Valuation of futures options with initial margin requirements and daily price limit

The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.     

Buying on margin,selling short in an agent-based market model

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in financial markets, where agents tend to increase their leverages for increased profits. This paper presents an agent-based asset market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this model, heterogeneous agents can assume fundamental value-converging expectations or trend-persistence expectations, and their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the wealth constraints to some extent. The asset market price is determined by a market maker, who watches the market excess demand, and is influenced by noise factors. By simulations, we examine market results for different leverage ratios. At the individual level, we focus on how the leverage ratio influences agents’ wealth accumulation. At the market level, we focus on how the leverage ratio influences changes in the asset price, volatility, and trading volume. Qualitatively, our model provides some meaningful results supported by empirical facts. More importantly, we find a continuous phase transition as we increase the leverage threshold, which may provide a further prospective of credit trading.     

Online retailers’ promotional pricing,free-shipping threshold,and inventory decisions: A simulation-based analysis

We consider a two-stage decision problem, in which an online retailer first makes optimal decisions on his profit margin and free-shipping threshold, and then determines his inventory level. We start by developing the retailer’s expected profit function. Then, we use publicly-available statistics to find the best-fitting distribution for consumers’ purchase amounts and the best-fitting function for conversion rate (i.e., probability that an arriving visitor places an online order with the retailer). We show that: (i) a reduction of the profit margin does not significantly affect the standard deviation of consumers’ order sizes (purchase amounts) but increases the average order size; whereas, (ii) variations in a positive finite free-shipping threshold affect both the average value and the standard deviation of the order sizes. We then use Arena to simulate the online retailing system and OptQuest to find the retailer’s optimal decisions and maximum profit. Next, we perform a sensitivity analysis to examine the impact of the ratio of the unit holding and salvage cost to the unit shipping cost on the retailer’s optimal decisions. We also draw some important managerial insights.     

跨音压气机近失速状态的非定常特征

本文采用动态测量技术和非定常流动的分析方法,对高速跨音压气机近失速状态时,动叶顶部非定常流动的演变特征进行了实验研究。从时域、频域和流场特征的角度出发,探讨了旋转失速发生和发展过程中,流动失稳的物理机制．结果表明：远离设计工况时的失速先兆特征与临近设计工况时的先兆特征有着本质的区别。展示了非稳定分离流动与后续旋转失速成因的内在联系．     

近失速工况下叶顶间隙对后置蜗壳斜流叶轮进出口流场影响的实验研究

本文使用５孔探针,在近失速工况下,对３种不同叶顶间隙时的后置蜗壳斜流叶轮进出口流场三维速度分布进行了测量,并将实验结果与非失速小流量的出口流场做了比较。     

Numerical investigations of the vortex interactions for a flow over a pitching foil at different stages

The fluid–structure interaction is investigated numerically for a two-dimensional flow (Re=2.5·10⁶) over a sinusoid-pitching foil by the SST (Shear Stress Transport) k–ω model. Although discrepancies in the downstroke phase, which are also documented in other numerical studies, are observed by comparing with experimental results, our current numerical results are sufficient to predict the mean features and qualitative tendencies of the dynamic stall phenomenon. These discrepancies are evaluated carefully from the numerical and experimental viewpoints.In this study, we have utilized Λ, which is the normalized second invariant of the velocity gradient tensor, to present the evolution of the Leading Edge Vortex (LEV) and Trailing Edge Vortex (TEV). The convective, pressure, and diffusion terms during the dynamic stall process are discussed based on the transport equation of Λ. It is found that the pressure term dominates the rate of the change of the rotation strength inside the LEV. This trend can hardly be observed directly by using the vorticity transport equation due to the zero baroclinic term for the incompressible flow.The mechanisms to delay the stall are categorized based on the formation of the LEV. At the first stage before the formation of the LEV in the upper surface, the pitching foil provides extra momentum into the fluid flows to resist the flow separation, and hence the stall is delayed. At the second stage, a low-pressure area travels with the evolution of the LEV such that the lift still can be maintained. Three short periods at the second stage corresponds to different flow patterns during the dynamic stall, and these short periods can be distinguished according to the trend of the pressure variation inside the LEV. The lift stall occurs when a reverse flow from the lower surface is triggered during the shedding of the LEV. For a reduced frequency k_f=0.15, the formation of the TEV happens right after the lift stall, and the lift can drop dramatically. With a faster reduced frequency k_f=0.25, the shedding of the LEV is postponed into the downstroke, and the interaction between the LEV and TEV becomes weaker correspondingly. Thus, the lift drops more gently after the stall. In order to acquire more reliable numerical results within the downstroke phase, the Large Eddy Simulation (LES), which is capable of better predictions for the laminar-to-turbulent transition and flow reattachment process, will be considered as the future work.     

航空超短波通信链路余量分析系统设计

为分析飞行器位置、姿态和工作频率对航空超短波通信链路性能的影响,构建了航空超短波通信链路模型,利用FEKO7.0电磁仿真软件计算了机载天线与飞行器一体化电磁辐射特性,基于MATLAB软件设计了系统的主程序,系统主程序通过调用天线的辐射特性数据,结合飞行器的位置、速度和姿态变化,可计算出通信双方之间的天线极化衰减和空间衰减等数据,分析了飞行器在相应状态下航空超短波通信链路性能的数值变化,具有较强的实用性。     

PIV EXPERIMENTS ON FLOWFIELD CHARACTERISTICS OF ROTOR AIRFOIL DYNAMIC STALL AND MODIFICATIONS OF L-B MODEL

为测量翼型动态失速的非定常涡流场特性,采用3D-PIV 技术,对典型直升机旋翼翼型SC1095 的动态失速流场特性进行测量,发现涡在不同位置处的输运速度不同：位于翼型表面的涡的无量纲速度为0.39,位于尾迹区的涡的无量纲速度为0.55. 利用前缘涡输运速度变化这一特征,改进了经典的翼型动态失速利什曼-贝多斯（Leishman-Beddoes,L-B）模型,将该模型中固定的涡时间常数修正为可以随涡位置变化的时变函数,修正后的模型计算得到翼型法向力峰值相对原L-B 模型提升5%,力矩系数负峰值相对原L-B 模型提升13%,与试验值相比更加吻合,表明修正后的翼型动态失速模型更好地体现了翼型前缘涡的物理特征.     

基于前失速先兆检测机理的叶顶喷气扩稳实验研究

拓宽轴流压气机稳定工作裕度及探索其流动失稳控制途径一直是内部流动研究的焦点。本文从前失速先兆检测机理入手,对前失速先兆与叶顶间隙泄漏流非定常性进行了关联性研究,发现了前失速先兆与叶顶间隙泄漏流非定常性有一定的关联性。在认识这类关联性的基础上,提出了基于前失速先兆捕捉的失稳控制途径,并结合DSP控制器构建扩稳控制方案,在低速轴流压气机上进行了实验验证。实验结果表明:采用叶顶喷气扩稳控制措施后,简化了原来复杂的控制机构,并为控制措施的实施预留了反馈控制时间,与原来的定常喷气控制措施相比有变工况自适应的优势。