Dependence properties and comparison results for Lévy processes

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding properties of the Lévy copula, a concept which has been introduced recently in Cont and Tankov (Financial modelling with jump processes. Chapman & Hall/CRC, Boca Raton, 2004) and Kallsen and Tankov (J Multivariate Anal 97:1551–1572, 2006). It turns out that association, positive orthant dependence and positive supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and characterize them by orders of the Lévy measures and by orders of the Lévy copulas, respectively. An example is given that the Lévy copula does not determine dependence concepts like multivariate total positivity of order 2 or conditionally increasing in sequence. Besides these general results we specialize our findings for subfamilies of Lévy processes. The last section contains some applications in finance and insurance like comparison statements for ruin times, ruin probabilities and option prices which extends the current literature. Anja Blatter was supported by the Deutsche Forschungsgemeinschaft (DFG).     

Portfolio Selection Problem with Minimax Type Risk Function

The investor's preference in risk estimation of portfolio selection problems is important as it influences investment strategies. In this paper a minimax risk criterion is considered. Specifically, the investor aims to restrict the standard deviation for each of the available stocks. The corresponding portfolio optimization problem is formulated as a linear program. Hence it can be implemented easily. A capital asset pricing model between the market portfolio and each individual return for this model is established using nonsmooth optimization methods. Some numerical examples are given to illustrate our approach for the risk estimation.     

城市交通管理中的出租车规划模型

最佳数量的确定和价格的制定是城市出租车规划中的两个核心问题.对影响出行强度的市区人口和建成区面积分析建立了出行总量预测模型,再通过分析出租车最佳数量与出租车运营里程的关系,得出出租车最佳数量的预测模型.在出租车最佳数量模型的基础上,分析出租车数量的差异和差异产生的原因,给出了出租车定价判断模型,为出租车定价机制的调整指明了方向.最后以长沙市为例进行了实证分析.     

美式期权定价问题的变网格差分方法

本文提出一种求解美式期权定价自由边值问题的变网格差分方法.通过建立一个自由边界所满足的方程,利用变网格技术可同时求出期权的差分解和最佳执行边界.本文分别讨论了显式和隐式变网格差分格式,并给出了差分解的收敛性和稳定性分析.数值实验表明本文算法是一个非常有效的期权定价算法.     

A convective weakly viscoelastic rotating flow with pressure Neumann condition

The objective of this work is to investigate through the numeric simulation, the effects of the weakly viscoelastic flow within a rotating rectangular duct subject to a buoyancy force due to the heating of one of the walls of the duct. A direct velocity–pressure algorithm in primitive variables with a Neumann condition for the pressure is employed. The spatial discretization is made with finite central differences on a staggered grid. The pressure field is directly updated without any iteration. Numerical simulations were done for several Weissemberg numbers (We) and Grashof numbers (Gr) . The numerical results show that for high Weissemberg numbers (We>7.4 × 10^?5) and for ducts with aspect ratio 2:1 and 8:1, the secondary flow is restabilized with a stretched double vortex configuration. It is also observed that when the Grashof number is increased (Gr>17 × 10^?4) , the buoyancy force neutralizes the effects of the Coriolis force for ducts with aspect ratio 8:1. Copyright © 2008 John Wiley & Sons, Ltd.     

均衡信贷配给的期权定价分析

本文基于期权定价的视角分析信贷配给，以一条全新的思路阐释均衡信贷配给的成因及特征，并试图得出些许启示。     

A compact high‐order HLL solver for nonlinear hyperbolic systems

We present a new finite‐volume method for calculating complex flows on non‐uniform meshes. This method is designed to be highly compact and to accurately capture all discontinuities that may arise within the solution of a nonlinear hyperbolic system. In the first step, we devise a fourth‐degree Hermite polynomial to interpolate the solution. The coefficients defining this polynomial are calculated by using a least‐square method. To introduce monotonicity conditions within the procedure, two constraints are added into the least‐square system. Those constraints are derived by locally matching the high‐order Hermite polynomial with a low‐order TVD polynomial. To emulate these constraints only in regions of discontinuities, data‐depending weights are defined; these weights are based upon normalized indicators of smoothness of the solution and are parameterized by an O(1) quantity. The reconstruction so generated is highly compact and is fifth‐order accurate when the solution is smooth; this reconstruction becomes first order in regions of discontinuities. In the second step, this reconstruction is inserted in an HLL approximate Riemann solver. This solver is designed to correctly capture all discontinuities that may arise into the solution. To this aim, we introduce the contribution of a possible contact discontinuity into the HLL Riemann solver. Thus, a spatially fifth‐order non‐oscillatory method is generated. This method evolves in time the solution and its first derivative. In a one‐dimensional context, a linear spectral analysis and extensive numerical experiments make it possible to assess the robustness and the advantages of the method in computing multi‐scale problems with embedded discontinuities. Copyright © 2008 John Wiley & Sons, Ltd.     

About the compatibility between ansatzes and constraints for a local formulation of orbital‐free density functional theory

Functional properties that are exact for the Hohenberg–Kohn functional may turn into mutually exclusive constraints at a given level of ansatz. This is exemplarily shown for the local density approximation. Nevertheless, it is possible to reach exactly the Kohn–Sham data from an orbital‐free density functional framework based on simple one‐point functionals by starting from the Levy–Perdew–Sahni formulation. The energy value is obtained from the density‐potential pair, and therefore does not refer to the functional dependence of the potential expression. Consequently, the potential expression can be obtained from any suitable model and is not required to follow proper scaling behavior.     

Novel ‘Nano in Nano’ Composites for Sustained Drug Delivery: Biodegradable Nanoparticles Encapsulated into Nanofiber Non‐Wovens

Novel ‘nano in nano’ composites consisting of biodegradable polymer nanoparticles incorporated into polymer nanofibers may efficiently modulate drug delivery. This is shown here using a combination of model compound‐loaded biodegradable nanoparticles encapsulated in electrospun fibers. The dye coumarin 6 is used as model compound for a drug in order to simulate drug release from loaded poly(lactide‐co‐glycolide) nanoparticles. Dye release from the nanoparticles occurs immediately in aqueous solution. Dye‐loaded nanoparticles which are encapsulated by electrospun polymer nanofibers display a significantly retarded release.