PRICING EUROPEAN OPTION IN A DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL WITH TWO MARKET STRUCTURE RISKS AND ITS COMPARISONS

Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.

Critical Exercise Price for American Floating Strike Lookback Option in a Mixed Jump-Diffusion Model

This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.

Hyper-exponential jump-diffusion model under the barrier dividend strategy

In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping.

Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate

In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.

Structural jump-diffusion model for pricing collateralized debt obligations tranches

This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion and jump with an asymmetric double exponential distribution. Conditioned on the common factor of individual entity, this paper gets the conditional distribution, and further obtains the loss distribution of the whole reference portfolio. Based on the semi-analytic approach, the fair spreads of collateralized debt obligations tranches, i.e., the prices of collateralized debt obligations tranches, are derived.

On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models

In this paper,we construct and analyze a Crank-Nicolson fitted finite volume scheme for pricing European options under regime-switching Kou’s jumpdiffusion model which is governed by a system of partial integro-differential equations(PIDEs).We show that this scheme is consistent,stable and monotone as the mesh sizes in space and time approach zero,hence it ensures the convergence to the solution of continuous problem.Finally,numerical experiments are performed to demonstrate the efficiency,accuracy and robustness of the proposed method.

Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models

In this paper,we propose a new method to estimate the diffusion function in the jump-diffusion model.First,a threshold reweighted Nadaraya-Watson-type estimator is introduced.Then,we establish asymptotic normality for the estimator and conduct Monte Carlo simulations through two examples to verify the better finite-sampling properties.Finally,our estimator is demonstrated through the actual data of the Shanghai Interbank Offered Rate in China.

采用STAMP-24Model的多组织事故分析

安全生产事故往往由多组织交互、多因素耦合造成,事故原因涉及多个组织。为预防和遏制多组织生产安全事故的发生,基于系统理论事故建模与过程模型(Systems-Theory Accident Modeling and Process,STAMP)、24Model,构建一种用于多组织事故分析的方法,并以青岛石油爆炸事故为例进行事故原因分析。结果显示:STAMP-24Model可以分组织,分层次且有效、全面、详细地分析涉及多个组织的事故原因,探究多组织之间的交互关系;对事故进行动态演化分析,可得到各组织不安全动作耦合关系与形成的事故失效链及管控失效路径,进而为预防多组织事故提供思路和参考。

基于改进24Model-ISM-SNA建筑工人不安全行为关联路径研究

建筑施工现场环境复杂,为有效控制不安全行为发生,基于行为安全“2-4”模型对360份具有代表性的建筑安全事故调查报告进行分析,提取出22个不安全行为的主要影响因素。利用灰色关联分析方法(GRA)改进的集成ISM-SNA模型,将不安全行为风险因素划分为表层、过渡层与深层,然后对风险因素进行可视化分析、中心度分析及凝聚子群分析,揭示了各致因因素间的关联关系和传导路径。结果表明,建筑工人不安全行为影响因素可划分成7级3阶的多级递阶结构,安全意识、现场监管、外部环境是建筑工人不安全行为的关键影响因素,同时现场监管和隐患排查到位能有效降低不安全行为的发生。

基于24Model-D-ISM的地铁站火灾疏散影响因素研究

为预防地铁站火灾事故,深入了解地铁站火灾人员疏散影响因素间的内在联系与层次结构,基于第6版“2-4”模型(24Model)分析63起地铁站火灾疏散事故,充分考虑各个因素之间的交互作用,提取19个影响地铁站人员疏散的关键因素,建立地铁站火灾人员疏散影响因素指标体系;采用算子客观赋权法(C-OWA)改进决策试验与评价实验法(DEMATEL),确定地铁站火灾人员疏散的重要影响因素;在此基础上,采用解释结构模型(ISM)分析各个因素间的层次结构及相互作用路径,构建地铁站火灾人员疏散影响因素的多级递阶结构模型。研究结果表明:疏散引导、恐慌从众行为、人员拥挤为地铁站火灾人员疏散的关键影响因素;地铁站火灾人员疏散受表层因素、中间层因素、深层因素共同作用的影响,其中,疏散教育与培训、设施维护与检查、疏散预案等因素是根源影响因素,重视根源影响因素的改善有利于从本质上预防和控制事故的发生。

The Finite-time Ruin Probability for the Jump-Diffusion Model with Constant Interest Force

In this paper, we consider the finite time ruin probability for the jump-diffusion Poisson process. Under the assurnptions that the claimsizes are subexponentially distributed and that the interest force is constant, we obtain an asymptotic formula for the finite-time ruin probability. The results we obtain extends the corresponding results of Kliippelberg and Stadtmüller and Tang.

