纯生跳跃扩散型交换期权定价公式

在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生跳跃扩散型交换期权的定价的例子.     

Optimal inspection and perfect repair

Models are developed for decision making about monitoring andmaintenance of systems whose performance through time is describedby a general stochastic process. The system is monitored andpreventive and corrective maintenance actions are carried outin response to the observed system state. The decision processis simplified by using the maximum process as a decision variable.The models developed generalize age replacement models and othersimple maintenance strategies. The approach can deal with failuresthat prevent the system functioning further, and also failuresthat are defined by regulation or economic considerations. Attentionis restricted to perfect repair and inspection, but the structureprovides the framework for further developments.     

Mechanism of Interaction of γ-Halogenated Salts of Pyrylium and Benzopyrylium with Aromatic Amines

Stoichiometry and kinetics of reactions of 2,6-diphenyl-4-chloropyrylium, 4-chloroflavylium, 4-bromoflavylium, and 4-iodoflavylium perchlorates with nucleophiles N,N-dimethylaniline and n-phenylenediamine are studied using cyclic voltammetry and spectroscopy. Nucleophilic substitution in these compounds proceeds via the formation of a charge-transfer complex, which converts into a radical ion pair as a result of the electron transfer. Heterolytic clevage of the C–Hal bond occurs at the stage of pyranyl (flavanyl) radical.     

气相色谱仪的技术指标测算方法

通过对气相色谱各项技术指标及意义的介绍，使应用者娴熟地掌握气相色谱的各项技术指标和测算方法，正确的表达分析检测结果。     

Inorganic Sol-Gel Preparation of Medium Sized Microparticles of Li2TiO3 from TiCl4 as Tritium Breeding Material for Fusion Reactors

Microspheres of Li₂TiO₃ were fabricated by a classical, inorganic sol-gel process from commercially available TiCl₄. Elaborated process consists of the following main steps: (1) dissolving of TiCl₄ in concentrated aqueous HCl and addition of LiOH; (2) formation of sol emulsion in 2-ethylhexanol-1 containing the surfactant SPAN-80 (EH); (3) gelation of emulsion drops by extraction of water with partially dehydrated EH; (4) impregnation of gel to Li:Ti molar ratio MR = 2; (5) thermal treatment at 1200°C in order to receive chloride free product. This temperature can be significantly lowered (to 750°C) by dechlorination starting solution TiCl₄ by chemical treatment of the with nitric acid to form of nitrate-stabilized titania sols. Tritium release from sol-gel made Li₂TiO₃ microspheres were found very close to that observed for other traditional materials, however for the first sample process starts slightly earlier.     

Fluctuation Theory for a Three-Dimensional Model of Maxwellian Molecules

Under suitable assumptions, a functional central limit theorem is obtained for a three-dimensional model of Maxwellian molecules. This model is related to a nonlinear Boltzmann-type equation. It will be proved that the family of the distributions induced by fluctuation processes converges weakly.     

The first encapsulation of hydroxynitrile lyase from Hevea brasiliensis in a sol-gel matrix

A straightforward process for the encapsulation of HbHNL under low methanol conditions has been developed. By adding a sol, prepared by hydrolysis of TMOS/MTMS at pH 2.8 with continuous removal of methanol, to a stirred solution of the enzyme in a buffer at pH 6.5, at least 65% of the activity of the free enzyme could be recovered after the encapsulation. The aquagels were successfully used in the synthesis of (S)-cyanohydrins.     

<Emphasis Type="Italic">L</Emphasis><Subscript>1</Subscript> linear interpolator for missing values in time series

We propose a minimum mean absolute error linear interpolator (MMAELI), based on theL ₁ approach. A linear functional of the observed time series due to non-normal innovations is derived. The solution equation for the coefficients of this linear functional is established in terms of the innovation series. It is found that information implied in the innovation series is useful for the interpolation of missing values. The MMAELIs of the AR(1) model with innovations following mixed normal andt distributions are studied in detail. The MMAELI also approximates the minimum mean squared error linear interpolator (MMSELI) well in mean squared error but outperforms the MMSELI in mean absolute error. An application to a real series is presented. Extensions to the general ARMA model and other time series models are discussed. This research was supported by a CityU Research Grant and Natural Science Foundation of China.