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.

New Mathematical Model Based on Affine ransformation for Remote Sensing Image with High Resolution

This paper calculates the parameters of image position and orientation,proposes a mathematical model and adopts a new method with three steps of transformations based on parallel ray projection.Every step of the model is strict,and the map function of each transformation is the first order polynomials and other simple function.The final calculation of the parameters is for the linear equations with good status.As a result,the problem of the relativity of image parameter calculation is solved completely.Some experiments are carried out.

A revised jump-diffusion and rotation-diffusion model

Quasi-elastic neutron scattering(QENS) has many applications that are directly related to the development of highperformance functional materials and biological macromolecules, especially those containing some water. The analysis method of QENS spectra data is important to obtain parameters that can explain the structure of materials and the dynamics of water. In this paper, we present a revised jump-diffusion and rotation-diffusion model(rJRM) used for QENS spectra data analysis. By the rJRM, the QENS spectra from a pure magnesium-silicate-hydrate(MSH) sample are fitted well for the Q range from 0.3 ^(-1) to 1.9 ^(-1) and temperatures from 210 K up to 280 K. The fitted parameters can be divided into two kinds. The first kind describes the structure of the MSH sample, including the ratio of immobile water(or bound water) C and the confining radius of mobile water a_0. The second kind describes the dynamics of confined water in pores contained in the MSH sample, including the translational diffusion coefficient Dt, the average translational residence timeτ0, the rotational diffusion coefficient D_r, and the mean squared displacement(MSD) u^2. The r JRM is a new practical method suitable to fit QENS spectra from porous materials, where hydrogen atoms appear in both solid and liquid phases.

Multiple Model Soft Sensor Based on Affinity Propagation, Gaussian Process and Bayesian Committee Machine

Presented is a multiple model soft sensing method based on Affinity Propagation （AP）, Gaussian process （GP） and Bayesian committee machine （BCM）. AP clustering arithmetic is used to cluster training samples according to their operating points. Then, the sub-models are estimated by Gaussian Process Regression （GPR）. Finally, in order to get a global probabilistic prediction, Bayesian committee mactnne is used to combine the outputs of the sub-estimators. The proposed method has been applied to predict the light naphtha end point in hydrocracker fractionators. Practical applications indicate that it is useful for the online prediction of quality monitoring in chemical processes.

基于Affine强度的一般Poisson损失动态模型

首先介绍了GPL动态模型,然后引入Affine过程的概念,讨论随机强度是Affine过程时的GPL模型,并进一步讨论了如何求出随机过程的损失密度,从而得出CDO债券的价格.

3D Model Retrieval Method Based on Affinity Propagation Clustering

In order to improve the accuracy and efficiency of 3D model retrieval,the method based on affinity propagation clustering algorithm is proposed. Firstly,projection ray-based method is proposed to improve the feature extraction efficiency of 3D models. Based on the relationship between model and its projection,the intersection in 3D space is transformed into intersection in 2D space,which reduces the number of intersection and improves the efficiency of the extraction algorithm. In feature extraction,multi-layer spheres method is analyzed. The two-layer spheres method makes the feature vector more accurate and improves retrieval precision. Secondly,Semi-supervised Affinity Propagation ( S-AP) clustering is utilized because it can be applied to different cluster structures. The S-AP algorithm is adopted to find the center models and then the center model collection is built. During retrieval process,the collection is utilized to classify the query model into corresponding model base and then the most similar model is retrieved in the model base. Finally,75 sample models from Princeton library are selected to do the experiment and then 36 models are used for retrieval test. The results validate that the proposed method outperforms the original method and the retrieval precision and recall ratios are improved effectively.

High-frequency acoustic backscattering characteristics for acoustic detection of the red tide species Akashiwo sanguinea and Alexandrium affine

Harmful algal blooms (HABs), caused by the overgrowth of certain phytoplankton species, have negative effects on marine environments and coastal fisheries. In addition to cell-counting methods using phytoplankton nets, a hydroacoustic technique based on acoustic backscattering has been proposed for the detection of phytoplankton blooms. However, little is known of the acoustic properties of HAB species. In this study, as essential data to support this technique, we measured the acoustic properties of two HAB species, Akashiwo sanguinea and Alexandrium affine, which occur in the South Sea off the coast of Korea. Due to the small size of the target, we used ultrasound for the measurements. Experiments were conducted under laboratory and field conditions. In the laboratory experiment, the acoustic signal received from each species was directly proportional to the cell abundance. We derived a relationship between the cell abundance and acoustic signal received for each species. The measured signals were compared to predictions of a fluid sphere scattering model. When A. sanguinea blooms appeared at an abundance greater than 3 500 cells/mL, the acoustic signals varied with cell abundance, showing a good correlation. These results confirm that acoustic measurements can be used to detect HAB species.