耦合优化蚁群算法与P-Median model的选址模型设计

为节省城建部门对于公共体育设施的投入成本以及提高城市人民生活质量,以运动场所优化选址为例,提出一种新型设施选址模型。该模型主要基于P-Median model(最小化阻抗模型)根据需求点数量从全部候选设施选址中选择设施空间位置,让用户达到离自己最近设施距离成本总和最小的目的,对选址的基本原则和实际情况提出要求,构造目标函数用于优化后蚁群算法求解进行选址工作。优化蚁群算法实现基于Python语言模块,通过改进蚁群原始信息素,提升原有算法的收敛速度,求出目标函数最优解,可以很好地模拟对于运动场所的选址。用二者耦合进行优势互补所设计的选址模型来搜寻研究区蚁群信息素浓度残留最大的栅格像元,从而确定未被已有设施点服务半径覆盖的最佳设施点建立位置。实验结果表明,该新型选址模型相较于最小化阻抗模型与最大化覆盖模型,新增优化设施点使整体服务半径覆盖率分别高出10.42%和6.95%,适合求解较为精确且小规模空间下的选址问题。

Dynamic Asset Allocation with Loss Aversion in a Jump-diffusion Model

This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed by jump-diffusion processes driven by an m-dimensional Brownian motion and a（N- m）-dimensional Poisson process. After converting the dynamic optimal portfolio problem to a static optimization problem in the terminal wealth, the optimal terminal wealth is first solved. Then the optimal wealth process and investment strategy are derived by using the martingale representation approach. The closed-form solutions for them are finally given in a special example.

Anisotropic time-dependent behaviors of shale under direct shearing and associated empirical creep models

Understanding the anisotropic creep behaviors of shale under direct shearing is a challenging issue.In this context,we conducted shear-creep and steady-creep tests on shale with five bedding orientations (i.e.0°,30°,45°,60°,and 90°),under multiple levels of direct shearing for the first time.The results show that the anisotropic creep of shale exhibits a significant stress-dependent behavior.Under a low shear stress,the creep compliance of shale increases linearly with the logarithm of time at all bedding orientations,and the increase depends on the bedding orientation and creep time.Under high shear stress conditions,the creep compliance of shale is minimal when the bedding orientation is 0°,and the steady-creep rate of shale increases significantly with increasing bedding orientations of 30°,45°,60°,and 90°.The stress-strain values corresponding to the inception of the accelerated creep stage show an increasing and then decreasing trend with the bedding orientation.A semilogarithmic model that could reflect the stress dependence of the steady-creep rate while considering the hardening and damage process is proposed.The model minimizes the deviation of the calculated steady-state creep rate from the observed value and reveals the behavior of the bedding orientation's influence on the steady-creep rate.The applicability of the five classical empirical creep models is quantitatively evaluated.It shows that the logarithmic model can well explain the experimental creep strain and creep rate,and it can accurately predict long-term shear creep deformation.Based on an improved logarithmic model,the variations in creep parameters with shear stress and bedding orientations are discussed.With abovementioned findings,a mathematical method for constructing an anisotropic shear creep model of shale is proposed,which can characterize the nonlinear dependence of the anisotropic shear creep behavior of shale on the bedding orientation.

Mshpy23:a user-friendly,parameterized model of magnetosheath conditions

Lunar Environment heliospheric X-ray Imager(LEXI)and Solar wind−Magnetosphere−Ionosphere Link Explorer(SMILE)will observe magnetosheath and its boundary motion in soft X-rays for understanding magnetopause reconnection modes under various solar wind conditions after their respective launches in 2024 and 2025.Magnetosheath conditions,namely,plasma density,velocity,and temperature,are key parameters for predicting and analyzing soft X-ray images from the LEXI and SMILE missions.We developed a userfriendly model of magnetosheath that parameterizes number density,velocity,temperature,and magnetic field by utilizing the global Magnetohydrodynamics(MHD)model as well as the pre-existing gas-dynamic and analytic models.Using this parameterized magnetosheath model,scientists can easily reconstruct expected soft X-ray images and utilize them for analysis of observed images of LEXI and SMILE without simulating the complicated global magnetosphere models.First,we created an MHD-based magnetosheath model by running a total of 14 OpenGGCM global MHD simulations under 7 solar wind densities(1,5,10,15,20,25,and 30 cm)and 2 interplanetary magnetic field Bz components(±4 nT),and then parameterizing the results in new magnetosheath conditions.We compared the magnetosheath model result with THEMIS statistical data and it showed good agreement with a weighted Pearson correlation coefficient greater than 0.77,especially for plasma density and plasma velocity.Second,we compiled a suite of magnetosheath models incorporating previous magnetosheath models(gas-dynamic,analytic),and did two case studies to test the performance.The MHD-based model was comparable to or better than the previous models while providing self-consistency among the magnetosheath parameters.Third,we constructed a tool to calculate a soft X-ray image from any given vantage point,which can support the planning and data analysis of the aforementioned LEXI and SMILE missions.A release of the code has been uploaded to a Github repository.

