A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio the assumptions in the classical Black–Scholes model become unrealistic and the model results in nonlinear, possibly degenerate, parabolic diffusion–convection equations. Since in general, a closed-form solution to the nonlinear Black–Scholes equation for American options does not exist (even in the linear case), these problems have to be solved numerically. We present from the literature different compact finite difference schemes to solve nonlinear Black–Scholes equations for American options with a nonlinear volatility function. As compact schemes cannot be directly applied to American type options, we use a fixed domain transformation proposed by ?ev?ovi? and show how the accuracy of the method can be increased to order four in space and time.     

Noise analysis compact differential evolution

This article proposes a compact algorithm for optimisation in noisy environments. This algorithm has a compact structure and employs differential evolution search logic. Since it is a compact algorithm, it does not store a population of solutions but a probabilistic representation of the population. This kind of algorithmic structure can be implemented in those real-world problems characterized by memory limitations. The degree of randomization contained in the compact structure allows a robust behaviour in the presence of noise. In addition the proposed algorithm employs the noise analysis survivor selection scheme. This scheme performs an analysis of the noise and automatically performs a re-sampling of the solutions in order to ensure both reliable pairwise comparisons and a minimal cost in terms of fitness evaluations. The noise analysis component can be reliably used in noise environments affected by Gaussian noise which allow an a priori analysis of the noise features. This situation is typical of problems where the fitness is computed by means of measurement devices. An extensive comparative analysis including four different noise levels has been included. Numerical results show that the proposed algorithm displays a very good performance since it regularly succeeds at handling diverse fitness landscapes characterized by diverse noise amplitudes.     

CSP辊底式加热炉温度控制分析

分析了CSP辊底式加热炉温度控制的特点,指出影响坯料温度的因素、温度变化状况;对影响板坯加热的主要技术因素进行了初步研究,并介绍了该炉型板坯温度的控制方法与经验。     

国内外凿岩用球齿合金的现状、前景与发展趋势

本文叙述了凿岩用球齿合金的选择原则,国内外凿岩用球齿合金的现状(包括牌号、齿型)、前景及发展趋势,指出了不同牌号、不同齿型合金所适用的地层,为合理选择凿岩用球齿合金提供了技术依据。     

一种快速压缩遗传算法及其仿真研究

给出了压缩遗传算法的模式定理以及收敛性和运算参数的分析，并提出一种快速压缩遗传算法(fcGA)．该算法用压缩遗传算法(cGA)运行少量代数得到的概率值及其运行代数组成一个观测样本，借助于统计学中的最小二乘法估算几万代以后的概率值，组成新的概率矩阵并根据该矩阵产生新的个体，用这些新的个体更新概率矩阵．旅行商问题(TSP)的仿真证明，该算法是一种十分高效的遗传算法．     

光盘振动模态的电视激光全息测量与分析

采用激光全息(TV—holography)振动测试技术测量和分析了CD光盘的固有频率、模态振型以及模态分布情况。采用非接触声激励和非接触式激光全息摄像精确地测量出了CD光盘从零节圆到三节圆五节径的振动模态，最高模态频率达6300Hz。分析了节径振型和节圆振型间的关系和出现规律。结果表明：光盘的振型节线是由中心对称和轴对称的节径和节圆组成的，它们对应的振型也是中心对称和轴对称的；光盘的各阶固有频率是按一定的顺序排列的，节径和节圆的出现是有规律的，文中给出了表示这些规律的表达式。     

Microstructure of Nanostructured WC-Co Coating Prepared by Thermal Spraying

Nanostructured WC-Co coatings were produced with Atmospheric Plasma Spraying (APS) and Low Pressure Plasma Spraying (LPPS). Microstructure characteristics and phase compositions of the coatings were studied by means of scanning electron microscopy (SEM) and X-ray diffraction (XRD) respectively. The microstructure compositions were analyzed with EDS. During APS deposition the existence of oxygen causes the decarburization of the coating, and the coating was composed of melted area and the WC/12Co powder. Besides WC phase, there was W2C phase. However in the coating deposited by LPPS the content of oxygen was so low that there were a limit degradation of the WC/12Co powder. The coatings were made up of compact block and loosen porosity area. There were large quantities of nanostructure WC grains and a small quantity of microstructure WC grains presented in the coating. Besides WC phase, a little W2C and WC1-x or Co6W6C phases occured. Consideration of the characteristics of the highly porous, spherical-shell morphology of nano-WC/12Co power, heterogeneous melting and localized superheating of the power were two main factors which caused the microstructure and phase composition of nano-WC-Co coatings.     

模拟“机架空过”对CSP铌微合金钢组织演变的影响

为了能给CSP轧制含Nb、V微合金钢时采用的"机架空过"工艺提供理论指导,在采用实测轧制数据验证组织演变模型的基础上,模拟了F2和F3机架空过工艺对组织演变和平均流变应力(MFS)的影响。结果表明:对模拟的钢种,与无空过道次轧制工艺相比,在不降低道次温度的情况下,采用F2机架空过时,可避免混晶,且各道次平均流变应力波动较小。而采用F3空过时,易产生混晶,平均流变应力波动较大。     

迁移理论中第一类临界参数方程的解及其方向离散化逼近的收敛性

本文用3-阶拟总体紧算子逼近理论证明了迁移理论中第一类临界参数方程的解的存在性及其方向离散化逼近的收敛性。