非线性Black-Scholes模型下算术平均亚式期权定价问题

在非线性Black-Scholes模型下,研究了算术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,给出了算术平均亚式期权的近似定价公式.最后分析了近似结论的误差估计,并通过数值算例验证了所得近似结论的合理性.     

基于傅立叶变换的SVJ模型的欧式期权定价

为了更加精确的计算期权价格,将结合随机波动和跳扩散模型(以下简称SVJ模型)以更好的描述期权标的资产价格过程,然而这样的价格过程无法得到概率密度函数的封闭形式,而只能得到包含特殊函数和无限求和的复杂的表达式.不过它们的特征函数都是封闭且是唯一的,因而可以通过它们的特征函数,并运用两种傅立叶变换的方法来求出期权价格.其中FFT算法计算的结果将与Monte Carlo模拟得出的结果进行比较,然后再将SVJ模型的计算结果和Black-Scholes模型进行比较.     

A relaxation times coupling method to construct acoustic relaxation calibration for two-frequency measuring gas compositions

In our previous work (Hu et al., 2014), a method has been proposed to detect gas compositions by locating the acoustic spectral peaks, which can be detected only by two-frequency acoustic measurements in practice. However, as a ‘Detection Calibration’, the effective relaxation area (ERA) constructed by existing theoretical model cannot match the two-frequency measurements when there are more than one strong relaxational components in gas mixtures. This paper proposes a method to construct the ERA by coupling the decoupled single relaxation times together to a whole relaxation time. For gas mixtures with only one single relaxation process, the predicted ERA results match with the experimental data better than those predicted by the existing model. Moreover, for gas mixtures in which more than one relaxation process are significant, the ERA results predicted by the proposed method also match with the detection results of two-frequency measurements better than the existing model. This relaxation time coupling based ERA constructing method is validated by the application in low-quality natural gas detection.     

Growth characteristics of spherical titanium oxide nanoparticles during the rapid gaseous detonation reaction

The nanosize grain growth characteristics of spherical single-crystal titanium oxide (TiO₂) during the rapid gaseous detonation reaction are discussed. Based on the experimental conditions and the Chapman–Jouguet theory, the Kruis model was introduced to simulate the growth characteristics of spherical TiO₂ nanoparticles obtained under high pressure, high temperature and by rapid reaction. The results show that the numerical analysis can satisfactorily predict the growth characteristics of spherical TiO₂ nanoparticles with diameters of 15–300 nm at different affecting factors, such as concentration of particles, reaction temperature and time, which are in agreement with the obtained experimental results. We found that the increase of the gas-phase reaction temperature, time, and particle concentration affects the growth tendency of spherical nanocrystal TiO₂, which provides effective theoretical support for the controllable synthesis of multi-scale nanoparticles.     

Importance of verifying queue model assumptions before planning with simulation software

This case study uses empirical data gathered at an Australian refinery to verify the assumptions for queue distributions before using special-purpose software to plan the off-road-truck hauling of titanium dioxide to a refinery (n = 773). Easy-to-use spreadsheet software is utilized to verify assumptions for queue models. Managers are able to make decisions based on economic implications of queue models to avoid making costly planning mistakes. Analysts can use nonparametric hypothesis-testing techniques to verify distribution assumptions for optimization without having to write hard-to-maintain and complex algebraic linear equations or nonlinear search routines.     

Salt effects on macrophase separations in non‐stoichiometric mixtures of oppositely charged macromolecules: Theory and experiment

In the field of biological applications, polyelectrolyte complexes are proposed to encapsulate bioactive compounds, to deliver drugs, and also to transfect genes into cells under the name of polyplexes. Complex formation is obtained by addition of a polycation solution into a polyanion solution or vice‐versa. This work proposes a theoretical approach to describe complex formation in the case of non‐stoichiometric mixtures of oppositely charged macroions having different degrees of ionization and different degrees of polymerization under different salt conditions. In a second part, comparison was made with experimental data collected when a weak polybase, namely poly(l ‐lysine) under its bromide form was added stepwise to solutions of various polyanions under their sodium salt form, namely poly(l ‐lysine citramide imide), poly(l ‐lysine citramide), and poly(β‐malic acid), the latter lacking hydroxyl groups attached to the main chain. The stability of stroichiometric complexes made of poly(l ‐lysine) and poly(l ‐lysine citramide) having different molecular masses is discussed. © 2016 Wiley Periodicals, Inc. J. Polym. Sci., Part B: Polym. Phys. 2016 , 54, 1717–1730     

Experimental study and numerical modeling of brittle fracture of carbonate rock under uniaxial compression

The brittle carbonate rock taken from the Tarim Oilfield is tested in laboratory under uniaxial compression. The acoustic emission (AE) is used to monitor the microcracking activity in rock during the experiment. Moreover, the 3D tomograms of carbonate rock after uniaxial compression are obtained by using CT imaging technology, which indicates that microcracks mutually interconnect and eventually form macroscopic fractures after failure. The PFC2D is used to model the behavior of brittle rock including microcracks propagation. The stress–strain curve and cracks distribution in rock model are obtained from the PFC simulation. The numerical results agree with the experimental test well.     

蒙特卡罗计算中颗粒型燃料的随机分布模型比较

高温气冷堆是新一代反应堆系统的热门候选堆型，已经受到国际上越来越多的关注。为设计和分析这种堆型，因其特有的包覆颗粒燃料引入了双重非均匀性，需要应用随机分布模型。对粗网格模型、细网格随机(FLS)模型、随机顺序添加(RSA)模型、子网格随机(Sub-FLS)模型和Metropolis模型等进行了研究，通过计算分析比较给出了各种模型的优缺点。结果表明:子网格随机模型和连续的RSA模型非常接近参考值，但是连续RSA模型的建模时间随着燃料体积份额的增加连续快速上升。 Key words: coated particle fuels; stochastic transport model; Monte Carlo; random distribution