动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

Vehicle density and velocity estimation on highways for on-ramp metering control

A scheme for vehicle density and velocity estimation in a stretch of highway based on a modified cell transmission model [C. F. Daganzo, Transportation Research, Part B, 28B(4),269–287, 1994. Elsevier is presented. The scheme is intended for use with on-ramp metering control algorithms, providing local knowledge of densities and velocities that is helpful to improve on-ramp metering control performance. Estimation of density is obtained by nonlinear estimators, while velocity estimation is obtained by gradient algorithms. There is one density–velocity estimator for free traffic flow and other for congested traffic flow. Both estimator schemes work in parallel. The final estimation of density and velocity results from a convex combination of the predictions of the two estimators. This combination depends on occupancy or density measurements at the boundaries of the stretch and is produced by a fuzzy inference system. Stability and convergence of the density and velocity estimation scheme is proved by Lyapunov based techniques. Simulation results comparing measured and estimated traffic data are presented. They confirm good performance of the estimators. Research sponsored by grants UNAM PAPIIT IN110403 and CONACYT 47583.     

Research on Hawking Radiation as Tunneling from Schwarzshild-anti-de Sitter Black Hole

After taking into account energy conservation and the particle’s self-gravitation interaction, Hawking radiation of the massive particle as tunneling from Schwarzshild-anti-de Sitter black hole is studied by using Parikh-Wilczek’s semi-classical quantum tunneling approach. Meanwhile, Hawking radiation as tunneling from the black hole is reexamined by developing Angheben–Nadalini–Vanzo–Zerbini (ANVZ) covariant method to cover energy conservation and the particle’s self-gravitation interaction. Both the results perfectly generalize those obtained by Parikh and Wilczek, and show that the tunneling rate is related to the change of Bekenstein-Hawking entropy, and the factual emission spectrum is not exactly thermal, but satisfies the underlying unitary theory. PACS: 04.70-s, 9760. Lf.     

Design and operation characteristics of a high power transverse flow pulser sustained cw CO2 laser

A transverse flow, transverse discharge cw CO₂ laser in which de discharge is sustained by employing high repetition rate high voltage pulses has been developed. Pulser sustained discharge through electrodes of innovative design provided uniform excitation at electrical input power densities more than 10 W/cc. Laser output power more than 2.5 kW was obtained in a laser gas mixture consisting of 0.5 mbar of CO₂, 16 mbar of N₂ and 38.5 mbar of He. Design details and operational characteristics of this laser are presented.     

Estimates from Below for the Spectral Function and for the Remainder in Local Weyl’s Law

We obtain asymptotic lower bounds for the spectral function of the Laplacian and for the remainder in local Weyl’s law on manifolds. In the negatively curved case, thermodynamic formalism is applied to improve the estimates. Key ingredients of the proof include the wave equation parametrix, a pretrace formula and the Dirichlet box principle. Our results develop and extend the unpublished thesis of A. Karnaukh [Ka]. The first author was supported by NSERC, FQRNT, Alfred P. Sloan Foundation Fellowship and Dawson Fellowship. The second author was supported by NSERC and FQRNT. Received: April 2006 Revision: October 2006 Accepted: October 2006     

On the blow-up rate of large solutions for a porous media logistic equation on radial domain

In this paper we establish the exact blow-up rate of the large solutions of a porous media logistic equation. We consider the carrying capacity function with a general decay rate at the boundary instead of the usual cases when it can be approximated by a distant function. Obtaining the accurate blow-up rate allows us to establish the uniqueness result. Our result covers all previous results on the ball domain and can be further adapted in a more general domain.     

Lower bounds for the blow-up time in a temperature dependent Navier-Stokes flow

In this paper we consider two different initial-boundary value problems in temperature dependent viscous flow when the temperature equation has a nonlinear heat source term. When blow-up occurs we derive lower bounds for the blow-up time in each case.     

中国银行间拆借利率扩散模型的极大拟似然估计

本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。并用自助法对众多不同的模型进行了广义拟似然比检验。结论表明:中国货币市场利率具有均值回复效应:利率敏感系数γ值为1.421265,对利率水平具有较高敏感性。     

Lp[0,1]空间Müntz有理逼近的Jackson型估计

设Λ={λn}n∞=1为正的实数数列,且当n→∞时,有λn↘0.本文给出了当λn≤Mn-1/2,n=1,2,…,(其中M＞0为一正常数)时Müntz系统{xλn}的有理函数在Lp[0,1]空间的逼近速度,主要结论为Rn(f,Λ) Lp≤CMω(f,n-1/2)Lp,1≤p≤∞.