基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型

针对假设股价的对数收益率布朗运动在期权定价时产生的无法解释股价对数收益率的尖峰厚尾和序列相关性的缺陷,采用了Zhang提出的非对称漂移双gamma跳-扩散过程来描述资产(股价)的对数收益率运动形态(该过程是kou提出的双指数跳-扩散过程的推广),并利用Esscher风险中性变换,研究了幂型期权的定价公式.还设计了两种创新的幂型期权,在非对称漂移双gamma跳-扩散过程下给出了相应的定价公式.     

软物质准晶三维广义流体动力学

讨论了软物质准晶三维广义流体动力学.主要是给出了已经发现的和可能发现的第一类二维软物质准晶的动力学方程组,也简单地讨论了一下它们的解,以及这些解和固体准晶解的结果的巨大差别.     

A model of crack based on dislocations in smectic A liquid crystals

A plastic crack model for smectic A liquid crystals under longitudinal shear is suggested. The solution of the screw dislocation in smectic A is the key to the correct result that we obtained by overcoming a longstanding puzzle. We further use the dislocation pile-up principle and the singular integral equation method to construct the solution of the crack in the phase. From the solution, we can determine the size of the plastic zone at the crack tip and the crack tip opening （tearing） displacement, which are the parameters relevant to the local stability/instability of materials. Our results may be useful for developing soft-matter mechanics.