Simulation Methods of Stochastic Volatility Interest Rate Term Structure

A term structure model bearing features of stochastic volatility and stochastic mean drift with jump （SVJ-SD model for short） is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood （ML）,linear Kalman filter and efficient method of moments （EMM） are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.

Hybrid method for investigation of electromagnetic scattering from conducting target above the randomly rough surface

A current based hybrid method （HM） is proposed which combines the method of moment （MOM） with the Kirchhoff approximation （KA） for the analysis of scattering interaction between a two-dimensional （2D） infinitely long conducting target with arbitrary cross section and a one-dimensional （1D） Gaussian rough surface. The electromagnetic scattering region in the HM is split into KA region and MOM region. The electric field integral equation （EFIE） in MOM region （target） is derived, the computational time of the HM depends mainly on the number of unknowns of the target. The bistatic scattering coefficient for the infinitely long cylinder above the rough surface with Gaussian roughness spectrum is calculated, and the numerical results are compared and verified with those obtained by the conventional MOM, which shows the high efficiency of the HM. Finally, the influence of the size, location of the target, the rms height and correlation length of the rough surface on the bistatic scattering coefficient with different polarizations is discussed in detail.

New hybridization of PO, SBR, and MoM for scattering by large complex conducting objects

As a marked extension of the traditional MoM-PO （method of moment-physical optics） hybrid method, a new hybridization of PO, SBR, and MoM （MoM-SBR/PO） is presented to calculate the multireflection contribution in the PO region efficiently by introducing the method of SBR based on RDN notion, which avoids the time-consuming iterative procedure and the choice of proper Green＇s function. As compared with the traditional MoM-PO hybrid method, the calculation efficiency of the proposed method is greatly improved, and its validity is verified by numerical results.

Statistical Inference for the Parameter of Pareto Distribution Based on Progressively Type-I Interval Censored Sample

In this paper, the estimation of parameters based on a progressively typeI interval censored sample from a Pareto distribution is studied. Different methods of estimation are discussed, which include mid-point approximation estimator, the maximum likelihood estimator and moment estimator. The estimation procedures are discussed in details and compared via Monte Carlo simulations in terms of their biases.

Nanoparticle nucleation and coagulation in a mixing layer

Numerical simulation of nanoparticle nucleation and coagulation in a mixing layer with sulfuric acid vapor binary system is performed using the large eddy simulation and the direct quadrature method of moment. The distributions of number concentration, volume concentration, and average diameter of nanoparticles are obtained. The results show that the coherent structures have an important effect on the distributions of number concentration, volume concentration and average diameter of nanoparticles via continuously transporting and diffusing the nanoparticles to the area of low particle concentration. In the streamwise direction, the number concentration of nanoparticles decreases, while the volume concentration and the average diameter increase. The distributions of number concentration, volume concentration and average diameter of nanoparticles are spatially inhomogeneous. The characteristic time of nucleation is shorter than that of coagulation. The nucleation takes place more easily in the area of low temperature because where the number concentration of nanoparticles is high, while the intensity of coagulation is mainly affected by the number concentration. Both nucleation and coagulation result in the variation of average diameter of nanoparticles.

MoM-PO/SBR Algorithm Based on Collaborative Platform and Mixed Model

For electromagnetic scattering of 3?D complex electrically large conducting targets,a new hybrid algorithm,MoM?PO/SBR algorithm,is presented to realize the interaction of information between method of moment(MoM)and physical optics(PO)/shooting and bouncing ray(SBR).In the algorithm,the COC file that based on the Huygens equivalent principle is introduced,and the conversion interface between the equivalent surface and the target is established.And then,the multi?task flow model presented in this paper is adopted to conduct CPU/graphics processing unit(GPU)tests of the algorithm under three modes,i.e.,MPI/OpenMP,MPI/compute unified device architecture(CUDA)and multi?task programming model(MTPM).Numerical results are presented and compared with reference solutions in order to illustrate the accuracy and the efficiency of the proposed algorithm.