24Model与LCM原因因素定义对比研究

为探究损失致因模型(LCM)原因因素定义与事故致因“2-4”模型(24Model)存在的异同和优缺点,梳理2个模型各层面原因和结果的定义,对比定义内容及其对事故原因分析等安全实务的指导作用,并以一起瓦斯爆炸事故为例加以实证分析,获得二者分析结果之间的差异。研究结果表明:LCM是首个将管理因素纳入事故致因分析的一维事件序列模型,可明确各层面原因因素的定义和因素间的逻辑关系,但部分定义存在交叉重复的问题,并没有揭示安全工作指导思想等深层次事故致因因素;24Model作为系统性事故致因模型,对各类因素的定义均以组织为主体,描述事件、事故、安全的概念内涵,划分个体安全动作、安全能力和组织安全管理体系的类别并给出含义解析,探究组织安全文化层面的问题并以32个元素体现;2个模型的事故原因分析方法均建立在对各层级原因因素定义的基础上,并适用于模型理论体系本身。

Oxygen tension modulates cell function in an in vitro three-dimensional glioblastoma tumor model

Hypoxia is a typical feature of the tumor microenvironment,one of the most critical factors affecting cell behavior and tumor progression.However,the lack of tumor models able to precisely emulate natural brain tumor tissue has impeded the study of the effects of hypoxia on the progression and growth of tumor cells.This study reports a three-dimensional(3D)brain tumor model obtained by encapsulating U87MG(U87)cells in a hydrogel containing type I collagen.It also documents the effect of various oxygen concentrations(1%,7%,and 21%)in the culture environment on U87 cell morphology,proliferation,viability,cell cycle,apoptosis rate,and migration.Finally,it compares two-dimensional(2D)and 3D cultures.For comparison purposes,cells cultured in flat culture dishes were used as the control(2D model).Cells cultured in the 3D model proliferated more slowly but had a higher apoptosis rate and proportion of cells in the resting phase(G0 phase)/gap I phase(G1 phase)than those cultured in the 2D model.Besides,the two models yielded significantly different cell morphologies.Finally,hypoxia(e.g.,1%O2)affected cell morphology,slowed cell growth,reduced cell viability,and increased the apoptosis rate in the 3D model.These results indicate that the constructed 3D model is effective for investigating the effects of biological and chemical factors on cell morphology and function,and can be more representative of the tumor microenvironment than 2D culture systems.The developed 3D glioblastoma tumor model is equally applicable to other studies in pharmacology and pathology.

Effects of mesenchymal stem cell on dopaminergic neurons,motor and memory functions in animal models of Parkinson's disease:a systematic review and meta-analysis

