A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

This article considers a problem of evaluating barrier option prices when the underlying dynamics are driven by stochastic elasticity of variance (SEV). We employ asymptotic expansions and Mellin transform to evaluate the option prices. The approach is able to efficiently handle barrier options in a SEV framework and produce explicitly a semi-closed form formula for the approximate barrier option prices. The formula is an expansion of the option price in powers of the characteristic amplitude scale and variation time of the elasticity and it can be calculated easily by taking the derivatives of the Black–Scholes price for a barrier option with respect to the underlying price and computing the one-dimensional integrals of some linear combinations of the Greeks with respect to time. We confirm the accuracy of our formula via Monte-Carlo simulation and find the SEV effect on the Black–Scholes barrier option prices.     

Solution for the thermoelastic problem in vertically inhomogeneous media

The fundamental transient-thermoelastic problem with body forces and a heat source in vertically inhomogeneous media is investigated by a method presented in this paper. The basic equations in Fourier transforms and Laplace transform are obtained in the form of two sets of first order linear ordinary differential equations inz, Eq. (7). Furthermore, forN-layered media, the general solution in the transformed spaces of thej-th layer is given for fully connected interface between layers, Eq. (11). Finally, under general condition, a closed-form solution for the quasi-static transient displacements, stresses, temperature in the body can be obtained by the convolution theorems for the two integral transforms. In the final solution, the Green's functions can be expressed in terms of Hankel transforms of order zero and unity as well as inverse Laplace transform, and come out rather neatly. Comprehensive Institute of Geotechnical Investigation and Surveying, Ministry of Urban and Rural Construction and Environmental Protection     

Finite difference method for 2-D and 3-D nonlinear free surface wave problems

A finite difference method is developed for the numerical modelling of the 2-D and 3-D unsteady potential flow generated by transient disturbances on the free surface, on which the nonlinear boundary conditions are fully satisfied. The unknown function is computed with an iteration scheme processing in a transformed time-invariant space. After the velocity is calculated, the location of the free surface is renewed and so is the value of velocity on it. The boundary-value problem of the governing equation is then solved at the next time step. The present method incorporates the FFT. Consequently, a tri-diagonal equation system is obtained which could be readily solved. The feasibility of this method has been demonstrated by 2-D and 3-D examples corresponding to different initial disturbances. This work is supported by the science foundation of Academia Sinica. The paper had been accepted by the XVIth International Congress of IUTAM, Lyngby, Denmark, August, 1984.     

Raman spectroscopic detection for liquid and solid targets using a spatial heterodyne spectrometer

Spatial heterodyne Raman spectroscopy (SHRS) is a new type of effective method for the analysis of structure and composition of liquid and solid targets with the characteristics of no moving parts, high spectral resolution, high optical throughput and large field of view. The technique is very suitable for detecting the targets from long distances or under the conditions with ambient light, which is essential for the exploration of planetary surface. In order to have a better understanding of the ability of SHRS for the detection of liquid and solid targets, a breadboard was designed, built and calibrated. Signal to noise was estimated at different integration time or laser power for carbon tetrachloride. Pure materials or materials contained in bottles were both tested. The mixture of organic liquids or inorganic solids were tested. In order to test the detection ability for natural targets, some composition‐unknown rocks and pebbles were tested. The results have shown that SHRS can meet the requirements for the detection of weak Raman signal scattered from artificial or natural targets. Standoff detection of sulfur from 5‐m or 10‐m distance without using any telescope or collimation optics was also tried to test the high optical throughput of SHRS. The potential feasibility of standoff detection has been proved. Copyright © 2015 John Wiley & Sons, Ltd.     

Classification of edges using compactly supported shearlets

We analyze the detection and classification of singularities of functions $f={\chi }_S$, where $S?{\mathbb{R}}^d$ and $d=2,3$. It will be shown how the set ?S can be extracted by a continuous shearlet transform associated with compactly supported shearlets. Furthermore, if ?S is a $d?1$ dimensional piecewise smooth manifold with $d=2$ or 3, we will classify smooth and non-smooth components of ?S. This improves previous results given for shearlet systems with a certain band-limited generator, since the estimates we derive are uniform. Moreover, we will show that our bounds are optimal. Along the way, we also obtain novel results on the characterization of wavefront sets in 3 dimensions by compactly supported shearlets. Finally, geometric properties of ?S such as curvature are described in terms of the continuous shearlet transform of f.     

A note on the convexity of ruin probabilities

Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and without diffusion. An application to an optimization problem is given.     

A fast algorithm for soil dynamics calculations by wavelet decomposition

Summary The article presents a fast numerical algorithm for calculating the response of a halfspace under any surface loads. Under certain conditions there exists an analytical solution to the problem in the Fourier domain. To get the desired response, a numerical inverse Fourier transform of this analytic solution has to be made. By using a wavelet decomposition, the proposed algorithm can reduce the calculation time significantly, thus allowing the computation of complex problems. As an example, the response of the beam-halfspace coupled system under moving load is presented. Received 6 March 1997; accepted for publication 20 May 1997     

Effective properties of elastic periodic composite media with fibers

A series solution to obtain the effective properties of some elastic composites media having periodically located heterogeneities is described. The method uses the classical expansion along Neuman series of the solution of the periodic elasticity problem in Fourier space, based on the Green's tensor, and exact expressions of factors depending on the shape of the inclusions. Some properties of convergence of the solution are presented, more specifically concerning the elasticity tensor of the reference medium, showing that the convergence occurs even for empty fibers. The solution is extended for rigid inclusions. A comparison is made with previous exact solutions for a fiber composite made of cylindrical fibers with circular cross-sections and with previous estimates. Different examples are presented for new situations concerning the study of fiber composites: composites with elliptic cross-sections and multi-phase fibrous composites.