Pricing American bond options using a penalty method

We develop a novel numerical method to price American options on a discount bond under the Cox–Ingrosll–Ross (CIR) model which is governed by a partial differential complementarity problem. We first propose a penalty approach to this complementarity problem, resulting in a nonlinear partial differential equation (PDE). To numerically solve this nonlinear PDE, we develop a novel fitted finite volume method for the spatial discretization, coupled with a fully implicit time-stepping scheme. We show that this full discretization scheme is consistent, stable and monotone, and hence the convergence of the numerical solution to the viscosity solution of the continuous problem is guaranteed. To solve the discretized nonlinear system, we design an iterative method and prove that the method is convergent. Numerical results are presented to demonstrate the accuracy, efficiency and robustness of our methods.     

Bond pricing in APL2: A study in numerical solution of the Brennan and Schwartz bond pricing model using a vector processor

This paper is a unification of two earlier papers: the original model of the bond pricing algorithm developed by Foote, Kraemer, and the author [4] and a later paper reported at the Third Supercomputer Conference [5]. This paper briefly discusses the Brennan and Schwartz bond pricing model which was the application studied, presents its finite difference representation and describes three APL2 implementations. Problems in computation are discussed briefly and the three methods for a fixed size grid are compared with and without the IBM 3090 Vector Facility.     

Modeling of mechanical properties and bond relationship using data mining process

Reinforced concrete is a widely used construction material. Its properties depend on the bond between the reinforcing bar and concrete as much as the compressive strength or properties of the reinforcing bar because of component of construction expose to both flexural and bond together compressive loads. In this paper, the bond properties of concretes with different mix designs were investigated according to the results of compressive, flexural, bond, and flexural-bond tests. The data mining (DM) process was used to determine relationships among the test results and DM algorithms. Seventeen modeling techniques within WEKA were applied to the experimental data for the prediction of bond properties.The results show that the implemented models were good at predicting the bond properties. The best results were obtained from the RepTree algorithm for bond strength, the Multilayer Perceptron algorithm for flexural-bond strength, the MedSq algorithm for bond slippage, and the Pace Regression for flexural-bond deformation. Bond and flexural-bond can be easily predicted using the compressive strength, flexural strength and tensile stress of the rebar. Although a relationship is also existent between these and bond slippage and flexural-bond deformation, these relationships are weaker than the others.These results suggested that the DM algorithms can be used as an alternative approach to predict the bond strength using the results of compressive, flexural, bond, and flexural-bond tests as input parameters. The predictions of the bond slippage and flexural-bond deformation models poorly agreed with the experimental results. It can be obtained more successful results for these variables, when DM models with different inputs like the rebar-concrete interface stress together the measured parameters are used.     

A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility

In this paper, we present an upwind difference scheme for the valuation of perpetual American put options, using Heston's stochastic volatility model. The matrix associated with the discrete operator is an M-matrix, which ensure that the scheme is stable. We apply the maximum principle to the discrete linear complementarity problem in two mesh sets and derive the error estimates. Numerical results support the theoretical results.     

A parallel molecular dynamics simulation scheme for a molecular system with bond constraints in NPT ensemble

Equations of motion based on an atomic group scaling scheme are described for a molecular system with bond constraints. The NPT ensemble extended system method is employed along with a numerical integration scheme using an operator technique. For parallelization of the integration scheme, a domain decomposition scheme is employed based on a group of atoms which share common constraints. This decomposition scheme fits well into the integration scheme and involves no extra inter-processor communication during the SHAKE/RATTLE procedures. An example is given for a solvated protein system containing a total of 23 558 atoms on 64 processors.     

Pricing European multi-asset options using a space-time adaptive FD-method

In this paper we present an adaptive technique to solve the multi-dimensional Black–Scholes equation. The number of grid-points required for a given tolerance of the local discretization errors is reduced substantially when compared to a standard equidistant grid. Using our adaptive methods in space and time we have control of the local discretization errors and can refine the grid where needed for accuracy reasons. Funded by FMB, the Graduate School in Mathematics and Computing. An erratum to this article can be found at     