Parkinson’s disease is chara cterized by the loss of dopaminergic neurons in the substantia nigra pars com pacta,and although restoring striatal dopamine levels may improve symptoms,no treatment can cure or reve rse the disease itself.Stem cell therapy has a regenerative effect and is being actively studied as a candidate for the treatment of Parkinson’s disease.Mesenchymal stem cells are considered a promising option due to fewer ethical concerns,a lower risk of immune rejection,and a lower risk of teratogenicity.We performed a meta-analysis to evaluate the therapeutic effects of mesenchymal stem cells and their derivatives on motor function,memory,and preservation of dopamine rgic neurons in a Parkinson’s disease animal model.We searched bibliographic databases(PubMed/MEDLINE,Embase,CENTRAL,Scopus,and Web of Science)to identify articles and included only pee r-reviewed in vivo interve ntional animal studies published in any language through J une 28,2023.The study utilized the random-effect model to estimate the 95%confidence intervals(CI)of the standard mean differences(SMD)between the treatment and control groups.We use the systematic review center for laboratory animal expe rimentation’s risk of bias tool and the collaborative approach to meta-analysis and review of animal studies checklist for study quality assessment.A total of 33studies with data from 840 Parkinson’s disease model animals were included in the meta-analysis.Treatment with mesenchymal stem cells significantly improved motor function as assessed by the amphetamine-induced rotational test.Among the stem cell types,the bone marrow MSCs with neurotrophic factor group showed la rgest effect size(SMD[95%CI]=-6.21[-9.50 to-2.93],P=0.0001,I^(2)=0.0%).The stem cell treatment group had significantly more tyrosine hydroxylase positive dopamine rgic neurons in the striatum([95%CI]=1.04[0.59 to 1.49],P=0.0001,I^(2)=65.1%)and substantia nigra(SMD[95%CI]=1.38[0.89 to 1.87],P=0.0001,I^(2)=75.3%),indicating a protective effect on dopaminergic neurons.Subgroup analysis of the amphetamine-induced rotation test showed a significant reduction only in the intracranial-striatum route(SMD[95%CI]=-2.59[-3.25 to-1.94],P=0.0001,I^(2)=74.4%).The memory test showed significant improvement only in the intravenous route(SMD[95%CI]=4.80[1.84 to 7.76],P=0.027,I^(2)=79.6%).Mesenchymal stem cells have been shown to positively impact motor function and memory function and protect dopaminergic neurons in preclinical models of Parkinson’s disease.Further research is required to determine the optimal stem cell types,modifications,transplanted cell numbe rs,and delivery methods for these protocols.

Assessing the Performance of CMIP6 Models in Simulating Droughts across Global Drylands

Both the attribution of historical change and future projections of droughts rely heavily on climate modeling. However,reasonable drought simulations have remained a challenge, and the related performances of the current state-of-the-art Coupled Model Intercomparison Project phase 6(CMIP6) models remain unknown. Here, both the strengths and weaknesses of CMIP6 models in simulating droughts and corresponding hydrothermal conditions in drylands are assessed.While the general patterns of simulated meteorological elements in drylands resemble the observations, the annual precipitation is overestimated by ~33%(with a model spread of 2.3%–77.2%), along with an underestimation of potential evapotranspiration(PET) by ~32%(17.5%–47.2%). The water deficit condition, measured by the difference between precipitation and PET, is 50%(29.1%–71.7%) weaker than observations. The CMIP6 models show weaknesses in capturing the climate mean drought characteristics in drylands, particularly with the occurrence and duration largely underestimated in the hyperarid Afro-Asian areas. Nonetheless, the drought-associated meteorological anomalies, including reduced precipitation, warmer temperatures, higher evaporative demand, and increased water deficit conditions, are reasonably reproduced. The simulated magnitude of precipitation(water deficit) associated with dryland droughts is overestimated by 28%(24%) compared to observations. The observed increasing trends in drought fractional area,occurrence, and corresponding meteorological anomalies during 1980–2014 are reasonably reproduced. Still, the increase in drought characteristics, associated precipitation and water deficit are obviously underestimated after the late 1990s,especially for mild and moderate droughts, indicative of a weaker response of dryland drought changes to global warming in CMIP6 models. Our results suggest that it is imperative to employ bias correction approaches in drought-related studies over drylands by using CMIP6 outputs.

Cellular interplay to 3D in vitro microphysiological disease model:cell patterning microbiota-gut-brain axis

The microbiota-gut-brain axis(MGBA)has emerged as a key prospect in the bidirectional communication between two major organ systems:the brain and the gut.Homeostasis between the two organ systems allows the body to function without disease,whereas dysbiosis has long-standing evidence of etiopathological conditions.The most common communication paths are the microbial release of metabolites,soluble neurotransmitters,and immune cells.However,each pathway is intertwined with a complex one.With the emergence of in vitro models and the popularity of three-dimensional(3D)cultures and Transwells,engineering has become easier for the scientific understanding of neurodegenerative diseases.This paper briefly retraces the possible communication pathways between the gut microbiome and the brain.It further elaborates on three major diseases:autism spectrum disorder,Parkinson’s disease,and Alzheimer’s disease,which are prevalent in children and the elderly.These diseases also decrease patients’quality of life.Hence,understanding them more deeply with respect to current advances in in vitro modeling is crucial for understanding the diseases.Remodeling of MGBA in the laboratory uses many molecular technologies and biomaterial advances.Spheroids and organoids provide a more realistic picture of the cell and tissue structure than monolayers.Combining them with the Transwell system offers the advantage of compartmentalizing the two systems(apical and basal)while allowing physical and chemical cues between them.Cutting-edge technologies,such as bioprinting and microfluidic chips,might be the future of in vitro modeling,as they provide dynamicity.