Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

The many facets of linear programming

We examine the history of linear programming from computational, geometric, and complexity points of view, looking at simplex, ellipsoid, interior-point, and other methods. Received: June 22, 2000 / Accepted: April 4, 2001?Published online October 2, 2001     

Lifetime study of high-spin states in 104,105In

In the neutron deficient isotopes _104,105In lifetimes of high spin states in the range from 0.5 ps to 600 ps have been measured in a coincidence recoil distance Doppler shift (RDDS) experiment. By combining the Doppler shift attenuation (DSA) and RDDS methods at few μm flight distances, the problem of delayed feeding has been avoided and very short lifetimes in the range 0.5–0.8 ps have been determined. Shell model calculations with strong restrictions for the neutron orbitals reveal good agreement with experimental level energies and still fair agreement for most measured B(M1) and B(E2) values. Received: 30 June 1998     

Metastability of a circular o-ring due to intrinsic curvature

An o-ring takes spontaneously the shape of a chair when strong enough torsion is applied in its tangent plane. This state is metastable, since work has to be done on the o-ring to return to the circular shape. We show that this metastable state exists in a Hamiltonian where curvature and torsion are coupled via an intrinsic curvature term. If the o-ring is constrained to be planar (2d case), this metastable state displays a kink-anti-kink pair. This state is metastable if the ratio is less than , where C and A are the torsion and the bending elastic constants [#!landau!#]. In three dimensions, our variational approach shows that . This model can be generalized to the case where the bend is induced by a concentration field which follows the variations of the curvature. Received: 27 August 1997 / Revised: 23 October 1997 / Accepted: 12 November 1997     

Riccati-based preconditioner for computing invariant subspaces of large matrices

Summary. This paper introduces and analyzes the convergence properties of a method that computes an approximation to the invariant subspace associated with a group of eigenvalues of a large not necessarily diagonalizable matrix. The method belongs to the family of projection type methods. At each step, it refines the approximate invariant subspace using a linearized Riccati's equation which turns out to be the block analogue of the correction used in the Jacobi-Davidson method. The analysis conducted in this paper shows that the method converges at a rate quasi-quadratic provided that the approximate invariant subspace is close to the exact one. The implementation of the method based on multigrid techniques is also discussed and numerical experiments are reported. Received June 15, 2000 / Revised version received January 22, 2001 / Published online October 17, 2001     

深紫外无机非线性光学晶体硼铍酸锶及其分子工程学探索方法

阐述了紫外无机非线性光学晶体分子工程学探索方法的基本特点，具体分析深紫外无机非线性光学晶体硼铍酸锶（ＳＢＢＯ）以氟硼铍酸钾（ＫＢＢＦ）为主要参考晶体的分子设计方法，随后根据晶体结构研究、单晶培养、和非线性光学性能测定等实验结果讨论ＳＢＢＯ作为新型深紫外无机晶体的主要优点，即它既具有更短的紫外吸收边（接近１５５ｎｍ）和较大的非线性光学系数（ｄ２２（ＳＢＢＯ）＝０６×ｄ２２（ＢＢＯ）＝１３８ｐｍ／Ｖ），同时晶体无明显层状习性，并肯有良好的化学稳定性和机械性能     

Cr^4＋：YAG,Cr^4＋：Mg2SiO4近红外荧光辐射温度特性研究

测量了Ｃｒ＾４＋，ＹＡＧ、Ｃｒ＾４＋，Ｍｇ２ＳｉＯ４晶体在室温和液氮温度下的荧光光谱，吸收光谱和激发态寿命，讨论了温度变化时，两种晶体中Ｃｒ＾４＋近红外辐射积分强度变化与激光发态寿命变化的关系，得出结论：在７７Ｋ￣３００Ｋ范围内，Ｃｒ＾４＋的＾３Ｔ２能级荧光辐射截面本身受温度影响不大，Ｃｒ＾４＋辐射荧光的变化，主要是由无辐射弛豫速率随温度变化而引起的。     

Magnetic resonance imaging and pulsed Doppler sonography of poststenotic jets: Correlation between signal void and flow velocity distribution

To correlate the appearance of poststenotic jets on gradient echo images with features of localized Doppler spectra of the jets, we studied an in vitro model of steady flow-through stenoses of 86, 96, and 99% area reduction. As fluids, water and a 40% glycerol solution in water were used. MRI was performed with a 1.5 T whole body imager and gradient echo images were obtained in planes parallel to the direction of flow. Doppler spectra were acquired separately from the MR measurements at 1 cm intervals for a distance of 10 cm downstream from the stenosis. Poststenotic signal void was observed for water and for the 40% glycerol solution only if the mean velocity within the stenosis exceeded a limit of 50–60 cm/sec. On the MR images, the jets could be divided into two segments: A proximal jet segment of uniform width equal to the diameter of the stenosis, followed by a distal jet segment which was characterized by broadening and then dissipating signal void. Except for the 99% stenosis, a high signal intensity core was present within the proximal jet segment. In the proximal jet segment, the Doppler measurements showed a low temporal fluctuation of the maximal flow velocity and only little flow opposite to the main flow direction. In the distal jet segment, the velocity fluctuation and the intensity of reverse flow increased sharply. The high signal intensity core of the jet was associated with a poststenotic zone of constant maximal flow velocity. The results demonstrate a close relationship between characteristic features of poststenotic jets in MRI and pulsed Doppler sonography.     

用激活性非线性介质Nd：MgO：LiNbO3产生二次谐波

以Nd:MgO:LiNbO_3同时兼作激活介质和非线性光学材料,研究自倍频激光器。用小型氙灯泵浦,在室温下获得二次谐波激光(0.547μm) 阈值小于4.8'J,最大输出400μJ/shot,工作温度范围大于20℃～45℃,无光损伤。