Fast and accurate pricing of discretely monitored barrier options by numerical path integration

Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation, e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical approximation of the transition probability density associated with the stochastic differential equation describing the stock price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders it quite easy to implement.     

地面遥控可调弯接头的设计

钻进过程中,为实现定向控制目标,发明了地面遥控可调弯接头,它通过改变钻井液排量来使上、下花键轴在花键筒内上下滑动,由于各花键齿端部形状的特点,这一滑动会导致上、下花键筒之间发生转动,又由于上、下花键筒的转动轴线与它们的外表面不平行,就会使它们之间出现需要的各种弯角,从而在地面就能改变井下弯接头的结构弯角,满足定向控制技术的需要。整个调节过程花费时间很少,因此可节约钻井成本。     

利用射线路径反演层状介质速度的方法

本文根据欧拉方程对于连续层状介质进行了方程推导，得出一个波传播的射线路径公式，利用中 公式导出了ＶＳＰ资料处理中的速度反演公式。     

On the non-blocking conditions of self-routeing multistage interconnection networks

This paper studies the non-blocking conditions of a generic N × N multistage interconnection network, such as an omega network or an n-cube network, in which only one path connects any inlet to each outlet and different I/O paths can share interstage links. It is widely known that any of these networks is non-blocking for a compact and monotone pattern of k ≤ N I/O paths. Recently it has become very important to show the network non-blocking property for permutation sets, wider than the compact and monotone, which are usually encountered in broadband ATM networks. By using a new approach based on the concept of distance between I/O paths, we show here that these networks are non-blocking for a set of I/O paths obtained by shifting cyclically the inlets of a compact and monotone pattern of I/O paths by an arbitrary number of steps.     

Real-time accurate hand path tracking and joint trajectory planning for industrial robots (I)

Previously, researchers raised the accuracy for a robot’s hand to track a specified path in Cartesian space mainly through increasing the number of knots on the path and the number of the path’s segments, which results in the heavier online computational burden for the robot controller. Aiming at overcoming this drawback, the authors propose a new kind of real-time accurate hand path tracking and joint trajectory planning method. Through selecting some extra knots on the specified hand path by a certain rule and introducing a sinusoidal function to the joint displacement equation of each segment, this method can greatly raise the path tracking accuracy of robot’s hand and does not change the number of the path’s segments. It also does not increase markedly the computational burden of robot controller. The result of simulation indicates that this method is very effective, and has important value in increasing the application of industrial robots. Foundation item: Foundation of the Robotics Laboratory, Chinese Academy of Sciences (No. RL200002) Biography of the first author: TAN Guan-zheng, Dr., professor, born in Oct. 1962, majoring in artificial intelligence, robotics and automation.     

谈中国特色的信息化道路

论述了我国在信息化道路上要正确处理如信息技术与信息资源等的四个关系，同时强调推进信息化要关注中国国情的9个特点。     

论黄河三角洲流路演变及河口治理的指导原则

通过分析黄河三角洲流路演变中溯源堆积及溯源冲刷对典河下游河道影响的范围，幅度和作用历时，提出在黄河泥沙从根本上减少之前，河口治理的指导原则应是在有利于工农业发展和有利于防洪防凌前提下，有计划地安排河口流路。     

利用ATM构造宽带INTERNET骨干网

本文分析了传统的Ｉｎｔｅｒｎｅｔ骨干网的组网方案纯路由器网络的成功及其所面临的挑战，提出在网络核心引入交换技术，通过采用ＡＴＭ构造带宽Ｉｎｔｅｒｎｅｔ骨干网，可以构更大规模的网络，使网络运营者受益，并且为将来Ｉｎｔｅｒｎｅ提供综合业务奠定坚实的基础。     

通信网交换系统的发展趋向

本文对宽带综合通信网交换系统几个主要方面技术的发展趋向作了概括介绍，内容包括：电子交换的分布结构、ＡＴＭ交换的开始应用，个人通信的无线进网，宽带交换引用光子技术和多媒体交换结构分析。     

新型零电压开关多谐振变换器

论述了一种新型多谐振变换器．通过开关型吸收电路使晶体管电压应力大大降低．理论分析和实验结果证明该变换器具有更优越的工作性能．