Pricing American Asian options with higher moments in the underlying distribution

We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21–31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.     

Propagation characteristics of TM Gaussian beam

The propagation characteristics of TM polarized Gaussian beam, which is the rigorous solution of an eigenfunction problem for a confocal resonator, have been investigated using the nonparaxial vectorial moment theory of light beam propagation. The analytical expressions of the beam propagation factors are given by means of Fourier transform. Both the transversal second-order moment beam widths follow a simple hyperbolic variational law. For nonparaxial case, however, beam has different propagating features in the two transversal directions. As to paraxial case, its propagation approximately reduces to that of scalar Gaussian beam TEM₀₀ mode.     

Proton Orbital [541]1/2 and Backbending in 178W

The microscopic mechanism of nine experimentally observed bands in ^178W is investigated using the particle-number conserving method of the cranked shell model with monopole and quadrupole paring interactions. The experimental results, including the moments of inertia and angular momentum alignments of nine bands in ^178W, are reproduced well by the particle-number conserving calculations, in which no free parameter is involved. Calculations demonstrate that occurrence of sharp backbending comes mainly from the contribution of high-j intruder orbitals vi13/2 or πh11/2 and their interference effect with orbitals near the Fermi surface. Theω variation of the occupation probability of each cranked orbital and the contribution to moment of inertia from each cranked orbital are analyzed.     

The LIL for <Emphasis Type="Italic">U</Emphasis>-Statistics in Hilbert Spaces

We give necessary and sufficient conditions for the (bounded) law of the iterated logarithm for U-statistics in Hilbert spaces. As a tool we also develop moment and tail estimates for canonical Hilbert-space valued U-statistics of arbitrary order, which are of independent interest. R. Adamczak’s research partially supported by MEiN Grant 2 PO3A 019 30. R. Latała’s research partially supported by MEiN Grant 1 PO3A 012 29.     

Analysis of GI<Superscript><Emphasis Type="Italic">X</Emphasis></Superscript>/<Emphasis Type="Italic">M</Emphasis>(<Emphasis Type="Italic">n</Emphasis>)//<Emphasis Type="Italic">N</Emphasis> systems with stochastic customer acceptance policy

We investigate GI ^X /M(n)//N systems with stochastic customer acceptance policy, function of the customer batch size and the number of customers in the system at its arrival. We address the time-dependent and long-run analysis of the number of customers in the system at prearrivals and postarrivals of batches and seen by customers at their arrival to the system, as well as customer blocking probabilities. These results are then used to derive the continuous-time long-run distribution of the number of customers in the system. Our analysis combines Markov chain embedding with uniformization and uses stochastic ordering as a way to bound the errors of the computed performance measures.      

用矩匹配方法计算非线性风险度

矩匹配方法是用来求解非线性风险度(Value at Risk，简称：VaR)的一种普遍性方法，它是先假定样本经验分布服从已知分布族，然后运用矩匹配估计方法估计相应的参数，得到资产回报样本的密度函数，再计算风险度VaR；本采用的Johnson分布族是矩匹配方法的直接应用，并且计算出来的结果与局部Monte．Carlo结果进行了比较。并通过实证分析认为这种方法是一种良好的计算非线性VaR方法。     

Mixed parallel processors with interdependent blocking

This paper studies a system of parallel service facilities or processors with mixed exponential and non-exponential queues, a non-exponential finite source input and interdependent arrival as well as departure blocking such as due to a common pool or shared resource. A concrete invariance condition upon the blocking protocol is provided. Under this condition the stationary busy source distribution is shown to be of an insensitive product form. The result unifies and extends known product form results as will be illustrated by several examples.     

Generalized Widder Theorem via fractional moments

We provide a necessary and sufficient condition for the representability of a function as the classical multidimensional Laplace transform, when the support of the representing measure is contained in some generalized semi-algebraic set. This is done by employing a method of Putinar and Vasilescu [M. Putinar, F.-H. Vasilescu, Solving moment problems by dimensional extension, Ann. of Math. (2) 149 (3) (1999) 1087-1107] for the corresponding multidimensional moment problem.     

Geometrical structure and nonlinear response variations of metal (M = Ni2+, Pd2+, Pt2+) octaphyrin complex derivatives: A DFT study

Nonlinear optical response of designed organometallic complexes of Ni²⁺, Pd²⁺, and Pt²⁺ metal ions with octaphyrin (OP) as ligand were explored by using DFT at CAM-B3LYP/6–311G++(d, p)/LANL2DZ/DEF2SV level of theory. The geometries of these organometallic complexes were studied in terms of effect on molecular framework by metal ion and substituent groups. The optimized geometry of free ligand displays that one of the four pyrrole rings orients out of plane to reduce the steric hindrance. The effect of the substituents on the geometry was found more prominent in the Ni²⁺-OP complexes. The calculations reveal enhancement in the values of dipole moment and hyperpolarizability on introducing electron withdrawing and electron donating groups in ligand framework with maximum enhancement in case of Pt²⁺-OP derivatives. In this study no regular trend was observed for the HOMO and LUMO energies with the second-order hyperpolarizability of M²⁺-OP complexes. However, we have observed that the excited-state properties calculated by using TD-DFT correlate well with the second-order hyperpolarizability values and the dependence was rationalized in terms of two-level model. Thus, from overall calculations we have observed that the designed organometallic complexes display higher polarizability and hyperpolarizability values and can be effective candidates for nonlinear response.     

应用优化技术计算船舶斜浪中的扭矩外力

 从实用角度出发，应用优化技术，确定船舶斜浪中的平衡浮 态，在传统方法基础上更接近实际状态. 提出了一种船舶斜置于波 浪上的外力计算方法，编制了计算机程序. 另外，特别针对大开口 船舶其剖面扭心在基线以下的特点，计及了左右舷不对称横向力对 扭矩的贡献.