A RBF based finite difference method for option pricing under regime-switching jump-diffusion model

Abstract

In this article, we presented a method for option pricing problem under regime-switching jump-diffusion models. We have proposed a numerical method for solving a partial integro-differential equation (PIDE) for pricing European option and for solving linear complementarity problem (LCP), to evaluate the price of American options. We use implicit explicit method for time semi discretization, followed by radial basis function based finite difference (RBF-FD) method for spatial discretization to solve PIDE. The proposed method is further extended to solve the LCP by coupling it with operator splitting method. Numerical simulation is done for European and American option to demonstrate efficiency and accuracy of the proposed method.     

Design of Feedback Shift Register of Against Power Analysis Attack

Stream ciphers based on linear feedback shift register (LFSR) are suitable for constrained environments, such as satellite communications, radio frequency identification devices tag, sensor networks and Internet of Things, due to its simple hardware structures, high speed encryption and lower power consumption. LFSR, as a cryptographic primitive, has been used to generate a maximum period sequence. Because the switching of the status bits is regular, the power consumption of the LFSR is correlated in a linear way. As a result, the power consumption characteristics of stream cipher based on LFSR are vulnerable to leaking initialization vectors under the power attacks. In this paper, a new design of LFSR against power attacks is proposed. The power consumption characteristics of LFSR can be masked by using an additional LFSR and confused by adding a new filter Boolean function and a flip-flop. The design method has been implemented easily by circuits in this new design in comparison with the others.     

An engineering method for complex structural optimization involving both size and topology design variables

This work presents an engineering method for optimizing structures made of bars, beams, plates, or a combination of those components. Corresponding problems involve both continuous (size) and discrete (topology) variables. Using a branched multipoint approximate function, which involves such mixed variables, a series of sequential approximate problems are constructed to make the primal problem explicit. To solve the approximate problems, genetic algorithm (GA) is utilized to optimize discrete variables, and when calculating individual fitness values in GA, a second-level approximate problem only involving retained continuous variables is built to optimize continuous variables. The solution to the second-level approximate problem can be easily obtained with dual methods. Structural analyses are only needed before improving the branched approximate functions in the iteration cycles. The method aims at optimal design of discrete structures consisting of bars, beams, plates, or other components. Numerical examples are given to illustrate its effectiveness, including frame topology optimization, layout optimization of stiffeners modeled with beams or shells, concurrent layout optimization of beam and shell components, and an application in a microsatellite structure. Optimization results show that the number of structural analyses is dramatically decreased when compared with pure GA while even comparable to pure sizing optimization.     

基于改进蚁群算法的三维路径规划

针对移动机器人在海水环境中的三维路径规划问题容易陷入局部最优和收敛慢等瑕疵，根据三维环境全局信息来改进蚁群算法以提高实时性和收敛速度。改进蚁群算法的启发函数，采用局部信息和全局信息结合动态地改进信息素更新方式，以及根据三维空间中路径的平坦程度和光滑度二阶微分分别增加了一阶微分和二阶微分来再次修改信息素更新规则。仿真对比实验结果显示改进后的蚁群算法克服了收敛速度慢、容易陷入局部最优的缺点。     

基于改进雷达图的配电系统电能质量评估方法

本文针对配电系统电能质量综合评估存在的评估指标权重分配过于主观或客观的问题,提出一种基于改进雷达图法的配电系统电能质量评估方法。该方法利用最小偏差组合权重法计算各评估指标的最优组合权重。并在传统雷达图的基础上对各指标轴间夹角值的确定和特征向量的选取两方面做了进一步的改进。首先采用扇形区域取代原始的三角形区域,并利用最小偏差组合权重法计算各指标轴间夹角值。其次选择新的特征向量构造评估函数对配电系统电能质量进行综合评估。最后通过对某钢铁厂棒材变电站10kV配电系统电能质量进行综合评估,验证了该方法的可行性和合理性。较传统雷达图而言,改进雷达图法解决了传统雷达图法中各指标间信息共用以及评估结果不唯一的问题,使评估结果更加准确合理。     

Salience of public leaders’ “meaning making” in news coverage of a health crisis

Meaning making by leadership in a crisis is required to reduce uncertainty. We used analytic criteria for meaning making suggested by crisis management literature to investigate public leaders’ quotations in news coverage of a health crisis. The quotations were examined in terms of the five frame functions, which include offering a credible explanation of what happened, offering guidance, instilling hope, showing empathy, and suggesting that leaders are in control. The Middle East respiratory syndrome outbreak in South Korea was examined. As a result, the most salient frame function identified was displaying they are in control of the emergency, followed by offering guidance and explaining what happened. The salience of leaders’ meaning making disappeared in coverage by a liberal newspaper.     

Microscopic details of asphaltenes aggregation onset during waterflooding

We report detailed microscopic studies of asphaltenes aggregation onset during waterflooding of petroleum reservoirs. To achieve this objective, a series of simulations are performed on asphaltenic-oil miscibilized with water at high pressure and temperature through molecular dynamics. Results of this simulation onset are applicable to asphaltenes behavior in real crude oils. Our simulation results illustrate that the aggregation onset in waterflooding generally follows three sequential steps: (i) Asphaltene-water interaction; (ii) Water bridging; (iii) Face-to-face stacking. Then, asphaltene-water and water-water hydrogen-bonding network surround every aggregate boosting the intensity of aggregation onset. We intend to utilize such understanding of these details in our predictive and preventive measures of arterial blockage in oil reservoirs during waterflooding.     

Analysis of driver roles: modelling the changing role of the driver in automated driving systems using EAST

ABSTRACT

The purpose of this paper is to analyse the role of the driver within automated driving systems using the Event Analysis of Systemic Teamwork (EAST) method. We already know that as the level of automation increases within the driving task, the role of the driver shifts from that of an active operator (i.e. a driver driving) to more of a passive monitor (i.e. a driver monitoring). Task, social and information networks were constructed using the Hierarchical Task Analysis of Driving and evidence from driver verbalisations collected during a previous study to further explore the changing role of the driver using network analysis. A ‘broken links’ approach was conducted to show that momentary engagement in non-driving-related secondary tasks within an automated driving system can dramatically change the structure of driving system.     

Methods for constructing analytic phase function for small spherical particle polydispersions

Two ways of constructing analytic phase function for a polydispersion of small spherical non-absorbing particles have been investigated. First one is a straightforward procedure emanating from the implementation of single particle scattering input into the defined polydisperse phase function. This results in an analytic phase function in terms of moments of the distribution. The second approach is a new strategy, based on the Lagrange mean value theorem. A clear understanding of the relationship between these two approaches has been developed. The efficacy and accuracy of the scattering phase functions is illustrated by applying it to a power-law size distributed sphere ensemble.