A Two-Level Preconditioning Technique for Wire Antennas Attached with Dielectric Objects

An iterative solution of linear systems is studied,which arises from the discretization of a wire antennas attached with dielectric objects by the hybrid finite-element method and the method of moment （hybrid FEM-MoM）.It is efficient to model such electromagnetic problems by hybrid FEM-MoM,since it takes both the advantages of FEM＇s and MoM＇s ability.But the resulted linear systems are complicated,and it is hard to be solved by Krylov subspace methods alone,so a two-level preconditioning technique will be studied and applied to accelerate the convergence rate of the Krylov subspace methods.Numerical results show the effectiveness of the proposed two-level preconditioning technique.

Mix of Fiscal and Monetary Policy Rules and Inflation Dynamics in China

The present paper examines the role of the mix of fiscal and monetary policy rules in determining inflation dynamics using fiscal and monetary policy reaction func.tions and Markov-switching vector autoregression methods based on quarterly data in the period 1992-2007. Our results show that fiseal and monetary policies in China can be adequately described using some simple rules, and that significant regime shifts took plaee around 1998. Fiscal policy tended to be active and countereyclical in the pre-1998 period, then switched to be passive and more eountercyclical, whereas monetary policy was characterized as passive and procyclical in the pre-1998 period, and switched to be active and countercyclical afterwards. The mix of fiscal and monetary policy rules can explain inflation dynamics better than the monetary policy rule alone. Therefore, price stability requires not only appropriate monetary policy but also appropriate fiseal policy.

Numerical solution of particle size distribution equation:Rapid expansion of supercritical solution(RESS)process

The present study aimed to numerically simulate the rapid expansion of the supercritical solution(RESS)process including particle generation,hydrodynamics,and solving the population balance equation(PBE)to predict the particle-size distribution(PSD)of solid-supercritical carbon dioxide binary systems.Energy,momentum,and mass equations,in addition to the extended generalized Bender equation of state(EoS),were applied to predict the hydrodynamic behavior of a supercritical solution under several operating conditions using a nozzle and expansion vessel.The tetraphenylporphyrin(TBTPP)solubility in supercritical carbon dioxide was calculated using the Peng-Robinson EoS/Kwak-Mansoori as a mixing rule.Subsequently,TBTPP,aspirin,ibuprofen,and salicylic acid nucleation as well as the supersaturation rate were calculated.Finally,we solved the time dependence of the parameters of the size distribution numerically.The established models are compared over a wide parameter range using a reference model that refers to the method of moment log-normal size distribution functions through the RESS process to predict a solid PSD.The results obtained are presented with and without coagulation phenomena.The average absolute percent deviation of solubility of TBTPP was 3.98,and the hydrodynamic behavior of supercritical carbon dioxide showed a similar trend as the results presented in the published research work.Furthermore,a particle size distribution prediction using coagulation showed acceptable agreement with the experimental PSDs.

Common-mode radiation characteristic analysis of connections between cables and metal cases

In this paper,the common-mode radiation characteristic of the connection between a cable and a conductor is analyzed by the electric field integral function(EFIF)and the method of moment(MoM).The RWG basis function is adopted as the conductor basis function,the pulse basis function as the wire basis function and the juncture employs Costa basis function.A scheme of singular region separation is proposed to overcome the integration singularity of juncture matrix elements.Some new conclusions of the common-mode radiation characteristics with the metal case are obtained by numeration.

Analysis on two novel spherical helical antennas

Two novel spherical helical antennas are designed by projecting the planar equiangular spiral antenna onto hemisphere and partial sphere surfaces.Their radiation properties are analyzed by the moment method with curved basis and test function,and the curves of the voltage standing wave ratio(VSWR),gain,polarization and pattern that change with frequency are also given,respectively.It can be seen that the circular polarization band of the novel hemispherical helical antenna is broader.The gain curve of the partial spherical helical antenna is flatter and the structure is simpler.