基于混合行为兴趣度的用户兴趣模型

用户兴趣模型是个性化推荐技术的基础与核心,针对现有用户兴趣模型在模型建立阶段用户兴趣评价的不足,提出了一种基于混合行为评价兴趣度值的方法,突出了用户阅读时间的特殊性,在用户阅读时间异常的情况下利用其它浏览行为来量化用户兴趣度,并结合用户的浏览内容提出了用户兴趣模型的表示和更新机制,从而建立用户兴趣模型。实验验证了兴趣度度量方法的有效性,将测试结果与K-Means聚类模型进行比较,该模型的推荐准确度有明显提高。     

Thermodynamic-based interface model for cohesive brittle materials: Application to bond slip in RC structures

The main objectives of this work concern a new formulation for an inelastic constitutive model for bond-slip phenomena between brittle cohesive materials and reinforcement through a nondimensional zero-thickness joint finite element. The bond-slip behavior assumes the small deformation and plane strains case. It is firmly placed within the framework of thermodynamics and continuum damage mechanics accounting for frictional sliding. The finite element interface model is based on a 2D-degenerated four-node quadrilateral element which is able to account for interface normal stress as well as for the nonlinear hysteretic tangential-normal coupling of bonding. One of the most important advantages of the proposed model consists in a sufficiently rich kinematics structure for contact allowing for the implementation of refine stress-strain constitutive relations.     

A model for simulating a lead-acid battery using bond graphs

This paper presents a model of a lead-acid battery developed with bond graphs. The bond graph structure is used to reproduce the behavior of reversible electrochemical cells in charging conditions or in discharging conditions. The work presented here has been applied to the particular case of lead-acid battery, so widely used in the automotive industry as standard 12 V batteries and as traction batteries in electrical or hybrid vehicles.The model considers each half-cell independently. For each half-cell the main electrode reaction and the electrolysis reaction of water are considered, that will be the hydrogen evolution reaction in the negative electrode and the oxygen evolution reaction in the positive.Electrochemical principles are considered in order to consider the main phenomena that appear in the battery, like the equilibrium potential, and the overpotential, modeled by means of the activation or charge transfer and the diffusion mechanisms.Each one of this phenomena are modeled with their corresponding bond graph elements and structures, showing the correspondence between bond graph elements and its physical interpretation in this field.First, an isothermal model has been developed in order to show the behavior of the main phenomena. A more complex model has also been developed including thermal behavior. This model is very useful in the case of traction batteries in electrical and hybrid vehicles where high current intensities appear.Some simulation results are also presented in order to show the accuracy of the proposed models and the differences of behavior if thermal effects are considered.     

A fast Monte Carlo algorithm for studying bottle-brush polymers

Obtaining reliable estimates of the statistical properties of complex macromolecules by computer simulation is a task that requires high computational effort as well as the development of highly efficient simulation algorithms. We present here an algorithm combining local moves, the pivot algorithm, and an adjustable simulation lattice box for simulating dilute systems of bottle-brush polymers with a flexible backbone and flexible side chains under good solvent conditions. Applying this algorithm to the bond fluctuation model, very precise estimates of the mean square end-to-end distances and gyration radii of the backbone and side chains are obtained, and the conformational properties of such a complex macromolecule are studied. Varying the backbone length (from Nb=67 to Nb=1027), side chain length (from N=0 to N=24 or 48), the scaling predictions for the backbone behavior as well as the side chain behavior are checked. We are also able to give a direct comparison of the structure factor between experimental data and the simulation results.     

Pricing American options using a space-time adaptive finite difference method

American options are priced numerically using a space- and time-adaptive finite difference method. The generalized Black–Scholes operator is discretized on a Cartesian structured but non-equidistant grid in space. The space- and time-discretizations are adjusted such that a predefined tolerance level on the local discretization error is met. An operator splitting technique is used to separately handle the early exercise constraint and the solution of linear systems of equations from the finite difference discretization of the linear complementarity problem. In numerical experiments three variants of the adaptive time-stepping algorithm with and without local time-stepping are compared.     

一种支持MMOG兴趣管理的感知模型

在MMOG中,玩家的兴趣域由感知范围确定,现有的兴趣管理方法通常采用预先给定的感知半径来确定兴趣域.由于没有确定的感知元素的计算方法,现有的方法不能准确描述3D环境中玩家的感知范围.因此,本文提出一种支持MMOG兴趣管理的感知模型.该模型依据3D环境中玩家视觉行为特征将玩家兴趣域细分为用扇形柱体表示的感知域和用圆柱体表示的影响域,并给出各感知元素的具体计算方法.在此基础上利用感知模型扩展可预测兴趣管理方法.实验表明,该方案有效降低了网络带宽占用和计算资源使用率,更符合MMOG的实时性和真实性要求.     

