非线性Black-Scholes模型下算术平均亚式期权定价问题

在非线性Black-Scholes模型下,研究了算术平均亚式期权定价问题.首先利用单参数摄动方法,将亚式期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了算术平均亚式期权的近似定价公式.最后分析了近似结论的误差估计,并通过数值算例验证了所得近似结论的合理性.     

基于傅立叶变换的SVJ模型的欧式期权定价

为了更加精确的计算期权价格,将结合随机波动和跳扩散模型(以下简称SVJ模型)以更好的描述期权标的资产价格过程,然而这样的价格过程无法得到概率密度函数的封闭形式,而只能得到包含特殊函数和无限求和的复杂的表达式.不过它们的特征函数都是封闭且是唯一的,因而可以通过它们的特征函数,并运用两种傅立叶变换的方法来求出期权价格.其中FFT算法计算的结果将与Monte Carlo模拟得出的结果进行比较,然后再将SVJ模型的计算结果和Black-Scholes模型进行比较.     

Growth characteristics of spherical titanium oxide nanoparticles during the rapid gaseous detonation reaction

The nanosize grain growth characteristics of spherical single-crystal titanium oxide (TiO₂) during the rapid gaseous detonation reaction are discussed. Based on the experimental conditions and the Chapman–Jouguet theory, the Kruis model was introduced to simulate the growth characteristics of spherical TiO₂ nanoparticles obtained under high pressure, high temperature and by rapid reaction. The results show that the numerical analysis can satisfactorily predict the growth characteristics of spherical TiO₂ nanoparticles with diameters of 15–300 nm at different affecting factors, such as concentration of particles, reaction temperature and time, which are in agreement with the obtained experimental results. We found that the increase of the gas-phase reaction temperature, time, and particle concentration affects the growth tendency of spherical nanocrystal TiO₂, which provides effective theoretical support for the controllable synthesis of multi-scale nanoparticles.     

Importance of verifying queue model assumptions before planning with simulation software

This case study uses empirical data gathered at an Australian refinery to verify the assumptions for queue distributions before using special-purpose software to plan the off-road-truck hauling of titanium dioxide to a refinery (n = 773). Easy-to-use spreadsheet software is utilized to verify assumptions for queue models. Managers are able to make decisions based on economic implications of queue models to avoid making costly planning mistakes. Analysts can use nonparametric hypothesis-testing techniques to verify distribution assumptions for optimization without having to write hard-to-maintain and complex algebraic linear equations or nonlinear search routines.     

Second Order Optimality Conditions for Problems with Continuously Differentiable Data

In this note, by making use of the concept of unbounded approximate Hessian matrices, we present second order optimality conditions for a constrained mathematical programming problem with data whose gradient map is continuous, but not necessarily locally Lipschitz.     

Optimal error estimates of a decoupled scheme based on two-grid finite element for mixed Stokes–Darcy model

Although the numerical results suggest the optimal convergence order of the two-grid finite element decoupled scheme for mixed Stokes–Darcy model with Beavers–Joseph–Saffman interface condition in literatures, the numerical analysis only gets the optimal error order for porous media flow and a non-optimal error order that is half order lower than the optimal one in fluid flow. The purpose of this paper is to fill in the gap between the numerical results and the theoretical analysis.     

Experimental study and numerical modeling of brittle fracture of carbonate rock under uniaxial compression

The brittle carbonate rock taken from the Tarim Oilfield is tested in laboratory under uniaxial compression. The acoustic emission (AE) is used to monitor the microcracking activity in rock during the experiment. Moreover, the 3D tomograms of carbonate rock after uniaxial compression are obtained by using CT imaging technology, which indicates that microcracks mutually interconnect and eventually form macroscopic fractures after failure. The PFC2D is used to model the behavior of brittle rock including microcracks propagation. The stress–strain curve and cracks distribution in rock model are obtained from the PFC simulation. The numerical results agree with the experimental test well.     

蒙特卡罗计算中颗粒型燃料的随机分布模型比较

高温气冷堆是新一代反应堆系统的热门候选堆型，已经受到国际上越来越多的关注。为设计和分析这种堆型，因其特有的包覆颗粒燃料引入了双重非均匀性，需要应用随机分布模型。对粗网格模型、细网格随机(FLS)模型、随机顺序添加(RSA)模型、子网格随机(Sub-FLS)模型和Metropolis模型等进行了研究，通过计算分析比较给出了各种模型的优缺点。结果表明:子网格随机模型和连续的RSA模型非常接近参考值，但是连续RSA模型的建模时间随着燃料体积份额的增加连续快速上升。 Key words: coated particle fuels; stochastic transport model; Monte Carlo; random distribution     

Equivalent nonlinear beam model for the 3-D analysis of shear-type buildings: Application to aeroelastic instability

Tower buildings can be very sensitive to dynamic actions and their dynamic analysis is usually carried out numerically through sophisticated finite element models. In this paper, an equivalent nonlinear one-dimensional shear–shear–torsional beam model immersed in a three-dimensional space is introduced to reproduce, in an approximate way, the dynamic behavior of tower buildings. It represents an extension of a linear beam model recently introduced by the authors, accounting for nonlinearities generated by the stretching of the columns. The constitutive law of the beam is identified from a discrete model of a 3D-frame, via a homogenization process, which accounts for the rotation of the floors around the tower axis. The macroscopic shear strain in the equivalent beam is produced by the bending of columns, accompanied by negligible rotation of the floors. A coupled nonlinear shear–torsional mechanical model is thus obtained. The coupling between shear and torsion is related to a non-symmetric layout of the columns, while mechanical nonlinearities are proportional to the slenderness of the columns. The model can be used for the analysis of the response of tower buildings to any kind of dynamic and static excitation. A first application is here presented to investigate the effect of mechanical and aerodynamic coupling on the critical galloping conditions and on the postcritical behavior of tower buildings, based on a quasi-steady model of aerodynamic forces.