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.     

Remarks on a theorem of Taskinen on spaces of continuous functions

We clarify and prove in a simpler way a result of Taskinen about symmetric operators on C(Kⁿ), K an uncountable metrizable compact space. To do this we prove that, for any compact space K and any n ∈ ?, the symmetric injective n–tensor product of C(K), , is complemented in C(B_C(K)*), a result of independent interest. The techniques we develop allow us to extend the result in several directions. We also show that the hypothesis of metrizability and uncountability cannot be removed.     

Mappings of Domains in Rn and Their Metric Tensors

We consider quasi-isometric mappings of domains in multidimensional Euclidean spaces. We establish that a mapping depends continuously in the sense of the topology of Sobolev classes on its metric tensor to within isometry of the space. In the space of metric tensors we take the topology determined by means of almost everywhere convergence. We show that if the metric tensor of a mapping is continuous then the length of the image of a rectifiable curve is determined by the same formula as in the case of mappings with continuous derivatives. (Continuity of the metric tensor of a mapping does not imply continuity of its derivatives.)     

管理人因素对风险项目期权估值的影响

本基于对风险项目及其“孪生证券”风险和收益特性的分析，认为真正的“孪生证券”实际中很难存在，进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征，利用无风险套利分析确定项目实物期权价值的方法。但考虑到管理人因素造成的实物期权内部风险特征的不可复制性，本进一步提出利用“确定性等值”将内部风险价值V1具体化，从而实现对“近似孪生证券”方法进行修正。     

外汇储备规模与多元变量弹性系数的实证研究

中国外汇储备近几年的迅速增长引发了关于中国外汇储备规模是否适度的广泛讨论。本文从需求的角度,运用计量经济学的多元线性回归的方法,建立中国外汇储备与平均进口倾向、进口和国际收支三变量的双对数模型,通过计算并通过相关检验得到外汇储备与相关变量的弹性系数。为预测和制定相关政策提供依据。     

Optical bistability of planar metal/dielectric nonlinear nanostructures

We study theoretically a nonlinear response of the planar metal/dielectric nanostructures constituted from periodical array of ultra thin silver layers and the layers of Kerr-like nonlinear dielectric. We predict hysteresis-type dependences of the components of the tensor of effective dielectric permittivity on the field intensity allowing the change in material transmission properties from transparent to opaque and back at extremely low intensities of the light. It makes possible to control the light by light in all-optical nanoscale devices and circuits.     

Linear least squares problems with data over incomplete grids

The paper addresses bivariate surface fitting problems, where data points lie on the vertices of a rectangular grid. Efficient and stable algorithms can be found in the literature to solve such problems. If data values are missing at some grid points, there exists a computational method for finding a least squares spline by fixing appropriate values for the missing data. We extended this technique to arbitrary least squares problems as well as to linear least squares problems with linear equality constraints. Numerical examples are given to show the effectiveness of the technique presented. AMS subject classification (2000)  65D05, 65D07, 65D10, 65F05, 65F20     

Stability of the steady state for the Falk model system of shape memory alloys

In this article a stability result for the Falk model system is proven. The Falk model system describes the martensitic phase transitions in shape memory alloys. In our setting, the steady state is a nonlocal elliptic problem. We show the dynamical stability for the linearized stable critical point of the corresponding functional. Copyright © 2007 John Wiley & Sons, Ltd.     

Cauchy-Born Rule and the Stability of Crystalline Solids： Dynamic Problems

We study continuum and atomistic models for the elastodynamics of crystalline solids at zerotemperature.We establish sharp criterion for the regime of validity of the nonlinear elastic wave equationsderived from the well-known Cauchy-Born rule.     

Au/SiO2纳米多层薄膜的制备及其性质表征

利用多靶磁控溅射技术制备了Au/SiO₂纳米颗粒分散氧化物多层复合薄膜.研究了在保持Au单层颗粒膜沉积时间一定时薄膜厚度一定、变化SiO₂的沉积时间及SiO₂的沉积时间一定而改变薄膜厚度时，多层薄膜在薄膜厚度方向的微观结构对吸收光谱的影响.研究结果表明：具有纳米层状结构的Au/SiO₂多层薄膜在560 nm波长附近有明显的表面等离子共振吸收峰，吸收峰的强度随Au颗粒的浓度增加而增强，在Au颗粒浓度相同的情况下，复合薄膜 关键词： 2纳米复合薄膜')" href="#">Au/SiO₂纳米复合薄膜 多靶磁控溅射 吸收光谱 有效介质理论