基于经济模型的计算网格资源分配

提出了一种基于市场的计算网格资源分配框架,在这个模型中,用效用函数刻画用户对网格服务的满意程度,将计算网格资源分配问题转化为在传统的考虑负载平衡的基础上,求最大化所有用户的效用和,并给出了分布式、可扩展的算法。     

Unified meta-modeling framework using bond graph grammars for conceptual modeling

Existing techniques for developing large scale complex engineering systems are predominantly software based and use Unified Modeling Language (UML). This leads to difficulties in model transformation, analysis, validation, verification and automatic code generation. Currently no general frameworks are available to bridge the concept-code gap rampant in design and development of complex, software-intensive mechatronic systems called cyber-physical systems. To fill this gap and provide an alternative approach to Object Management Group’s UML/SysML/OCL combination, we propose: Bond Graph based Unified Meta-Modeling Framework (BG-UMF). BG-UMF is a practical and viable alternative and uses a novel hybrid approach based on model unification and integration. The focus is on conceptual design and development of executable models for large systems. The viability of the framework is demonstrated through an application scenario: conceptual design and development of a navigation and control system for a rotor-craft UAV.     

高校学生收费管理系统的设计

本文根据作者实际工作经验,提出了一种学生收费管理系统的设计方案,集中讨论了开发模式、系统的主要功能,以及功能实现过程中涉及到的关键技术。     

Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments

In this paper we study algorithms for pricing of interest rate instruments using recombining tree (scenario lattice) interest models. The price is defined as expected discounted cash flow. If the cash-flow generated by the instrument depends on the full or partial history of interest rates (path-dependent contracts), then pricing algorithms are typically of exponential complexity. We show that for some models, including product form cash-flows, additive cash-flows, delayed cash-flows and limited path-dependent cash-flows, polynomial pricing algorithms exist.     

Risk-sensitive control for a class of nonlinear systems with multiplicative noise

In this paper, we consider the problem of optimal control for a class of nonlinear stochastic systems with multiplicative noise. The nonlinearity consists of quadratic terms in the state and control variables. The optimality criteria are of a risk-sensitive and generalised risk-sensitive type. The optimal control is found in an explicit closed-form by the completion of squares and the change of measure methods. As applications, we outline two special cases of our results. We show that a subset of the class of models which we consider leads to a generalised quadratic–affine term structure model (QATSM) for interest rates. We also demonstrate how our results lead to generalisation of exponential utility as a criterion in optimal investment.     

基于网页模糊分类的用户兴趣度分析方法

了解用户的兴趣是电子商务网站实现个性化的基础,该文提出了一种分析用户兴趣度的新方法,该方法首先根据网站主索引页上的超链接将网站上的网页模糊分类,并通过对Web日志的统计,得出各交叉页的模糊度,然后综合考虑用户浏览网页的时间长度、点击网页的次数,利用模糊综合评判得出用户对于各网页分类的兴趣度,再与各网页分类的平均兴趣度水平作对比,从而发现用户的兴趣所在,实验表明该方法是有效的。     

随机金融市场环境下的最优再保险–投资策略

为了对冲保险风险,保险公司可以向再保险公司购买比例再保险;同时,为了保值增值,保险公司将其财富投资于金融市场.假设盈余过程由带漂移的布朗运动所驱动,利率满足仿射利率模型,股票波动率满足Heston随机波动率模型.应用随机最优控制和HJB方程方法得到了指数效用下最优再保险–投资策略的显式解.给出数值算例并分析了模型参数对最优再保险策略和最优投资策略的影响.研究结果表明:最优再保险策略不仅依赖于保险市场参数,而且依赖于金融市场参数;随机利率与随机波动率模型下的最优再保险–投资策略与利率动态密切相关,而与波动率动态无关;再保险行为对投资于股票的数量没有影响,而对投资于零息票债券的数量产生较大的影响.     

A regime-switching model with the volatility smile for two-asset European options

In this paper, we consider a numerical European-style option pricing method under two regime-switching underlying assets depending on the market regime. For a risk neutral market condition, we consider regime-switching model with two assets using a Feynman–Kac type formula. And to solve the option problem with regime-switching model, we apply an operator splitting method. Numerical examples show the volatility smile and the volatility term structure under varying parameters on a two state regime switching model.