Local Volatility Pricing Models for Long-Dated FX Derivatives

Abstract

We study the local volatility function in the foreign exchange (FX) market, where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration of this local volatility on the FX option's market. Then, we study an extension to obtain a more general volatility model and propose a calibration method for the local volatility associated with this model.     

Modulation of Foreign Body Reaction against PDMS Implant by Grafting Topographically Different Poly(acrylic acid) Micropatterns

The surface of poly(dimethylsiloxane) (PDMS) is grafted with poly(acrylic acid) (PAA) layers via surface‐initiated photopolymerization to suppress the capsular contracture resulting from a foreign body reaction. Owing to the nature of photo‐induced polymerization, various PAA micropatterns can be fabricated using photolithography. Hole and stripe micropatterns ≈100‐µm wide and 3‐µm thick are grafted onto the PDMS surface without delamination. The incorporation of PAA micropatterns provides not only chemical cues by hydrophilic PAA microdomains but also topographical cues by hole or stripe micropatterns. In vitro studies reveal that a PAA‐grafted PDMS surface has a lower proliferation of both macrophages (Raw 264.7) and fibroblasts (NIH 3T3) regardless of the pattern presence. However, PDMS with PAA micropatterns, especially stripe micropatterns, minimizes the aggregation of fibroblasts and their subsequent differentiation into myofibroblasts. An in vivo study also shows that PDMS samples with stripe micropatterns polarized macrophages into anti‐inflammatory M2 macrophages and most effectively inhibits capsular contracture, which is demonstrated by investigation of inflammation score, transforming‐growth‐factor‐β expression, number of macrophages, and myofibroblasts as well as the collagen density and capsule thickness.     

The cycle structure of two rows in a random Latin square

Let L be chosen uniformly at random from among the latin squares of order n ≥ 4 and let r,s be arbitrary distinct rows of L. We study the distribution of σ_r,s, the permutation of the symbols of L which maps r to s. We show that for any constant c > 0, the following events hold with probability 1 ‐ o(1) as n → ∞: (i) σ_r,s has more than (log n)^1?c cycles, (ii) σ_r,s has fewer than 9 cycles, (iii) L has fewer than n^5/2 intercalates (latin subsquares of order 2). We also show that the probability that σ_r,s is an even permutation lies in an interval and the probability that it has a single cycle lies in [2n^‐2,2n^‐2/3]. Indeed, we show that almost all derangements have similar probability (within a factor of n^3/2) of occurring as σ_r,s as they do if chosen uniformly at random from among all derangements of {1,2,…,n}. We conjecture that σ_r,s shares the asymptotic distribution of a random derangement. Finally, we give computational data on the cycle structure of latin squares of orders n ≤ 11. © 2008 Wiley Periodicals, Inc. Random Struct. Alg., 2008     

人民币汇率变动对我国开放经济中外资流人影响的研究

就人民币汇率变动对我国开放经济外资流入的传导机制进行理论分析,并以高开放地区和行业为代表,结合实际数据利用面板模型进行实证研究,结果表明:人民币汇率与我国开放经济中外资流入呈现反向变动.由于外资对我国开放经济稳定健康发展具有重大意义和影响.因此,我国需保持人民币汇率在中长期稳定,从而避免对外资流入产生大的冲击.     

长江经济带与“一带一路”沿线国家贸易地区结构的实证研究

利用贸易额的绝对值和指数实证分析了长江经济带与“一带一路”沿线国家的贸易地区结构. 结果表明: 长江经济带与“一带一路”沿线国家的贸易过于集中, 且进出口贸易的整体地区结构和主要10个国家的内部地区结构均有所优化, 但不甚明显, 其中出口的整体地区结构更为分散, 进口的内部地区结构更为均匀. 最后基于分析结果, 为促进长江经济带与“一带一路”沿线国家贸易地区结构合理化发展提出了建议.     

医学留学生基础化学的情境化教学探索

为保证医学院校留学生的教学质量,提高教学水平,在基础化学教学过程中,打破传统教学方法,选用抛锚式教学、认知学徒制和课堂学习共同体3种适合于留学生教学的情境化教学模式,将化学学科的内容情境化,让学生不去死记硬背学科知识,以达到的最佳教学效果。     

Microwave assisted fluorination: an improved method for side chain fluorination of substituted 1-arylethanones

A two-step, one-pot microwave (MW) assisted fluorination of 1-arylethanones to their corresponding 1-aryl-2-fluoroethanones has been developed. The first step utilises Selectfluor™ as a fluorinating agent in methanol forming 1-aryl-2-fluoroethanones and their corresponding dimethyl acetals. In the second step, water is added and Selectfluor™ acts as a Lewis acid in the hydrolytic cleavage of the dimethyl acetals. Compared to the thermal synthesis, the MW assisted method leads to a reduction in reaction time both in the fluorination and for the dimethyl acetal cleavage. Moreover, the one-pot procedure reduces reagent and solvent consumption. The method is best suited for the preparation of 1-aryl-2-fluoroethanones containing substituents that deactivates electrophilic aromatic substitution, however highly electron deficient ketones such as 1-(3,5-dinitrophenyl)ethanone reacts more slowly. Reactions using electron rich aromatic ketones had a low regioselectivity, and also produced fluoroaromatic products.     

10-Oxo-10H-5λ,10λ-thianthren-5-ylideneamine as a probe for stereochemistry in the formation and amination of fluoro-λ-sulfanenitriles

The fluorination of 10-oxo-10H-5λ⁴,10λ⁴-thianthren-5-ylideneamine (2) with Selectfluor™ affords 5-fluoro-10-oxo-5,10-dihydro-5λ⁶,10λ⁴-thianthren-5-nitrile (4). The amination of 4 with morpholine gives 5-morpholino-10-oxo-5,10-dihydro-5λ⁶,10λ⁴-thianthren-5-nitrile (5). The stereochemical course of both reactions has been studied, while the configurations of their products, cis-isomer 4 and trans-5-morpholino-10-oxo-5,10-dihydro-5λ⁶,10λ⁴-thianthren-5-nitrile (trans-5) are elucidated by the use of X-ray crystallographic analyses.     

外商直接投资对国内投资挤入挤出效应的区制动态分析

本文以1999年到2013年的外商直接投资和国内投资的季度数据为基础,采用MS-VECM模型对我国外商直接投资与国内投资的区制状态、区制相关性以及转移概率进行了实证分析。结果表明,在整个样本期内,外商直接投资对我国的国内投资总体上存在挤入效应,但从动态时间路径上看,在经济运行的不同时期,外商直接投资对我国国内投资的影响并不一致,在1999年一季度至2005年三季度期间表现为对国内投资的挤出效应,而在2005年四季度至2013年四季度期间则表现为挤入效应     

信息技术在美国大学物理课程中的应用——以美国俄亥俄州立大学为例

随着信息时代的来临,信息技术作为新型的教学工具逐步走进了校园,进入了课堂,成为现代化教学不可缺少的手段和教学改革的利器.文章根据作者在美国访学一年的经历,以美国俄亥俄州立大学为例,详细介绍信息技术在美国大学工科物理主要教学环节中的应用,并对中美大学在信息化建设方面的差异进行总结;通过比较可以看到,国内在信息技术常态化以及将信息技术深入融合到教学的具体环节方面和美国还存在有一定差距,需要进一步加强.