Multifactor Heston's stochastic volatility model for European option pricing

In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation expansions is developed to obtain an approximation to European option prices. We also find explicit expressions for some essential functions that are available only in integral formulas in the work of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254]. This finding basically leads to considerable reduction in computational time for numerical calculation as well as calibration problems. An accuracy result of the asymptotic approximation is also provided. For numerical illustration, the multifactor Heston model is calibrated to index options on the market, and we find that the resulting implied volatility surfaces fit the market data better than those produced by the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254], particularly for long‐maturity call options.     

Large coercivity and unconventional exchange coupling in manganese-oxide-coated manganese gallium nanoparticles

The microstructures and magnetic properties of nanoparticles, each composed of an antiferromagnetic （AFM） manganese-oxide shell and a ferromagnetic-like core of manganese-gallium （MnGa） compounds, are studied. The coreshell structure is confirmed by transmission electron microscope （TEM）. The ferromagnetic-like core contains three kinds of MnGa binary compounds, i.e., ferrimagnetic （FI） DO22-type MnaGa, ferromagnetic （FM） Mn8Gas, and AFM DO19-type Mn3Ga, of which the first two correspond respectively to a hard magnetic phase and to a soft one. Decoupling effect between these two phases is found at low temperature, which weakens gradually with increasing temperature and disappears above 200 K. The exchange bias （EB） effect is observed simultaneously, which is caused by the exchange coupling between the AFM shell and FM-like core. A large coercivity of 6.96 kOe （1Oe = 79.5775 A·m^-1） and a maximum EB value of 0.45 kOe are achieved at 300 K and 200 K respectively.     

All-fiber,octave-spanning supercontinuum

We present an all-fiber supercontinuum source based on a passively mode-locked erbium fiber laser and a small-effective-area, germanium-doped silica fiber. The parallels between this system and the continuum generated in microstructured fibers with 800-nm pulses are discussed, and the role of dispersion is investigated experimentally. We construct a hybrid fiber by fusion splicing lengths of different-dispersion fiber together, generating more than an octave of bandwidth.     

Antimalarial activity of sesquiterpene lactones from Vernonia cinerea

Two new sesquiterpene lactones, vernolides C and D as well as six known ones were isolated from the dichloromethane fraction of an aqueous extract from Vernonia cinerea. Their structures were elucidated by spectroscopic methods. Among the known sesquiterpene lactones, three of them were described in this plant for the first time. In vitro antiplasmodial evaluation showed that the three major compounds 1, 7 and 8 were active against chloroquine resistant Plasmodium falciparum strain (W2) with IC(50) 3.9, 3.7 and 3.5 microM, respectively.     

Demonstration of massive wavelength-division multiplexing over transoceanic distances by use of dispersion-managed solitons

By combining a special dispersion map that has nearly constant path-average dispersion, a hybrid amplification scheme involving backward-pumped Raman gain, and sliding-frequency guiding filters, we have demonstrated massive wavelength-division multiplexing at 10 Gbits/s per channel, error free (bit-error rate, 相似文献   

Simulation of thickness dependence in ferroelectric thin films

The thickness dependence of coercive field (E_C) and remanent polarization (P_r) in ferroelectric thin films has been numerically simulated using a two-dimensional four-state Potts model. In this model, each of the dipoles in the film is assigned to one of the four states corresponding to the four different mutually perpendicular orientations. Neighboring dipoles with the same orientation are then grouped together to form a domain. Four different kinds of domains exist. In the presence of the surface layer near the electrode/film interface, the thickness dependence of both coercive field and remanent polarization are simulated.     

A Convenient Synthesis of (1 1E, 13E)-11, 13-Hexadecadienal and (11Z, 13E)-Hexadecadienal

A simple method for synthesizing (11E, 13E)-11, 13-hexadecadienal 7, a component of the female sex pheromone of cabbage webworm, and its geometrical isomer (11Z, 13E)-11, 13-hexadecadienal 8 is described.     

The effect of structure and phase transformation on the mechanical properties of Re₂N and the stability of Mn₂N

First‐principles calculations were carried out on recently synthesized Re₂ and Re₃ as well as hypothetical Tc and Mn nitrides. It is found that structure and covalent bonds play an important role in determining mechanical properties. Under a large strain along (0001)〈101 0〉direction, Re₂N undergoes a phase transformation with a slight increase in ideal shear strength. On the other hand, it is transformed into a phase with weaker mechanical properties, if the strain is along Re₂〈1 21 0〉 direction. Mn₂N can be synthesized under moderate conditions due to its more negative formation energy. Re₂N, Re₃N, and Mn₂N show structure‐related mechanical property under larger strains to ReB₂ but exhibit much lower ideal strengths, which is attributed to the larger ionicity of cation–anion bond. Three‐dimensional framework of strong covalent bonds is thus highly recommended to design superhard materials. © 2011 Wiley Periodicals, Inc. J Comput Chem, 2011     

Simulation of flexoelectricity effect on imprint behavior of ferroelectric thin films

The impact of flexoelectricity on the imprint behavior in ferroelectric thin films has been investigated within the framework of Landau-Khalatnikov theory, by incorporating the coupling effect between the stress gradient and polarization. It is found that the imprint phenomenon can be in part induced by flexoelectricity. In the presence of flexoelectric coupling, the compressive stress shifts the hysteresis loop to the negative electric field axis, but the tensile stress shifts it to the opposite direction, which is in good agreement with experimental result. Besides, the characteristic length of stress distribution has a significant influence on the upper part of hysteresis loop. It highlights the pressing need to avoid the stress gradient in order to prevent degradation of device performance in ferroelectric thin films.