There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations.Here the authors investigate option pricers based on mixed Monte-Carlo partia...There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations.Here the authors investigate option pricers based on mixed Monte-Carlo partial differential solvers for stochastic volatility models such as Heston's.It is found that orders of magnitude in speed are gained on full Monte-Carlo algorithms by solving all equations but one by a Monte-Carlo method,and pricing the underlying asset by a partial differential equation with random coefficients,derived by Ito calculus.This strategy is investigated for vanilla options,barrier options and American options with stochastic volatilities and jumps optionally.展开更多
We investigate the stability of steady states of a size- and stage-structured population model, which is a hybrid system of ordinary and partial differential equations with global integral feedbacks. After the formula...We investigate the stability of steady states of a size- and stage-structured population model, which is a hybrid system of ordinary and partial differential equations with global integral feedbacks. After the formulation of a criterion by spectrum method, we derive conditions for global stability of the trivial state and local stability of the positive equilibrium via the basic reproduction rate. Furthermore, some examples and simulations ure .presented to illustrate the obtained results.展开更多
Continuum discretised coupled-channels （CDCC） method with a 10Be（0＋） ＋ n two-body cluster model is applied to systematically analyze the elastic scattering of the halo nucleus alBe from the proton target at vari...Continuum discretised coupled-channels （CDCC） method with a 10Be（0＋） ＋ n two-body cluster model is applied to systematically analyze the elastic scattering of the halo nucleus alBe from the proton target at various incident energies below 100 MeV/nucleon. Using the renormalized 10Be-p potential deduced from the 10Be ＋ p elastic scattering data, the differential cross sections of 11 Be ＋ p scattering are well reproduced by the CDCC calculations without any further adjustment parameters, demonstrating the applicability of this approach for describing the scattering of exotic nuclei based on the scattering of the less exotic core nuclei.展开更多
文摘There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations.Here the authors investigate option pricers based on mixed Monte-Carlo partial differential solvers for stochastic volatility models such as Heston's.It is found that orders of magnitude in speed are gained on full Monte-Carlo algorithms by solving all equations but one by a Monte-Carlo method,and pricing the underlying asset by a partial differential equation with random coefficients,derived by Ito calculus.This strategy is investigated for vanilla options,barrier options and American options with stochastic volatilities and jumps optionally.
文摘We investigate the stability of steady states of a size- and stage-structured population model, which is a hybrid system of ordinary and partial differential equations with global integral feedbacks. After the formulation of a criterion by spectrum method, we derive conditions for global stability of the trivial state and local stability of the positive equilibrium via the basic reproduction rate. Furthermore, some examples and simulations ure .presented to illustrate the obtained results.
基金the National Basic Research Program of China(Grant No.2013CB834402)the National Natural Science Foundation of China(Grant Nos.11275001,10905002,11275011,11275018,and 11035001)China Postdoctoral Science Foundation(Grant No.20100470133)
文摘Continuum discretised coupled-channels （CDCC） method with a 10Be（0＋） ＋ n two-body cluster model is applied to systematically analyze the elastic scattering of the halo nucleus alBe from the proton target at various incident energies below 100 MeV/nucleon. Using the renormalized 10Be-p potential deduced from the 10Be ＋ p elastic scattering data, the differential cross sections of 11 Be ＋ p scattering are well reproduced by the CDCC calculations without any further adjustment parameters, demonstrating the applicability of this approach for describing the scattering of exotic nuclei based on the scattering of the less exotic core nuclei.
