moment two-phase turbulence model for dilute gas-particle flows with the kinetic theory of particle collision, is proposed. The interaction between gas and particle turbulence is simulated using the transport equation of two-phase velocity correlation with a two-time-scale dissipation closure. The proposed model is applied to simulate dense gas-particle flows in a horizontal channel and a downer. Simulation results and their comparison with experimental results show that the model accounting for both anisotropic particle turbulence and particle-particle collision is obviously better than models accounting for only particle turbulence or only particle-particle collision. The USM- model is also better than the k--kp- model and the k--kp-p- model in that the first model can simulate the redistribution of anisotropic particle Reynolds stress components due to inter-particle collision, whereas the second and third models cannot.The project supported by the Special Funds for Major State Basic Research of China (G-1999-0222-08), the National Natural Science Foundation of China (50376004), and Ph.D. Program Foundation, Ministry of Education of China (20030007028)     

竖直椭圆管内降膜孤立波的实验研究

作者在用摄影法进行坚直椭圆管内降膜波动实验研究时证实,当Re<400时,降膜内确实存在孤立波;R_(?)>400时,存在随机波.降膜中的孤立波是由小扰动发展而成的.实验结果与理论预测的孤立波特性吻合较好.     

A work softening joint element used in dynamic analysis of soil-structure

This paper introduces an elasto-plastic joint element characterised by strain hardening and softening in the analysis of dynamic soil-structure interaction. The phenomena of separation and sliding on the contact surface between soil and structure can be better simulated and the process can also be described. The interaction problems in a typical soil-structure system are analyzed in terms of elasto-plastic joint element as well as elastic ones. The results show that the elasto-plastic joint element is much better than the elastic one in modelling, especially in that the relative displacements accross the joint element can be much greater than that of the elastic case. Separation and sliding are not only related to the coefficient of friction and cohesion but also to their changes with plastic volumetric strain. The project is supported by the Sciences Foundation of the Chinese Academy of Sciences and the Disaster Provention Institute of Kyoto University (Japan).     

Experimental and FEM study of windshield subjected to high speed bird impact

Both experimental and finite element model (FEM) results are presented for the dynamic strength behavior of windshield subjected to bird impact. The experimental data taken from a series of high speed photographs are compared with the numerical results predicted by using FEM in which the windshield was modeled entirely with solid elements and the bird body was approximately simulated by an elastic-plastic material with failure element behavior. Effective plastic strain and element pressure were adopted as the failure criteria and once the pressure or the effective plastic strain of an element reached the critical value, the element would lose the tensile resistance capability completely. The deflection and stress distribution in the windshield were obtained. It is shown that the result from the finite element analysis agrees with those from the full-scale bird impact test. The project supported by the National Natural Science Foundation of China (10272011)