Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）,...Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.展开更多
This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied t...This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.展开更多
A multi-scale virtual internal bond (VIB) model for the isotropic materials has been recently proposed to describe the material deformation and fracturing. During the simulation process of material fracturing using VI...A multi-scale virtual internal bond (VIB) model for the isotropic materials has been recently proposed to describe the material deformation and fracturing. During the simulation process of material fracturing using VIB, the fracture criterion is directly built into the constitutive formulation of the material using the cohesive force law. Enlightened by the similarity of the damage constitutive model of rock under uniaxial compression and the cohesive force law of VIB, a VIB density function of rock under uniaxial compression is suggested. The elastic modulus tensor is formulated on the basis of the density function. Thus the complete deformation process of rock under the uniaxial compression is simulated.展开更多
The ground-state properties and quantum phase transitions （ QPTs） of the one-dimensional bond-Mternative XXZ model are investigated by the infinite time-evolving block decimation （iTEBD） method. The bond-alternati...The ground-state properties and quantum phase transitions （ QPTs） of the one-dimensional bond-Mternative XXZ model are investigated by the infinite time-evolving block decimation （iTEBD） method. The bond-alternative effects on its ground-state phase diagram are discussed in detail. Once the bond alternation is taken into account, the antiferromagnetic phase （△ 〉 1） will be destroyed at a given critical point and change into a disordered phase without nonlocal string order. The QPT is shown to be second-order, and the whole phase diagram is provided. For the ferromagnetic phase region （△ 〈 --1）, the critical point re always equals 1 （independent of △）, and the QPT for this case is shown to be first-order. The dimerized Heisenberg model is also discussed, and two disordered phases can be distinguished by with or without nonlocal string orders. Both the bipartite entanglement and the fidelity per site, as two kinds of model-independent measures, are capable of describing all the QPTs in such a quantum model.展开更多
The bond dilution effects are investigated for the spin-1 Blume-Capel model on the Bethe lattice by using the exact recursion relations. The bilinear interaction parameter is either turned on ferromagnetically with pr...The bond dilution effects are investigated for the spin-1 Blume-Capel model on the Bethe lattice by using the exact recursion relations. The bilinear interaction parameter is either turned on ferromagnetically with probability p or turned off with probability 1 - p between the nearest-neighbor spins. The thermal variations of the order-parameters are studied in detail to obtain the phase diagrams on the possible planes spanned by the temperature （T）, probability （p） and crystal field （D） for the coordination numbers q = 3, 4, and 6. The lines of the second-order phase transitions, To-lines, combined with the first-order ones, Tt-lines, at the tricritical points （TCP） are always found for any p and q on the （T, D）-planes. It is also found that the model gives only Tc-lines, To-lines combined with the Tt-lines at the TCP＇s and only Tt-lines with the consecutively decreasing values of D on the （T, p）-planes for aJ1 q.展开更多
基金Project supported by the Key Project of Shanghai Municipal Commission of Science and Technology(Grant No.03JC14050)
文摘Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.
基金supported by the National Natural Science Foundation of China under Grant Nos.71171012and 70901019Humanity and Social Science Foundation of Ministry of Education of China under Grant No.14YJA790075
文摘This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.
文摘A multi-scale virtual internal bond (VIB) model for the isotropic materials has been recently proposed to describe the material deformation and fracturing. During the simulation process of material fracturing using VIB, the fracture criterion is directly built into the constitutive formulation of the material using the cohesive force law. Enlightened by the similarity of the damage constitutive model of rock under uniaxial compression and the cohesive force law of VIB, a VIB density function of rock under uniaxial compression is suggested. The elastic modulus tensor is formulated on the basis of the density function. Thus the complete deformation process of rock under the uniaxial compression is simulated.
基金Supported by the National Science Foundation of China under Grant No.11074004Supported by the National Basic Research Program of China under Grant No.2009CB939901
文摘The ground-state properties and quantum phase transitions （ QPTs） of the one-dimensional bond-Mternative XXZ model are investigated by the infinite time-evolving block decimation （iTEBD） method. The bond-alternative effects on its ground-state phase diagram are discussed in detail. Once the bond alternation is taken into account, the antiferromagnetic phase （△ 〉 1） will be destroyed at a given critical point and change into a disordered phase without nonlocal string order. The QPT is shown to be second-order, and the whole phase diagram is provided. For the ferromagnetic phase region （△ 〈 --1）, the critical point re always equals 1 （independent of △）, and the QPT for this case is shown to be first-order. The dimerized Heisenberg model is also discussed, and two disordered phases can be distinguished by with or without nonlocal string orders. Both the bipartite entanglement and the fidelity per site, as two kinds of model-independent measures, are capable of describing all the QPTs in such a quantum model.
文摘The bond dilution effects are investigated for the spin-1 Blume-Capel model on the Bethe lattice by using the exact recursion relations. The bilinear interaction parameter is either turned on ferromagnetically with probability p or turned off with probability 1 - p between the nearest-neighbor spins. The thermal variations of the order-parameters are studied in detail to obtain the phase diagrams on the possible planes spanned by the temperature （T）, probability （p） and crystal field （D） for the coordination numbers q = 3, 4, and 6. The lines of the second-order phase transitions, To-lines, combined with the first-order ones, Tt-lines, at the tricritical points （TCP） are always found for any p and q on the （T, D）-planes. It is also found that the model gives only Tc-lines, To-lines combined with the Tt-lines at the TCP＇s and only Tt-lines with the consecutively decreasing values of D on the （T, p）-planes for aJ1 q.
