Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method

This paper extends the quadrature method to price exotic options under jump-diffusion models. We compute the transition density of jump-extended models using convolution integrals. Furthermore, a simpler and more efficient lattice grid is introduced to implement the recursion more directly in matrix form. It can be shown that a lot of running time can be saved. At last, we apply the developed approach to the different jump-extended models to demonstrate its universality and provide a detailed comparison for the discrete path-dependent options to demonstrate its advantages in terms of speed and accuracy.

     

Arnold置乱在零水印中的二次复用

为了提高水印的鲁棒性和减小对应版权信息的大小,本文提出了一种基于Arnold变换、DWT和SVD的零水印算法。该算法将载体图像进行DWT变换,对低频子带进行分块SVD;比较置乱后的最大奇异值的大小,若大于则对应位为1,否则为0;将结果与预处理过的水印做异或运算,得密钥矩阵。该矩阵为检测水印提供密钥。实验证明,本算法对图像压缩、滤波、模糊、噪声及脏图具有良好的鲁棒性。     

基于TLM2．0的硬件虚拟平台设计

利用OVP（Open Virtual Platform）提供的模型创建基于TLM2．0的硬件虚拟平台,可以为嵌入式软件提供一个快速有效的开发环境,实现软件和硬件的协同设计。提早开发出的软件也可以对系统虚拟平台进行功能验证,分析系统性能,确定系统的最优架构。     

压力容器CAD绘图软件包的研究

本文结合压力容器计算机辅助设计软件的研制,研究了利用AUTOCAD开发计算机辅助设计专用软件的几个关键性问题;主要有程序绘图,汉字信息、绘图数据的显示和选择以及与绘图程序的连接、专用软件的控制结构设计和内存管理等问题;提出了一整套设计新颖,使用方便,运行高效的解决方法。     

基于CPSO-BP神经网络的风电并网暂态电压稳定评估

针对目前传统方法难以快速、准确判断风电并网后系统暂态电压稳定性的问题,提出了一种基于CPSO-BP组合的风电并网暂态电压稳定评估方法。首先采用混沌理论对粒子群算法的不足进行改善,应用改进后的算法对神经网络的初始权值和阈值进行优化,然后利用系统故障前后采集的传统物理量和风电场相关的物理量作为BP神经网络输入特征量进行监督学习,最后将训练得到的模型应用于风电并网系统的暂态电压稳定评估中。利用英格兰10机39节点系统标准算例进行风电并网仿真分析,结果证明了所提方法的有效性。     

Synthesis,Micellization, and Surface Activity of Novel Linear-Dendritic Carboxylate Surfactants

Two generations of novel linear-dendritic carboxylate surfactants C₁₈-G₁-(COONa)₂ and C₁₈-G₂-(COONa)₄ have been synthesized by the divergent method and their structures are characterized by ¹H Nuclear Magnetic Resonance and Infrared analysis. The electrical conductivity measurement is used to measure the Krafft temperatures of C₁₈-G₁-(COONa)₂ and C₁₈-G₂-(COONa)₄, which are much smaller than those of the corresponding conventional surfactant sodium stearate. The markedly enhanced solubility of two linear-dendritic surfactants is ascribed to the high hydrophilicity of surfactant headgroups induced by the carboxylate and ester groups. The critical micelle concentration (CMC) values obtained from both the electrical conductivity and surface tension measurements indicate that the micellizations of linear-dendritic surfactants become favorable with the increase in the number of the surfactant headgroup. However, the surface activity parameters including the surface tension at the CMC, maximum surface excess, and minimum surface area reveal that C₁₈-G₁-(COONa)₂ exhibits greater efficiency in absorbing at the air/water interface compared to C₁₈-G₂-(COONa)₄, owing to their different steric repulsions of the surfactant headgroups. In addition, C₁₈-G₁-(COONa)₂ and C₁₈-G₂-(COONa)₄ have higher emulsifying ability than the conventional surfactants sodium stearate and sodium octadecyl sulfate.     

Study on the machinability of resulfurized composite free-cutting steels

The machinability of S, S-Ca, S-RE, and S-RE-Ca system resulfurized composite free-cutting steels were investigated, where RE is rare earths, mostly cerium. The experimental results showed that in the low cutting speed range (≤35 m/min), the S-RE system free-cutting steel had better machinability than the others and that the S-RE-Ca system free-cutting steel exhibited the best machinability at high cutting speeds. A protective layer capable of preventing diffusion wear was formed on the rake face of a P30 tool when S-RE-Ca system free-cutting steel was machined in the cutting speed range of 120 to 160 m/min.     

Investigation on gradient material fabrication with electron beam melting based on scanning track control

A new electron beam control system was developed in a general vacuum electron beam machine by assembling with industrial control computer, programmable logic control （PLC）, deflection coil, data acquisition card, power amplifier, etc. In this control system, scanning track and energy distribution of electron beam could be edited off-line, real-time adjusted and controlled on-line. Ti-Mo gradient material （GM） with high temperature resistant was fabricated using the technology of electron beam melting. The melting processes include three steps, such as preheating, melting, and homogenizing. The results show that the GM prepared by melting technology has fine appearance, and it has good integrated interface with the Ti alloy. Mo and Ti elements are gradually distributed in the inter.face of the gradient material. The microstructure close to the Ti alloy base metal is α ＋ β basket-waver grain, and the microstructure close to the GM is a single phase of β solid solution.     

高效液相色谱法测定止痛养胃软胶囊中延胡索乙素的含量

测定止痛胃软胶囊中延索乙素的含量,可用高效液相色谱法。选用甲醇—磷酸缓冲溶液(40∶60)为流动相,测定波长280nm。结果:延胡索乙素浓度在0.02140～1.37mg/mL范围内,与峰面积线性关系良好,y=(8.390×106)x+7.505×103(r=0.9997)。结论:该法操作简便、快捷、特异性强,可用于控制止痛养胃软胶囊的质量。     

TPR处理剂的研究

利用活性单体苯乙烯与氯丁橡胶、高苯乙烯热塑弹性体接枝聚合，所得产物稀释后用于ＴＰＲ（ＴｈｅｒｍａｌＰｌａｓｔｉｃＲｕｂｂｅｒ）粘接前的预处理，可明显提高剥离强度。