An artificial boundary method for the Hull-White model of American interest rate derivatives

The Hull-White (HW) model is a widely used one-factor interest rate model because of its analytical tractability on liquidly traded derivatives, super-calibration ability to the initial term structure and elegant tree-building procedure. As an explicit finite difference scheme, lattice method is subject to some stability criteria, which may deteriorate the computational efficiency for early exercisable derivatives. This paper proposes an artificial boundary method based on the partial differential equations (PDEs) to price interest rate derivatives with early exercise (American) feature under the HW model. We construct conversion factors to extract the market information from the zero-coupon curve and then reduce the infinite computational domain into a finite one by using an artificial boundary on which an exact boundary condition is derived. We then develop an implicit θ-scheme with unconditional stability to solve the PDE in the reduced bounded domain. With a finite computational domain, the optimal exercise strategy can be determined efficiently. Our numerical examples show that the proposed scheme is accurate, robust to the truncation size, and more efficient than the popular lattice method for accurate derivative prices. In addition, the singularity-separating technique is incorporated into the artificial boundary method to enhance accuracy and flexibility of the numerical scheme.     

CARA效用函数下美式期权的定价

考虑当期权持有者的效用为CARA效用函数U(x)=-e<'-λx>时的关式期权定价问题.运用最优停止理论得到其在有限离散时间金融市场模型下的最佳实施期,并给出相应美式期权的定价公式.     

城镇居民体育健身行为整合理论模型的构建与系列实证

建立并验证基于计划行为理论和健康信念模式的城镇居民体育健身行为的整合模型;采用问卷调查、数理统计、结构方程模型等方法,针对部分城镇居民干预试验的基线数据建立计划行为理论和健康信念模式整合模型,同时利用追踪调查数据对模型进行验证和修正;主观控制感、行为意向是影响行为发生的重要因素,行为益处认知是帮助克服行为障碍认知和促进行为发生的重要因素;整合模型对居民体育健身行为具有较好的解释作用,并可以据此进行重点因素干预.     

大类招生背景下高校化学专业课程通识化建设

为适应大类招生人才培养模式改革需求,提出将最能体现专业内在魅力的高年级化学专业课程向低年级通识教育转变的课内和课外培养方案改革建议,构建“一个结合、两大贯通、三项改革”的通识化实践教学体系,进一步完善大类教育培养方案,使学生在专业分流之时能够全面了解并理性选择专业,合理规划未来职业。     

基础化学实验中开展线上线下混合式教学的探索与实践

为了提高基础化学实验课程的教学质量、探索实验教学新模式,建设了基本操作微视频和实验讲座微视频等线上教学资源,开发了线上考试系统和线上数据提交及评分系统,创建了"ZJU化学实验教学中心"微信公众号,开展了线上线下混合式教学,取得了较好的教学效果,为高校化学实验课程的教学改革提供一些参考。     

计算物理课程的本研协同建设

随着信息技术的快速发展和学科间不断交叉渗透,作为与理论物理和实验物理并列的第三种研究物理现象和规律的方法,计算物理变得越来越重要.然而,由于学科发展相对较晚以及学科自身的一些特点,本科生和研究生的计算物理课程教学尚未形成较成熟的体系.本文主要介绍北京航空航天大学本科生和研究生计算物理课程协同建设的探索和实践情况.本科生课程定位于掌握计算物理的基础理论知识和解决物理问题的案例实践,课程教学小班化;研究生课程定位于构建计算物理坚实的专业基础和宽广的知识结构,突出专业性和前沿性,重视计算实践能力,并开设计算物理二级学科平行课.本文主要介绍了从课程内容、教学方式和考核手段等方面进行的协同建设的探索与实践,这项探索使得本科生和研究生课程在内容、结构和方式上具有连续性和统一性.     

网络化《大学物理》教学体系的建设和应用

文章介绍了基于网络技术的《大学物理》教学体系的建设和应用,该体系以精品课程建设为依托,建设《大学物理》课程网络资源,在正常教学中引入网络化联班教学模式.实现主讲教室和其他多媒体副教室之间的音视频及教学课件传输,并对信号进行实时采集和编辑处理,形成可供网络传输的流媒体课件.在保证教学质量的前提下,该网络化教学体系有效地扩大了教学规模,实现了教学手段的优化和教学资源共享.     

Serum metabolomics using ultra-high performance liquid chromatography–Q-Exactive tandem mass spectrometry reveals the mechanism of action of exercise training on chronic obstructive pulmonary disease rats

Exercise training is the cornerstone component of pulmonary rehabilitation, which results in symptom-reducing, psychosocial, and health economic benefits for chronic obstructive pulmonary disease (COPD) patients. However, the potential mechanisms of its action are poorly understood. This study conducted serum metabolomics using ultra-high performance liquid chromatography–Q-Exactive tandem mass spectrometry to determine the metabolic changes in COPD rats, and the effects of exercise training on improvement in COPD were further investigated. Twelve differential metabolites—which are primarily related to tryptophan metabolism, sphingolipid metabolism, glycerophospholipid metabolism, riboflavin metabolism, pantothenate and CoA biosynthesis, and lysine degradation—were identified in relation to COPD. After the intervention of exercise training, the levels of most metabolites were restored, and the changes in five metabolites were statistically significant, which suggested that exercise training provided effective protection against COPD and might play its role by rebalancing disordered metabolism pathways. This work enhanced our comprehension of the protective mechanism of exercise training on COPD.