The study of chamber rockburst by the CUSP model of catastrophe theory

ＴＨＥＳＴＵＤＹＯＦＣＨＡＭＢＥＲＲＯＣＫＢＵＲＳＴＢＹＴＨＥＣＵＳＰＭＯＤＥＬＯＦＣＡＴＡＳＴＲＯＰＨＥＴＨＥＯＲＹＰａｎＹｉ－ｓｈａｎ（潘一山）,ＺｈａｎｇＭｅｎｇ－ｔａｏ（章梦涛）,ＬｉＧｕｏ－ｚｈｅｎｇ（李国臻）（ＦｕｘｉｎＭｉｎｉｎｑＩｎｓ...     

障碍期权的定价问题

障碍期权是与路径相关的期权 ,因而它的定价计算是非常复杂的 .本文利用反射原理对障碍期权的定价问题进行了简化 ,从而最终给出障碍期权的定价公式 .而文中多次运用 Girsanov定理构造等价鞅测度是解决问题的关键 ,它为反射原理的使用创造了基本条件 .     

A bonding evolution theory study on the catalytic Noyori hydrogenation reaction

ABSTRACT

The electronic rearrangements involved in Noyori hydrogenation reactions with double bonds (ethene and formaldehyde) are analysed using the bonding evolution theory. The study and analysis of the changes on the electron localisation function topology along a given reaction path reveals fluxes of electron density, allowing to unambiguously identify the main chemical events happening along the chemical reactions. This analysis shows that the first hydrogen transfer (with hydride character) occurs before the transition state (TS), while the second hydrogen transfer (with proton character) takes places after having reached the TS. The lower energy barrier found for formaldehyde over ethene is explained by two reasons. First, the hydride transfer is favoured for the C?=?O bond over C?=?C due to the electrophilic character of the carbon atom. Second, a negatively charged CH₃–X (X?=?CH₂, O) hidden intermediate is formed in the proximities of the TS region. The oxygen atom is able to stabilise this negatively charged species more effectively than the CH₂ group due to its higher electronegativity and the presence of V(O) lone pairs. The obtained analysis explains and rationalises catalyst chemoselectivity (C?=?O vs. C?=?C). Finally, a curly arrow representation diagram accounting for the electronic rearrangements is proposed on the basis of BET results.     

Superconvergence estimates of finite element methods for American options

In this paper we are concerned with finite element approximations to the evaluation of American options. First, following W. Allegretto etc., SIAM J. Numer. Anal. 39 (2001), 834–857, we introduce a novel practical approach to the discussed problem, which involves the exact reformulation of the original problem and the implementation of the numerical solution over a very small region so that this algorithm is very rapid and highly accurate. Secondly by means of a superapproximation and interpolation postprocessing analysis technique, we present sharp L ²-, L ^∞-norm error estimates and an H ¹-norm superconvergence estimate for this finite element method. As a by-product, the global superconvergence result can be used to generate an efficient a posteriori error estimator. This work was supported in part by the National Natural Science Foundation of China (10471103 and 10771158), the National Basic Research Program (2007CB814906), Social Science Foundation of the Ministry of Education of China (Numerical Methods for Convertible Bonds, 06JA630047), Tianjin Natural Science Foundation (07JCY-BJC14300), and Tianjin University of Finance and Economics.     

On a degenerate parabolic equation arising in pricing of Asian options

We study a certain one-dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized solution of such a problem remained unclear. We prove that the generalized solution of the problem is indeed a classical solution.     

The early exercise region for Bermudan options on two underlyings

This paper investigates the early exercise region for Bermudan options on two underlying assets. We present a set of analytical validation results for the early exercise region which can be used as a means of validating pricing techniques. When all strike prices are identical we show the existence of an intersection point such that for any asset price pair below this point early exercise is always optimal. We develop an approximation to this point in the two asset put case. When the strike prices are not all equal, we show that three separate cases exist for the early exercise region. For a Bermudan put on two assets we present these cases and show that there exists a critical point in which the boundaries of the two asset early exercise region bifurcate. Comparisons are drawn between the Bermudan results presented and the corresponding American option results.     

基于巨灾模型的巨灾保险组合研究

巨灾风险所造成的巨大损失已经威胁到人类社会的可持续发展.巨灾保险是分散巨灾损失的一种途径,利用巨灾模型研究被保风险的累积损失和个人损失分布的数学性质,且考虑损失率是巨灾强度的函数.通过巨灾模型和保险公司破产概率的计算和数值仿真,得到不能仅仅依靠保费的选择而分散巨灾风险.     

随机需求下基于供应中断的备份供应商决策分析

假定需求服从随机分布,研究由零售商主导的供应链中,采用一个战略供应商和一个备份供应商模式,零售商与备份供应商通过能力期权建立订货契约:首先,零售商向备份供应商预订能力,支付预订成本;接着,向战略供应商订货,如果没有发生突发事件则其供货量等于订货量,否则供货量变为零;然后,零售商基于战略供应商的供货量和备份供应商的能力预订确定向备份供应商的订货量,支付执行成本;最后,零售商用战略供应商和备份供应商的总供货量满足顾客需求。备份供应商在考虑自己的能力维持成本和制造成本后决定是否接受零售商提供的能力期权契约。针对零售商可选择的四种不同策略,求得采取不用策略所满足的条件,并给出相应的最优订货量、能力预订量和能力执行量和最优利润等的解析解。     

逆冲断层地震主震的突变理论分析

逆冲断层系统作准静态形变时的功、能量增量关系可以分解为关于体积应变能的功能增量关系和关于偏应力能的功能增量关系．采用突变理论方法对逆冲断层系统的偏应力功能量增量关系进行的分析表明:折迭突变模型展示的性状可对逆冲断层地震主震的发震条件、演化过程和若干震后特性作恰当描述．围岩的围压大,最大主应力大,逆冲潜断层面倾角小,围岩切向刚度与断层抗剪强度曲线软化段拐点处斜率的比值小, 则震时围岩弹性能释放量大、 震级高, 断层破裂半错距大, 围岩端面位移振幅也大．断层岩体破裂扩容和震时围岩体积应变能释放, 增强了前述效应．