Time Changes, Laplace Transforms and Path-Dependent Options

Path-dependent options have become increasingly popular over the last few years, in particular in FX markets, because of the greater precision with which they allow investors to choose or avoid exposure to well-defined sources of risk. The goal of the paper is to exhibit the power of stochastic time changes and Laplace transform techniques in the evaluation and hedging of path-dependent options in the Black–Scholes–Merton setting. We illustrate these properties in the specific case of Asian options and continuously (de-) activating double-barrier options and show that in both cases, the pricing and, just as important, the hedging results are more accurate than the ones obtained through Monte Carlo simulations.     

基于软件芯片的快速原型制造系统软件设计方法

本文把软件芯片的概念引入快速原型制造（RPM）系统的软件设计之中,根据RPM系统软件结构的特点,对其进行了软件芯片划分,并论述了每个软件芯片的功能。以数控语言解释器软件芯片为例,详细地介绍了RPM系统软件芯片的研制过程。研究了如何用软件芯片构造RPM系统软件。     

Iterative analysis of Markov regenerative models

Conventional algorithms for the steady-state analysis of Markov regenerative models suffer from high computational costs which are caused by densely populated matrices. In this paper, a new algorithm is suggested which avoids computing these matrices explicitly. Instead, a two-stage iteration scheme is used. An extended version of uniformization is applied as a subalgorithm to compute the required transient quantities “on-the fly”. The algorithm is formulated in terms of stochastic Petri nets. A detailed example illustrates the proposed concepts.     

Application of the modified Taylor approximation

In this paper we introduce and describe a new scheme for the numerical integration of smooth functions. The scheme is based on the modified Taylor expansion and is suitable for functions that exhibit near-sinusoidal or repetitive behaviour. We discuss the method and its rate of convergence, then implement it for the approximation of certain integrals. Examples include integrands involving Airy wave, Bessel, Gamma, and elliptic functions. The results, from the data in the tables, demonstrate that the method converges rapidly and approximates the integral as well as some well-known numerical integration methods used with sufficiently small step sizes.     

受控振动柱体对波浪影响的数值模拟研究

以不可压缩黏性流体的Navier-Stokes方程为控制方程,采用RNG k-ε湍流模型,利用VOF方法追踪运动的自由表面的方法,建立了三维数值波浪与振动柱体相互作用的模型.基于经典绕射理论验证了波浪绕固定柱体传播的数值模型的可靠性,再采用动边界技术赋予柱体振动规律,研究受控振动柱体对波浪传播的影响,并通过控制柱体初始振动相位变化,系统地给出了在柱体振动的不同初始相位下柱体前后波浪变化的规律.     

Quantum-mechanical effects and gate leakage current of nanoscale n-type FinFETs: A 2d simulation study

This paper simulates a kind of new sub-50 nm n-type double gate MOS nanotransistors by solving coupled Poisson-Schrödinger equations in a self-consistent manner with a finite element method, and presents a systematic simulation-based study on quantum-mechanical effects, gate leakage current of FinFETs. The simulation results indicate that the deviation from the classical model becomes more important as the gate oxide, gate length and Fin channel width becomes thinner and the Fin channel doping increases. Gate tunneling current density reduces with the body thickness decreasing. Excessive scaling increases the gate current below Fin thickness of 5 nm. The gate current can be dramatically reduced beyond 10¹⁷ cm⁻³ with the Fin body doping increasing. In order to understand the influence of electron confinement, quantum mechanical simulation results are also compared with the results from the classical approach. Our simulation results indicate that quantum mechanical simulation is essential for the realistic optimization of the FinFET structure.     

经济型网络化数控系统的开发与应用

文中介绍了基于工业PC和专用DSP运动控制技术的经济型网络化开放式数控系统。在WINDOWS平台下,利用PC丰富成熟的资源和专用DSPMCX314AS强大的运动控制功能,并使用VisualC++和COM技术开发系统软件和API,最终形成多功能、低价格、高性能、简单、可靠、具有多轴多通道控制能力,丰富的标准接口,可配套使用多种伺服驱动单元和真彩色液晶显示器,连接以太网络通信、同CAD/CAM及管理系统互动的数控系统产品。该系统已成功应用于对立式铣床X8126的改造。     

升温速率对金属熔化和过热的影响

采用分子动力学方法和QSC(Quantum Sutton-Chen)力场研究了升温速率对金属银和金属铅的熔化和过热行为的影响。研究结果表明，升温速率对金属银和铅的熔化和过热行为有很大影响，随着升温速率的升高，金属的熔点有所升高。高的升温速率会导致金属体系内部无序化程度增加，降低了熔化相变的能垒。升温速率导致的银和铅完美晶体的过热极限分别为1450K和800K。     

移动床过滤除尘的直接数值模拟研究及实验对比

利用格子气和软球模型建立气固两相流数值模拟计算模型，模拟计算了在同一风速下碰撞次数与粉尘粒径之间的关系，初步研究移动过滤层颗粒对粉尘尺寸的过滤选择性。计算统计的结果与实验结果对比发现，二者存在定性上的一致。计算结果表示在移动床过滤中过滤效率对尘粒粒径具有明显的选择性，而且研究结果还表明格子气自动机模型可用于模拟流体在复杂边界条件下多孔介质细微通道内部的流动。