A boundary element method to price time-dependent double barrier options

In this paper we propose a new method for pricing double-barrier options with moving barriers under the Black-Scholes and the CEV models. First of all, by applying a variational technique typical of the boundary element method, we derive an integral representation of the double-barrier option price in which two of the integrand functions are not given explicitly but must be obtained solving a system of Volterra integral equations of the first kind. Second, we develop an ad hoc numerical method to regularize and solve the system of integral equations obtained. Several numerical experiments are carried out showing that the overall algorithm is extraordinarily fast and accurate, even if the barriers are not differentiable functions. Moreover the numerical method presented in this paper performs significantly better than the finite difference approach.     

The beta Laplace distribution

The Laplace distribution is one of the earliest distributions in probability theory. For the first time, based on this distribution, we propose the so-called beta Laplace distribution, which extends the Laplace distribution. Various structural properties of the new distribution are derived, including expansions for its moments, moment generating function, moments of the order statistics, and so forth. We discuss maximum likelihood estimation of the model parameters and derive the observed information matrix. The usefulness of the new model is illustrated by means of a real data set.     

Left invariant special Kähler structures

We construct left invariant special Kähler structures on the cotangent bundle of a flat pseudo-Riemannian Lie group. We introduce the twisted cartesian product of two special Kähler Lie algebras according to two linear representations by infinitesimal Kähler transformations. We also exhibit a double extension process of a special Kähler Lie algebra which allows us to get all simply connected special Kähler Lie groups with bi-invariant symplectic connections. All Lie groups constructed by performing this double extension process can be identified with a subgroup of symplectic (or Kähler) affine transformations of its Lie algebra containing a nontrivial 1-parameter subgroup formed by central translations. We show a characterization of left invariant flat special Kähler structures using étale Kähler affine representations, exhibit some immediate consequences of the constructions mentioned above, and give several non-trivial examples.     

有界噪声激励下单摆-谐振子系统的混沌运动

研究了具有同宿轨道和周期轨道的可积单摆-谐振子系统在弱Hamilton摄动(即弱耦合摄动)和弱非Hamilton摄动(即阻尼和有界噪声微扰)下的混沌运动．用Melnikov方程预测Hamilton系统中可能存在混沌运动的参数域，并用Poincare截面验证解析结果．用数值方法计算了有阻尼与有界噪声激励下系统的最大Lyapun0V指数和Poincare截面，结果表明有界噪声在频率上的扩散减小了引发系统产生混沌运动的效应。     

Consolidation around a borehole embedded in media with double porosity under release of geostatic stresses

The paper deals with the stress, displacement, pore and fissure pressures fields induced by the drilling and/or the pressurization of a vertical borehole in a formation of water-saturated porous media with double porosity. The solution includes the boundary condition of non-hydrostatic in situ state of stress. The solid skeleton is assumed to behave as a linearly poroelastic material with compressible constituents. The analytical solution is derived in Laplace’s space and transformed to the time domain using a numerical inversion technique. The histories of pore and fissure pressures are illustrated to show the influence of permeabilities of the pore and fissure systems.     

一个方程组的解及相关边值问题

该文考虑方程组 t(u_x - v_y - w_t ) + w = 0 (H) u_y = -v_x, u_t = -w_x, v_t = w_y 的解f = u + iv + jt ∈C²,找到(H)可解的一个充要条件,并讨论相关边值问题解的存在性和积分表示,推广了1992年H. Leutwiler［1］的结果.     

Binding energies of donor impurities in modulation-doped double quantum wells under an electric field

In this study, we have investigated theoretically the binding energies of shallow donor impurities in modulation-doped GaAs/Al_0.33Ga_0.67As double quantum wells (DQWs) under an electric field which is applied along the growth direction for different doping concentrations as a function of the impurity position. The electronic structure of modulation-doped DQWs under an electric field has been investigated by using a self-consistent calculation in the effective-mass approximation. The results obtained show that the carrier density and the depth of the quantum wells in semiconductors may be tuned by changing the doping concentration, the electric field and the structure parameters such as the well and barrier widths. This tunability gives a possibility of use in many electronic and optical devices.     

Antigen retrieval on formaldehyde-fixed paraffin sections: its potential drawbacks and optimization for double immunostaining

It is well known that the major artifact induced by formaldehyde fixation is the masking of tissue antigens due to cross-linking of protein amino acid residues. Recently many antigen retrieval techniques have been devised to unmask the hidden antigen epitopes and recover immunoreactivity. In this study, some practical problems of two common unmasking techniques, i.e. heat-induced epitope retrieval and enzyme digestion have been reviewed in immunostaining of proliferating cell nuclear antigen (PCNA) on formaldehyde-fixed paraffin-embedded sections. As the heating conditions became more severe, false-positive staining and/or nonspecific background staining occurred. Based on the principle of protein inactivation/denaturation and the possible mechanisms of antigen retrieval, it has been suggested that the antigen retrieval itself can also denature proteins in tissues, just as many other protein inactivation processes. Thus, the total magnitude of protein conformational change caused by the overall unmasking procedure is in practice crucial. To prove this hypothesis and to overcome such undesirable drawbacks after antigen retrieval, a new combination technique of a mild heating condition (microwaved at 80°C for 15–20 min) and pepsin digestion was devised. This technique led to a strong specific immunoreactivity of PCNA, without any undesirable false positive or background staining. The procedure was also adapted for double immunostaining of PCNA together with -actin, bromodeoxyuridine, keratin, type IV collagen and vimentin.     

基于压缩感知及光学理论的图像信息加密

针对信息加密系统中信息安全性不理想的问题,提出一种基于压缩感知的光学图像信息加密方法.在发送端,自然图像经稀疏表示、随机投影实现图像信息加密;然后将降维后的观测值通过4F双随机相位编码光学系统进行二次加密并将其融入宿主图像,实现信息加密及隐藏.在接收端,图像信息经双随机相位编码技术解码,通过正交匹配追踪算法实现原始图像信息重构.该系统能有效降低数据传输量、减小随机相位板大小.且收发方只需按照规则生成密钥而不需传输密钥,保证了密钥的安全性.仿真结果表明:解密恢复图像质量理想,峰值信噪比为30.899 1dB,且系统能较好地抵抗裁剪、噪音污染、高通滤波、旋转等攻击,鲁棒性强,安全性高.