纯生跳跃扩散型交换期权定价公式

在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生跳跃扩散型交换期权的定价的例子.     

Chemically controlled pattern formation in phase-separating materials

Summary The role of chemical reactions in the selection of patterns in phase-separating mixtures is presented. Linearized theory and computer simulation show that the initial long-wavelength instability characteristic of spinodal decomposition is suppressed by chemical reactions, which restrict domain growth to intermediate length scales even in the late stages of phase separation. Our findings suggest that chemical reactions may provide a novel way to stabilize and tune the steady-state morphology of phase-separating materials. Paper presented at the I International Conference on Scaling Concepts and Complex Fluids, Copanello, Italy, July 4–8, 1994.     

Asymptotic expansions of integrals of two Bessel functions via the generalized hypergeometric and Meijer functions

Asymptotic expansions of certain finite and infinite integrals involving products of two Bessel functions of the first kind are obtained by using the generalized hypergeometric and Meijer functions. The Bessel functions involved are of arbitrary (generally different) orders, but of the same argument containing a parameter which tends to infinity. These types of integrals arise in various contexts, including wave scattering and crystallography, and are of general mathematical interest being related to the Riemann—Liouville and Hankel integrals. The results complete the asymptotic expansions derived previously by two different methods — a straightforward approach and the Mellin-transform technique. These asymptotic expansions supply practical algorithms for computing the integrals. The leading terms explicitly provide valuable analytical insight into the high-frequency behavior of the solutions to the wave-scattering problems.     

第二类Fredholm积分方程的泰勒展开解法

本进一步发展了用Taylor公式求解第二类Fredholm积分方程的方法，并给出了近似解的误差精度分析．     

New results for virial coefficients of hard spheres inD dimensions

We present new results for the virial coefficientsB _k for κ<- 10 for hard spheres in dimensionsD = 2,..., 8.     

应用无衍射贝塞尔光束的固体线膨胀系数测量系统

测量固体线膨胀系数是工程设计中的一项重要工作。这套非接触固体线膨胀系数测量系统利用激光三角法进行了设计。通过采用线阵CCD作为信号传感器来实现自动化测量。通过采用无衍射贝塞尔光束来提高测量精度和增大测量范围。     

狭义相对论效应──运动时钟变慢的计算机模拟演示实验

利用精炼的C语言进行程序设计，定量模拟狭义相结论的运动时钟变慢，并对处于两种不同时空观的时钟运行进行对比，使得时间膨胀效应变得直观。     

Two-Dimensional Coulomb Systems on a Surface of Constant Negative Curvature

We study the equilibrium statistical mechanics of classical two-dimensional Coulomb systems living on a pseudosphere (an infinite surface of constant negative curvature). The Coulomb potential created by one point charge exists and goes to zero at infinity. The pressure can be expanded as a series in integer powers of the density (the virial expansion). The correlation functions have a thermodynamic limit, and remarkably that limit is the same one for the Coulomb interaction and some other interaction law. However, special care is needed for defining a thermodynamic limit of the free energy density. There are sum rules expressing the property of perfect screening. These generic properties can be checked on the Debye–Hückel approximation, and on two exactly solvable models, the one-component plasma and the two-component plasma, at some special temperature.     

A new quantum statistical evaluation method for time correlation functions

Considering a system ofN identical interacting particles, which obey Fermi-Dirac or Bose-Einstein statistics, we derive new formulas for correlation functions of the type (whereB _j is diagonal in the free-particle states) in the thermodynamic limit. Thereby we apply and extend a superoperator formalism, recently developed for the derivation of long-time tails in semiclassical systems. As an illustrative application, the Boltzmann equation value of the time-integrated correlation functionC(t) is derived in a straightforward manner. Due to exchange effects, the obtained t-matrix and the resulting scattering cross section, which occurs in the Boltzmann collision operator, are now functionals of the Fermi-Dirac or Bose-Einstein distribution.