Malliavin Greeks without Malliavin calculus

We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is to investigate connections between Malliavin estimators and the more traditional and elementary pathwise method and likelihood ratio method. Malliavin estimators have been derived directly for diffusion processes, but implementation typically requires simulation of a discrete-time approximation. This raises the question of whether one should discretize first and then differentiate, or differentiate first and then discretize. We show that in several important cases the first route leads to the same estimators as are found through Malliavin calculus, but using only elementary techniques. Time-averaging of multiple estimators emerges as a key feature in achieving convergence to the continuous-time limit.     

小波在微分方程数值解上的应用

求解微分方程常见的方法包括有限差分、有限元等.近年来,小波理论迅速发展,用小波方法数值解求解微分方程已越来越引起人们的注意.本文引入小波的基本理论,通过将函数及其各阶导数在小波基上的展开,求解微分方程的数值解.     

集值映射图的广义相依导数与真有效解的最优性条件

本文提出了集值映射图的SP-相依导数的概念,利用这个概念,给出了集值向量优化问题两种真有效解的最优性条件.     

Four constant potential function of amorphous selenium and evaluation of its thermodynamic and acoustic properties

Litov and Anderson after various considerations suggested a four constant potential function for a-Se as well as a-As₂S₃. Hence we also used a four constant potential function with the sole purpose of applying this potential function to obtain several acoustic, thermodynamic and other properties. We calculated several acoustic properties of a-Se like second order elastic constants (SOECs), their pressure derivatives, the longitudinal and transverse Grüneisen constant by two different methods, phonon frequencies, absorption band position through the use of Nath-Smith-Delaunay’s equation, and the thermodynamic properties like heat capacity, bulk modulus, thermal Grüneisen constant, the pressure derivative of the bulk modulus (dK _T/dP=C ₁), the pressure derivative ofC ₁ which is related to Anderson-Grüneisen parameter, pressure derivative of Grüneisen constant namelyγ′ _g which is related to second Grüneisen constant, characteristics of phonon frequencies, potential energy function through the use of fitted parameters and third order elastic constants. Finally we calculatedK _T at the reduced density ofρ/ρ ₀=1.1.K _T is obtained from the potential function with the fitted parameters. In all the above cases the calculated values are found to be in good agreement with experiment wherever available. In this connection it is important to point out that we eliminated ‘C’ a constant in the potential function using the equilibrium condition as was done by Litovet al in a-Se and Gerlichet al in the case of a-As₂S₃ as all amorphous substances are isotropic as mentioned by several authors. We contemplate to calculate several other properties for a-Se and a-As₂S₃ and present them at a later stage.     

The Adsorption Effect of Quaternized Chitosan Derivatives on Bile Acid

Chitosan, which is easily derived from chitin by N-deacetylation. It is well known that hypercholesterolemia has been identified as a major risk factor in the development of atherosclerosis and its clinical sequelae like coronary heart disease and myocard…     

Crystal and Molecular Structure of Hexahydro-2-(Nitro-Benzoylmethylene)Pyrimidine

1INTRODUCTIONHeterocyclicketeneaminalsareversatilestartingmaterialsforthesynthesisofawidevarietyofnewheterocyclesandfusedheterocycles.Thus,thesynthesisandre-actionofheterocyclicketeneaminalshavegivenrisetomuchattention[18i.Recentlynitrationofheterocyclicketeneaminalswasstudied[9i.Wehavepreparedhexahydro-2-(nitro-benzoylmethylene)pyrimidi(1).ItscrystalstructurehasbeendeterminedbyX-raydiffractionmethodandthemolecularstructureisdiscussed.2EXPERIMENTALThesinglecrystalofhexahydro-2-(nitr…     

Approximations to the distribution of the sample correlation matrix

In this article, multivariate density expansions for the sample correlation matrix R are derived. The density of R is expressed through multivariate normal and through Wishart distributions. Also, an asymptotic expansion of the characteristic function of R is derived and the main terms of the first three cumulants of R are obtained in matrix form. These results make it possible to obtain asymptotic density expansions of multivariate functions of R in a direct way.     

富勒烯衍生物的红光光限幅实验

应用钛宝石可调谐脉冲激光,在波长为691nm、脉冲宽度为10ns的条件下,研究了新型富勒烯叠氮乙酰氨衍生物(N-acetamide1,2-dihydro-1,2-azafulerene[60])的光限幅特性。     

Synthesis of A Novel Fulleroaziridine Carrying 4-Deoxy-4''''-demethylepipodophyllotoxin

Functionalization by cycloaddition reactions1 represents a useful strategy to modify fullerenes1,2. Stable cycloadducts are interesting in regarding to the development of new materials with unique physical properties or biological activities3. One of the typical reactions is the cycloadditions of C60 with azide compounds. Wudl and Miyata et al. reported that C60 reacted with alkyl azides4 or benzyl azides5 to give the same kind of adduct azafulleroids with an opened 6,5-ring junction by th…