PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.

Modeling of the Shape Forming of Composite Roll

A shape modeling of spray formed composite roll, which is utilized to predict the shape and dimension of roll during spray forming process, is developed in this paper. The influences of the principal spray forming parameters, such as the spatial distribution of melt mass flux, spray distance, rotating and translating speeds of substrate bar etc. , on the geometry and dimension of spray formed product were investigated.

3-D Magnetic Sensor Module for Locating and Tracking MEMS Swallowable Capsule Based on Scalar Form of Magnetic Dipole Model

MEMS swallowable capsule is a novel technology in the non-invasive surgery. This technology provides a way to diagnose directly into the deep intestinal where the traditional invasive technology implemented, such as X-Ray, endoscopy. It is a key for us to locate and track the position of a MEMS capsule in clinical applications. To solve this problem, we implemented a magnetic sensor module based on the scalar form of the magnetic dipole model,which was designed with very small size （5.2 ＊ 2. 1 ＊ 1.2 em） and easy to assemble to satisfy the system requirement. Here we discuss in detail the principle of magnetic dipole model, rules of selecting sensor and functions of the module. Some trials are established to test the characteristic of the module. The results of the Cm experiment demonstrates that the module follows the rules of the new magnetic dipole model form.

Model Forming of Mesoarchean Gridino Mafic Dyke Swarm during Subduction "Mid-Ocean Ridge – Continent"

The high-pressure metamorphosed Gridino dyke swarm comprises a major group of Mesoarchean 2.87-2.82 Ga mafic dykes intruded within the Mesoarchean continental crust of the Kola craton(the Belomorian tectonic province

Triangular domain extension of algebraic trigonometricB′ezier-like basis

In computer aided geometric design （CAGD）, B′ezier-like bases receive more andmore considerations as new modeling tools in recent years. But those existing B′ezier-like basesare all defined over the rectangular domain. In this paper, we extend the algebraic trigono-metric B′ezier-like basis of order 4 to the triangular domain. The new basis functions definedover the triangular domain are proved to fulfill non-negativity, partition of unity, symmetry,boundary representation, linear independence and so on. We also prove some properties of thecorresponding B′ezier-like surfaces. Finally, some applications of the proposed basis are shown.

Finite Element Simulation of Flexible Roll Forming with Supplemented Material Data and the Experimental Verification

Flexible roll forming is a promising manufacturing method for the production of variable cross section products. Considering the large plastic strain in this forming process which is much larger than that of uniform deformation phase of uniaxial tensile test, the widely adopted method of simulating the forming processes with non-supplemented material data from uniaxial tensile test will certainly lead to large error. To reduce this error, the material data is supplemented based on three constitutive models. Then a finite element model of a six passes flexible roll forming process is established based on the supplemented material data and the original material data from the uniaxial tensile test. The flexible roll forming experiment of a B pillar reinforcing plate is carried out to verify the proposed method. Final cross section shapes of the experimental and the simulated results are compared. It is shown that the simulation calculated with supplemented material data based on Swift model agrees well with the experimental results, while the simulation based on original material data could not predict the actual deformation accurately. The results indicate that this material supplement method is reliable and indispensible, and the simulation model can well reflect the real metal forming process. Detailed analysis of the distribution and history of plastic strain at different positions are performed. A new material data supplement method is proposed to tackle the problem which is ignored in other roll forming simulations, and thus the forming process simulation accuracy can be greatly improved.

Framework of pricing a revolver loan in the case of dependent defaults

In this paper we analyze the main characteristics of correlative clients and the revolver loan and reduced form models for the correlative clients A and B in real-life. This is done by decomposing the default intensity into specific default intensity and homogenous default intensity. We also use a mathematical formula of the default joint distribution function and the marginal distribution function in the physical measure to deduce the martingale measure. The modeling idea on pricing the revolver loan with client A is presented by applying reduced form model. Through calculating the cost and income fund flows under the martingale measure, the framework of a “break-even” pricing model is established. The conclusion is that the interest rate of a revolver loan for client A on the “break-even” point is not related to the maximum authorized amount and the drawdown amount at that time under some assumptions, but only rests with credit rating and homogenous default intensity of client A and B as well as loan term of client A.

Tsallis holographic dark energy under complex form of quintessence model

In this paper,we use a Tsallis holographic dark energy model in two forms,interacting and noninteracting cases,to acquire some parameters as the equation of state for the energy density of the Tsallis model in the FRW Universe concerning the complex form of quintessence model.We will study the cosmology of complex quintessence by revamping the potential and investigating the scalar field dynamics.Then we analyze(w-w’)and stability in two cases,i.e.noninteracting and interacting.We will explore whether these cases describe a real Universe by calculating fractional energy densityΩ_(D)and concerning two parts of the quintessence field effect(complex and real part)by considering the real part of this field to be a slow-roll field.We know that the part in which the fractional energy density(Ω_(D)>1)does not describe a real Universe.Also,we specified an interacting coupling parameter b2that depends on the constant parameter of the Tsallis holographic model(δ)with respect to fractional energy density(0.73).Unlike independence between the fractional energy density and interacting coupling in the real quintessence model,we determine a relationship among these parameters in this theory.Finally,by plotting some figures,we specify the features of(w-w’)and(ν^(2)_(s))in two cases and compare the result with each other.

