Pricing barrier options under stochastic volatility framework

Option pricing problem plays an extremely important role in quantitative finance. In complete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipline and profession. However, in incomplete market, there are not any replicating portfolios for those options, and thus, the market traders cannot apply the law of one price for obtaining a unique solution. Fortunately, the authors can get a fair price via local-equilibrium principle. In this paper, the authors apply the stochastic control theory to price the exotic option-barrier options, and analyze the relationship between the price and the current positions. The authors get the explicit expression for the market price of the risk. The position effect plays a significant role in option pricing, because it can tell the trader how many and which direction to trade with the market in order to reach the local equilibrium with the market.     

基于专家系统的变电站监控信号智能处理系统

为了减轻变电站运行人员的工作负担,辅助故障快速判断,提高运行人员技术水平,在深入总结变电站异常和故障类型的基础上,构建了一个多层次的故障推理模型,结合网络拓扑技术,实现了一个基于专家系统的变电站监控信号智能处理系统.系统的监控信号分析处理功能全面,快速定位机制确保值班员能迅速确定故障信息所在间隔,能准确报告变电站主要故障,并结合专家知识库出具故障报告,提供故障处理指导.系统具备故障模拟及培训功能.该系统在变电站实际应用中取得了良好的效果.     

超声波对锂离子正极材料LiCoO2性能的影响

在电解法的基础上,提出了一种新的改进方法来制备锂离子电池正极材料.经超声波与相转移后,采用电解液中析出的Li2CO3和电解中间产物Co(OH)2作为前驱物制备得到了锂离子正极材料LiCoO2.通过X射线衍射,扫描电镜对所合成的材料进行了表征.实验结果证明,该前驱物在850℃下反应仅3h就能得到性能优异的LiCoO2正极材料,大大缩短了反应时间.     

从《广志绎》看明代江西人文地理风貌

明代著名地理学家王士性在其地理学名著《广志绎》卷四《江南诸省.江右》中对江西历史人文地理有详细论述。王士性通过自身的所见所闻,不仅翔实地记载了江西的历史人文地理,包括发展的市镇经济、繁荣的文化、人口流动和民变、民风民俗等,而且还有精彩论述,体现出比较先进的人文地理思想。这不仅为研究明代江西人文地理风貌提供了珍贵的史料,同时也有助于今天江西历史文化资源的开发和利用。     

一个自治系统的混沌控制与同步

对一个新三维混沌自治系统进行研究.根据线性负反馈法和Routh-Hurwitz稳定性条件,得到达到控制目标时负反馈系数所满足的条件.根据Lyapunov稳定性定理,利用Lyapunov直接法在响应系统中构造非线性函数,实现了该系统的完全同步,并证明了该系统同步误差的零点稳定性.最后利用Matlab进行数值仿真,结果表明该方法是可行的、有效的.     

P-集合与隐形图像生成-还原

P-集合是把动态特性引入到有限普通集合中,改进普通集合得到的,P-集合(XF,XF)是一个集合对.利用P-集合生成的图像,提出P-隐形图像的概念,给出P-隐形图像的属性特征和度量特征,提出P-隐形图像生成-还原定理,并给出了P-隐形图像在图像信息系统中的应用.     

基于TMS320C5509的UC/OS-Ⅱ移植研究

在深入了解UC/OS-Ⅱ内核架构的基础上,对嵌入式实时操作系统UC/OS-Ⅱ移植到TI公司TMS320C5509上进行了研究,并以此形成基于DSP的嵌入式实时系统平台.主要讨论了移植的可行性,流程和移植过程中的一些关键问题,如堆栈,任务切换,编写中断函数等.最后对移植后系统进行测试,测试结果表明移植成功,对解决此类问题...     

地面智能机器人自主性评估研究

对地面智能机器人自主性评估相关研究进行了总结,从自主评估的概念、发展、框架、度量等方面进行了分析.对系统自主性的评估,讨论了评估对象、评估方法和评估是否准确这3个基本问题,概括了现有的自主性分类级别,提出自主评估方向:针对系统行为体现出的自主特性,建立各类系统行为能力的规范化描述集,解决评估什么的问题;建立规范化描述集...     

Periodical oscillating interface in directional growth under shear flow

Liquid-solid interface morphological evolution of SCN-2wt%H2O alloy was investigated in the presence of shear flow. It has been found that shear flow strikingly enhances the stability of planar interface at lower pulling rates. In the intermediate range of pulling rate, the interface experiences periodical oscillating ＂planar-cellular＂ and ＂cellular-dendritic＂ growth patterns. The formation of oscillating growth modes can be explained by two reasons： （i） The stabilizing effect induced by shear flow competes with the growing destabilizing effect by the increase of pulling rate, which provides the driving force for morphological evolution; and （ii） the establishment of stable solute field at the liquid-solid interface needs a period of time, leading to the result that the interface evolution can not stay stable at the equilibrium state. However, as the puling rate becomes higher, it plays more and more important roles in pattern selection and dendritic growth forms.     

Solar-driven high temperature radiant cooling

Solar energy is widely used as one of the most important renewable energy. In addition to the growing applications of solar PV and solar water heater, solar cooling is also considered very valuable and the related researches are developing fast because of the synchronism between solar irradiance and building cooling load. Current studies mainly focus on the high temperature solar collector technique and heat-driven cooling technique, while little concern has been paid to the transport process of cooling power. In this paper, the high temperature radiant cooling is studied as an alternative way for transporting cooling power, and the performance of the combination of radiant ceiling and solar cooling is also studied. From simulation and theoretical analysis results, high temperature radiant cooling terminal shows better cooling power transportation ability against conventional air-conditioning terminal, and its thermal comfort is improved. Experiment results indicate that radiant cooling can enhance the chiller’s COP (Coefficient of Performance) by 17% and cooling power regeneration by 50%. According to analysis in this paper, high temperature radiant cooling is proved to be suitable for solar cooling system, and out work can serve as a reference for later system design and promotion. Supported by the National Natural Science Foundation of China (Grant No. 50876064)