An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid.     

Nonpathological Lyapunov functions and discontinuous Carathéodory systems

Differential equations with discontinuous right-hand side and solutions intended in Carathéodory sense are considered. For these equations, sufficient conditions which guarantee both Lyapunov stability and asymptotic stability in terms of nonsmooth Lyapunov functions are given. An invariance principle is also proven.     

奇异摄动系统的极限解

本文在前人工作的基础上,利用广义函数理论讨论了一般形式下的奇异摄动系统E(ε)(?)=A(ε)x+B(ε)u在v→0~+时的极限解问题,得出了这一极限解存在的充要条件。     

Equilibrium Studies of the System'(Fe,Co)O'–(Fe,Co)3O4 by Solid-State emf Measurements in the Temperature Range 970 to 1370 K

The equilibrium reaction 3'(Fe, Co)O'( ss ) +1/2O₂ ( g ) ⇄ (Fe, Co)₃O₄( ss ) was studied in the temperature range 970 to 1370 K for seven different total compositions of molar ratios 0.5 < Fe/(Fe + Co) ≤ 1.0. The equilibrium pressures of oxygen were determined by using galvanic cells incorporating calcia stabilized zirconia as solid electrolyte and the Fe/Co ratios in the solid-solution phases by wavelength dispersive spectrometry microprobe analyses. The activities of 'FeO' in the cobaltowüstite phase were then derived from the experimental results obtained.     

A Survey on the Numerics and Computations for the Landau-Lifshitz Equation of Micromagnetism

The Landau-Lifshitz (LL)equation of micromagnetism governs rich variety of the evolution of magnetization patterns in ferromagnetic media. This is due to the complexity of physical quantities appearing in the LL equation. This complexity causes also an interesting mathematical properties of the LL equation: nonlocal character for some quantities,nonconvex side-constraints, strongly nonlinear terms. These effects influence also the numerical approximations. In this work, recent developments on the approximation of weak solutions, together with the overview of well-known methods for strong solutions,are addressed. Author is supported by the Fund for Scientific Research - Flanders FWO (Belgium).     

神华乌海能源公司安全监控系统联网建设解读

神华乌海能源公司(以下简称"公司")在安全监控联网系统的开发过程中,针对可能出现的各种问题,提出了综合性的联网解决方案。同时又通过强有力的管理手段,保障了系统的稳定可靠运行,使系统达到了预期的应用效果,提升了公司的安全管理水平。     

On the sizing of a solar thermal electricity plant for multiple objectives using evolutionary optimization

Design, implementation and operation of solar thermal electricity plants are no more an academic task, rather they have become a necessity. In this paper, we work with power industries to formulate a multi-objective optimization model and attempt to solve the resulting problem using classical as well as evolutionary optimization techniques. On a set of four objectives having complex trade-offs, our proposed procedure first finds a set of trade-off solutions showing the entire range of optimal solutions. Thereafter, the evolutionary optimization procedure is combined with a multiple criterion decision making (MCDM) approach to focus on preferred regions of the trade-off frontier. Obtained solutions are compared with a classical generating method. Eventually, a decision-maker is involved in the process and a single preferred solution is obtained in a systematic manner. Starting with generating a wide spectrum of trade-off solutions to have a global understanding of feasible solutions, then concentrating on specific preferred regions for having a more detailed understanding of preferred solutions, and then zeroing on a single preferred solution with the help of a decision-maker demonstrates the use of multi-objective optimization and decision making methodologies in practice. As a by-product, useful properties among decision variables that are common to the obtained solutions are gathered as vital knowledge for the problem. The procedures used in this paper are ready to be used to other similar real-world problem solving tasks.     

Decay rate of critical fluctuations in steam and in dilute steam-NaCl mixtures

The decay rate of critical fluctuations in steam and in a steam-NaCl mixture has been investigated experimentally with the aid of photon correlation spectroscopy. For pure steam, the measurements have been performed along seven isochores [(¦– _c¦)/_c<0.09] as a function of the temperatureT for (T–T_t)<1 K. The results have been compared with the values predicted by the renormalization-group theory written as a modification of the classical mode coupling theory. The agreement between experiment and theory is satisfactory along the critical isochore, but larger deviations are noted for _c when approching the transition temperatureT _t. The decay rate of a 0.1% (molar) dilute mixture of NaCl in H₂O has been measured along some near-critical isochores as a function of temperature. Its behavior, which is very different from that observed for pure steam, is dicussed.Paper presented at the Tenth Symposium on Thermophysical Properties, June 20–23, 1988, Gaithersburg, Maryland, U.S.A.     

Thermal conductivity of a dendritic ice layer

Measurements of the thermal conductivities of the frozen layer of aqueous binary solutions have been performed using the transient hot-wire method. Solutions of ethylene glycol and sodium chloride were utilized as the testing fluids, and they were frozen up in the test section in which the platinum wires 40 m in diameter and 170 mm in length were strung. Measurements were carried out under equilibrium at a variety of both the initial concentration of the solution and the temperature of the frozen layer. The expressions of the thermal conductivity of the frozen layer were determined. It was found that the thermal conductivity of the dendritic ice layer was favorably assessed with the Lichteneker's model by introducing the solid fraction under an assumption of the equililbrium within the range of parameters examined.Paper presented at the Tenth Symposium on Thermophysical Properties, June 20–23, 1988, Gaithersburg, Maryland, U.S.A.     

Transport properties of critical dilute solutions

On the basis of the isomorphism of critical phenomena, the behavior of transport properties of binary mixtures in the vicinity of the vapor-liquid critical line is considered. In particular, the renormalization of the singularity of the thermal conductivity in dilute critical solutions has been analyzed in detail. It is shown that the behavior of the thermal conductivity is determined by the critical background, i.e., the fluctuation-induced regular part, which diverges at the critical point of a solvent.