双障碍幂型期权定价公式

为了进一步完善障碍期权理论,更好地适应金融市场的需求,本文在完全市场条件下,利用连续时间的双障碍幂型期权买权过程的鞅性和等价鞅测度变换的方法,得到了双障碍幂型期权定价模型的显式解.     

用直流磁控溅射法研制非晶硅太阳电池ZnO/Al背反射电极

本文首先在低温(140℃)和低功率下采用Zn:Al合金靶直流反应磁控溅射法研制ZnO:A1透明导电膜.然后在单结(glass/SnO2/pin/)或双结(glass/SnO2/pin/pin/)非晶硅电池上沉积约70～lOOnm厚的ZnO透明导电膜,最后再用电阻蒸发法沉积Al电极.实验获得了较好的n+/ZnO界面,实现了ZnO/Al背电极的增反作用,使电池的短路电流增加1～3mA/cm2,光电转化效率提高1～3;(绝对效率),小面积电池效率达到9.5;.     

基于分数O-U随机过程的新型亚式期权的定价

本文运用衍生证券理论的最基本原理(△对冲和无套利原理),研究了一种新型亚式期权的定价问题,该类型期权因具有常数平均值久期而不同于标准化情形.假设标的资产(气温)由分数Ornstein-Uhlenbeck过程驱动,这样假设对天气衍生品来说是合理的.本文得到了这种新型亚式期权的动态定价方程.     

面对人类社会可持续发展的能源选择

经济增长和人类的可持续发展,需要廉价、可靠和环境友好的能源供给和利用。然而目前使用的主要能源,包括天然气、石油、煤炭、核能和可再生能源,以及它们的主要利用方式,并不能完全满足这种要求,现有能源系统的变革,以提高效率、消除污染物排放、减少单位能量温室气体的释放,是实现可持续发展的第一关键步骤．要真正实现可持续发展,必须在不断研究与发展的基础上,首先进行能源资源和利用技术的创新变革,以可再生资源为能源的燃料电池和氢经济,是满足可持续发展要求的零排放的能源技术中．最恰当的结合,煤炭由于其储量丰富、便宜、安全和使用期长,在这种转型过程中扮演着关键角色：煤气化与燃料电池技术和未来二氧化碳（CO2）的分离与储存技术的结合,可以实现零排放。煤炭利用技术也将提高可再生能源,特别是生物质和废弃物,在可持续能源中的比例和重要性。     

A Projected Algebraic Multigrid Method for Linear Complementarity Problems

We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical algebraic multigrid algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.     

基于特征块匹配的医用注射液图像位移补偿应用

针对机器视觉药液异物检测机器人由于机械振动或跟踪不同步,导致所拍摄的序列图像产生位移偏差、影响后续异物分割与提取的问题,本工作采取特征点匹配与块匹配相结合的方法,对序列图像进行配准,求出运动矢量进行图像位移补偿,克服了传统特征点匹配产生空间位置偏差较大误匹配、传统块匹配需对背景静止块进行预处理以及单独使用特征点对匹配或块匹配均难以满足实时需要的问题。首先,对参考帧进行FAST特征点检测,再利用Hessian矩阵、非极大值抑制、熵值差法和特征点距离约束选取稳定的特征点;然后,根据特征点位置信息,选取以特征点为中心的待匹配宏块,再采用一种改进的偏水平方向的六边形搜索策略（HHS）与当前帧进行块与块的匹配,找到最佳匹配块;最后,利用匹配块之间的坐标参数求出运动参数,再利用求出的运动矢量进行帧间补偿。实验结果表明,该算法实时性能能达到72 ms,远快于点对匹配中ORB算法的140 ms,比直接用原有的六边形搜索算法（HS）进行块匹配快了近20%,兼顾了速度与精度,能快速补偿药瓶在图像中的位移偏差,抑制图像位移偏差所引起的各种干扰。     

重置期权的随机性研究

利用等价测度和鞅的方法,以股票价格为选择重设点依据的情况下推导了随机时间重置期权中的欧式看涨期权的定价公式.     

Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach

This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory. The financial market is seen as an information processing system, which optimizes an information functional. An optimization problem is constructed, for which the linearized Hamilton–Jacobi–Bellman equation is the Black–Scholes pricing equation for financial derivatives. The model suggests that one can define a reasonable Hamiltonian for the financial market, which results in an optimal transport equation for the market drift. It is shown that in such a framework, which supports Black–Scholes pricing, the market drift obeys a backwards Burgers equation and that the market reaches a thermodynamical equilibrium, which minimizes the free energy and maximizes entropy.     

Artificial Neural Networks Performance in WIG20 Index Options Pricing

In this paper, the performance of artificial neural networks in option pricing was analyzed and compared with the results obtained from the Black–Scholes–Merton model, based on the historical volatility. The results were compared based on various error metrics calculated separately between three moneyness ratios. The market data-driven approach was taken to train and test the neural network on the real-world options data from 2009 to 2019, quoted on the Warsaw Stock Exchange. The artificial neural network did not provide more accurate option prices, even though its hyperparameters were properly tuned. The Black–Scholes–Merton model turned out to be more precise and robust to various market conditions. In addition, the bias of the forecasts obtained from the neural network differed significantly between moneyness states. This study provides an initial insight into the application of deep learning methods to pricing options in emerging markets with low liquidity and high volatility.     

同色异谱破坏特性及其在相似异物检测中的应用

由于相似异物与所处背景的外观特征极其相近,现有的光谱成像检测技术遇到新的挑战。针对复杂背景中相似异物检测难题,提出了利用同色异谱破坏特性的透反射光谱图像检测方法。在分析同色异谱破坏过程中异物与背景光谱特性差异基础上,建立了波长优选函数筛选最优波长的透反射光源构建成像检测系统。以棉花中的白色丝状异物作为实验对象,利用最佳波长透反射成像系统获取异物特征,采用图像决策层融合增强异物图像特征,最后利用二值化处理提取异物目标。实验结果表明,在利用390 nm反射波长与580 nm透射波长的双波长图像检测中,成像系统获取的相似异物图像特征明显,异物提取后检测结果与实际相符。此方法可有效检测棉花中多种白色丝状异物,为相似异物检测提供了一种新思路。