Why It Is Hard to Explain Chinese Face？--Face Measurement Models and Its Influence on Ecological Product Preference

Face in China is a well-known word but still lacks a precise and authoritative definition. Other than the counterpart connotation of social norms in western culture, Chinese face is also a cultural construct strongly connected with situational context. In order to explore the general context and the specific connotation of Chinese face, this paper focuses on comparing the difference between Reflective Models and Formative Models when measuring the construct of Chinese face. We find that RM is more reliable and stable than FM in terms of face measurement, but is inferior to FM in explaining the connotations of Chinese face. Moreover, we also explore the effects of different dimensions of Chinese face on consumer preference for ecological products. This study not only enriches the existing research on Chinese face, but also exploratively answers a controversial problem in this area. Furthermore, the findings in this study also provide theoretical support for building an environmentally-friendly society in China.

Accurate prediction of air quality response to emissions for effective control policy design

Designing effective control policy requires accurate quantification of the relationship between the ambient concentrations of O3and PM2.5and the emissions of their precursors.However,the challenge is that precursor reduction does not necessarily lead to decreases in the concentrations of O3and PM2.5,which are formed by multiple precursors under complex physical and chemical processes;this calls for the development of advanced model technologies to provide accurate predictions of the nonlinear responses of air quality to emissions.Different from the traditional sensitivity analysis and source apportionment methods,the reduced form models(RFMs)based on chemical transport models(CTMs)are able to quantify air quality responses to emissions more accurately and efficiently with lower computational cost.Here we review recent approaches used in RFMs and compare their structures,advantages and disadvantages,performance and applications.In general,RFMs are classified into three types including(1)sensitivity-based models,(2)models with simplified chemistry and physical processes,and(3)statistical models,with considerable differences in principles,characteristics and application ranges.The prediction of nonlinear responses by RFMs enables more in-depth analysis,not only in terms of real-time prediction of concentrations and quantification of human exposure,health impacts and economic damage,but also in optimizing control policies.Notably,data assimilation and emission inventory inversion based on the nonlinear response of concentrations to emissions can also be greatly beneficial to air pollution control management.In future studies,improvement in the performance of CTMs is exceedingly crucial to obtain a more reliable baseline for the prediction of air quality responses.Development of models to determine the air quality response to emissions under varying meteorological conditions is also necessary in the context of future climate changes,which pose great challenges to the quantification of response relationships.Additionally,with rising requirements for fine-scale air quality management,improving the performance of urban-scale simulations is worth considering.In short,accurate predictions of the response of air quality to emissions,though challenging,holds great promise for the present as well as for future scenarios.

Triangular domain extension of linear Bernstein-like trigonometric polynomial basis

In computer aided geometric design(CAGD),the Bernstein-Bézier system for polynomial space including the triangular domain is an important tool for modeling free form shapes.The Bernstein-like bases for other spaces(trigonometric polynomial,hyperbolic polynomial,or blended space) has also been studied.However,none of them was extended to the triangular domain.In this paper,we extend the linear trigonometric polynomial basis to the triangular domain and obtain a new Bernstein-like basis,which is linearly independent and satisfies positivity,partition of unity,symmetry,and boundary represen-tation.We prove some properties of the corresponding surfaces,including differentiation,subdivision,convex hull,and so forth.Some applications are shown.

A multiobjective discrete combination optimization method for dynamics design of engineering structures

This paper presents a new multiobjective discrete optimization method for the engineering design of dynamic problems.A discrete combinatorial optimization problem is solved using a particle swarm optimization algorithm coupled with a stair‐form interpolation model.To address multiobjective optimization issues,a weighted average approach is implemented to convert the multiobjective optimization problem into an equivalent single‐objective optimization problem.Design con-straints are taken into consideration by using the penalty function strategy.The proposed method is first verified with a 10‐bar truss structure design problem,where the cross‐sectional area of each bar is optimized to minimize both volume and node displacement.Second,the dynamic issue for hybrid composite laminates is investigated by maximizing the fundamental frequency and minimizing the cost.The results reveal that the optimized results generated by the proposed method agree well with those from other approaches.

Aerodynamic design optimization of nacelle/pylon position on an aircraft

The arbitrary space-shape free form deformation （FFD） method developed in this paper is based on non-uniform rational B-splines （NURBS） basis function and used for the integral parameterization of nacelle-pylon geometry. The multi-block structured grid deformation technique is established by Delaunay graph mapping method. The optimization objects of aerodynamic characteristics are evaluated by solving NavierStokes equations on the basis of multi-block structured grid. The advanced particle swarm optimization （PSO） is utilized as search algorithm, which com-bines the Kriging model as surrogate model during optimization. The optimization system is used for optimizing the nacelle location of DLR-F6 wing-body-pylon-nacelle. The results indicate that the aerodynamic interference between the parts is significantly reduced. The optimization design system established in this paper has extensive applications and engineering value.

Developments of New Sheet Metal Forming Technology and Theory in China

Developments of new sheet metal forming technology and theory in China are reviewed in detail in this paper.Advances of crystal plasticity on the deformation mechanism of Mg alloy are firstly described, especially its applications on the prediction of sheet forming process. Then, a new macroscopic constitutive model is introduced, which possesses an enhanced description capacity of tension/compression anisotropy and anisotropic hardening. In order to take into account the twinning process of hexagonal close-packed material, a modified hierarchical multi-scale model is also established with adequate accuracy in a shorter computational time. The advanced forming limit of sheet metal, mainly about aluminum alloy, is also investigated. Besides the above theory developments, some new sheet metal forming technologies are reviewed simultaneously. The warm forming technology of Mg alloy is discussed. New processes to form sheet parts and to bend tubes are proposed by using hard granules. On the other hand, a new kind of ultra-high-strength steel based on typical22 Mn B5 by introducing more residual austenite and Cu-rich phase to increase the elongation and strength and its novel forming method that integrates hot stamping and quenching participation are proposed. Progresses in sheet hydroforming,press forging and electromagnetic forming of sheet metal parts are also summarized.