非线性Black-Scholes模型下几何平均亚式期权定价

在非线性Black-Scholes模型下,本文研究了几何平均亚式期权定价问题.首先利用单参数摄动方法,将亚式期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了几何平均亚式期权的近似定价公式.最后利用Green函数分析了近似结论的误差估计.     

基于期权的树形供应链应急模型与仿真

在多级树形供应链网络环境下,基于实物期权策略并引入中断风险成本,建立了树形供应链应对中断风险的保护与应急模型,通过求解模型得到最优策略并进行了数值仿真分析.仿真结果表明该模型能够显著降低树形供应链系统的中断风险成本与系统中断时间,从而提高供应网络的鲁棒性.     

中国房地产投资与国民经济关系结构变点研究

本文首先描述了房地产投资与GDP间关系在以2001、2008年为分界点的三个时期上的不同特征;其次用变结构协整模型侦测协整关系的结构变点;再次利用分段协整检验、邹氏断点检验和格兰杰因果检验对变点做进一步验证。结论如下:房地产投资与国民经济发展总体上存在长期协整关系,两者关系的发展呈现三段式:2001年之前两者尚未形成长期均衡关系,协整关系不显著,1998年到2001年是形成期;2001年之后两者形成了长期均衡关系,表现为协整关系比较显著;2008年之后协整关系脱离原均衡水平,向高位发展。加强对房地产行业的监督与调控,促使其与国民经济保持长期均衡,对经济社会持续、健康、协调发展意义重大。     

基于统一灰色生成算子的三参数离散灰色预测模型及其应用

现有三参数离散灰色预测模型的累加阶数取值范围局限于正实数,导致模型建模能力和作用空间受限。为此,论文首先引入实数域统一灰色生成算子;然后,基于统一灰色生成算子构造了新型三参数离散灰色预测模型,实现了其阶数从正实数到全体实数的拓展与优化,从而使得新型模型具备挖掘时序数据积分特性与差异信息的双重功能;最后,将该新模型应用于某装甲装备维修经费的建模,结果显示其精度优于其它同类灰色模型。本研究成果对完善灰色算子基础理论及提高灰色预测模型建模能力具有重要价值。     

On perturbations of matrix pencils with real spectra, a revisit

This paper continues earlier studies by Bhatia and Li on eigenvalue perturbation theory for diagonalizable matrix pencils having real spectra. A unifying framework for creating crucial perturbation equations is developed. With the help of a recent result on generalized commutators involving unitary matrices, new and much sharper bounds are obtained.

     

Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

Muffin‐tin potentials in EXAFS analysis

Muffin‐tin potentials are the standard tool for calculating the potential surface of a cluster of atoms for use in the analysis of extended X‐ray absorption fine‐structure (EXAFS) data. The set of Cartesian coordinates used to define the positions of atoms in the cluster and to calculate the muffin‐tin potentials is commonly also used to enumerate the scattering paths used in the EXAFS data analysis. In this paper, it is shown that these muffin‐tin potentials are sufficiently robust to be used to examine quantitatively contributions to the EXAFS data from scattering geometries not represented in the original cluster.     

超声珩磨区实际气体的单空泡动力学分析

为进一步揭示功率超声振动的珩磨机理,以珩磨液为工作介质,研究了功率超声珩磨环境中实际气体的单空泡动力学特性。基于Rayleigh-Plesset方程,应用实际气体绝热方程和范德瓦尔斯方程对其进行了修正,建立了功率超声珩磨环境中实际气体的单空泡动力学方程以及实际气体单空泡共振频率方程。并运用4~5阶RungeKutta法模拟了不同超声条件(声压幅值、空泡初始半径、振动频率)对泡壁的运动以及运动速度的影响。结果表明:较高的声压幅值,空泡理论共振半径R'0与初始半径R0的比值为102数量级以及较低的超声频率有利于超声珩磨磨削区空化效应的发生。     

Can contributions to B_s→l＋l-γ from the magnetic-penguin operator with real photons in the standard model be neglected？

Using the Bs meson wave function extracted from non-leptonic Bs decays, we reevaluate the rare decays Bs→l＋l- γ,（l=e,μ） in the Standard Model, including two kinds of contributions from the magnetic-penguin operator with virtual and real photons. We find that contributions to the exclusive decays from the magnetic-penguin operator b→sγ with real photons, which were regarded as negligible in the previous literature, are large and the branching ratios Bs→l＋l-γ are enhanced by a factor of almost 2. With the predicted branching ratios of the order of 10-8, it is expected that these radiative dileptonic decays will be detected in LHC-b and B factories in the near future.     

Robust stabilizing compensators for flexible structures with collocated controls

For flexible structures with collocated rate and attitude sensors/actuators, we characterize compensator transfer functions which guarantee modal stability even when stiffness/inertia parameters are uncertain. While the compensators are finite-dimensional, the structure models are allowed to be infinite-dimensional (continuum models), with attendant complexity of the notion of stability; thus exponential stability is not possible and the best we can obtain is strong stability. Robustness is interpreted essentially as maintaining stability in the worst case. The conditions require that the compensator transfer functions be positive real and use is made of the Kalman-Yakubovic lemma to characterize them further. The concept of positive realness is shown to be equivalent to dissipativity in infinite dimensions. In particular we show that for a subclass of compensators it is possible to make the system strongly stable as well as dissipative in an appropriate energy norm.This research was supported in part under NASA Grant No. NCC 2-374.