基于affine类时频分析的旋回性薄互层时频特征影响因素分析

affine类时频分析方法具有模糊瞬时频谱变化细节,突出主要频率变化趋势的特点,具有较好的旋回判别能力,因而被学者用于旋回性薄互层类型判别当中,研究发现,旋回性薄互层时域波形均有向薄层方向波形密集,厚层方向波形稀疏的特点,但其稳定性差,易受外界干扰影响。由仿射类时频分布得到的时频谱与沉积旋回模式具有一一对应关系,不同模式旋回薄互层均有向层厚减薄方向的升频特点,目前关于旋回性薄互层时频特征影响因素的研究很少,厘清这些因素对旋回判断准则的影响有重要的意义。基于以上考虑,本文以正旋回模型为基础,从小层厚度突变、波阻抗大小、噪声影响、地震资料主频大小、地层黏性吸收作用等5个方面对旋回判别的影响进行了探讨。首先根据波动理论,利用深度域相移法对不同影响因素条件的旋回性薄互层进行正演模拟,分别抽取零偏移距道集进行仿射类时频分析,对比理想情况的旋回性薄互层时频特征差异。结果表明:仿射类时频分布判别沉积旋回抗噪能力强,受薄互层中小层厚度轻微突变的影响小;波阻抗的变化主要影响时频谱时间方向能量分布,对频率方向能量分布影响甚微;地震资料主频变化对时频特征的影响较小,随着地震资料主频的增加,旋回的趋势更加明显;地层黏性吸收作用对该方法判别的准确度影响也较小,时频特征稳定。

Dual-stage Optimal Iterative Learning Control for Nonlinear Non-affine Discrete-time Systems

根据沿着重复轴的一种新动态 linearization 技术，双阶段的最佳的反复的学习控制为非线性、非仿射的分离时间的系统被介绍。双阶段显示二个最佳的学习阶段分别地被设计反复地改进控制输入顺序和学习获得。主要特征是控制器设计和集中分析仅仅取决于动态系统的 I/O 数据。换句话说，没有知道系统的任何另外的知识，我们能容易选择控制参数。模拟学习沿着重复轴说明介绍方法的几何集中，在哪个马路的一个例子控制为它的内在的工程重要性是引人注目的交通反复的学习。

Output Feedback Control of Discrete-Time T-S Fuzzy Affine Systems Using Quantized Measurements

This paper investigates the problem of robust H!fixed-order dynamic output feedback( DOF)controller design for a class of Takagi-Sugeno( T-S) fuzzy affine systems using quantized measurements.Through a state-input augmentation method,some sufficient conditions for controller synthesis are developed based upon piecewise quadratic Lyapunov functions( PQLFs) in terms of LMIs. Two illustrative studies are conducted to verify the effectiveness of the proposed controller synthesis approach.

Dividend Maximization when Cash Reserves Follow a Jump-diffusion Process

This paper deals with the dividend optimization problem for an insurance company, whose surplus follows a jump-diffusion process. The objective of the company is to maximize the expected total discounted dividends paid out until the time of ruin. Under concavity assumption on the optimal value function, the paper states some general properties and, in particular, smoothness results on the optimal value function, whose analysis mainly relies on viscosity solutions of the associated Hamilton-Jacobi-Bellman （HJB） equations. Based on these properties, the explicit expression of the optimal value function is obtained. And some numerical calculations are presented as the application of the results.

Solving Major Problems Using Vector Affine Quantization

Affine quantization is a parallel procedure to canonical quantization, which is ideally suited to deal with special problems. Vector affine quantization introduces multiple degrees of freedom which find that working together creates novel tools suitable to eliminate typical difficulties encountered in more conventional approaches.

Vector Affine Quantization Can Create Valid Quantum Field Theories

Affine quantization, a parallel procedure to canonical quantization, needs to use its principal quantum operators, specifically D = (PQ+QP)/2 and Q ≠ 0, to represent appropriate kinetic factors, such as P2, which involves only one canonical quantum operator. The need for this requirement stems from path integral quantizations of selected problems that affine quantization can solve but canonical quantization fails to solve. This task is resolved for simple examples, as well as examples that involve scalar, and vector, quantum field theories.

Adsorption and Step Elution of Urokinase Using Affinity Chromatography-Comparison of Data with Rate Model Simulation

A non-equilibrium chromatographic rate model was employed to simulate the affinity chromatography of urokinase. The chromatography process was developed to a yield of high purity product of urokinase from crude materials. The affinity gel used in the process was prepared by an epichlorohydrin-activation method using epichlorohydrin activated Sepharose 4B as a matrix and p-aminobenzamidine as a ligand. The chromatographic process were numerically simulated and analyzed with the aid of VERSE-LC computer simulator. Considering the basic principles, rate model with the back mixing in column inlet was utilized in simulating and studying the effect of the column inlet pattern on other parameters. Comparison of the simulation results with the experimental data showed that the rate model can be used to describe the affinity chromatography of urokinase in a fixed bed column with satisfactory accuracy.

Method and Progress of the Research on Virus Affinity Peptide

With the continuous progress on affinity peptide research, it has become more and more popular in pharmacology and medicine. lt is promising to study these viruses affinity peptide to treat infectious diseases. And the analysis on the virus affinity peptide with high selectivity and high sensitivity could provide valuable means for disease detection, treatment as wel as the study on the molecular mechanism of virus affinity peptide. Therefore, we reviewed the bioinformatics pre-diction technologies of computer simulation, molecular docking and homology model-ing, as wel as the research method on analyzing and screening virus affinity pep-tide, such as Phage display technology.

Experimental and modeling study of kinetics for methane hydrate formation in a crude oil-in-water emulsion

A low-viscosity emulsion of crude oil in water can be believed to be the bulk of a flow regime in a pipeline.To differentiate which crude oil would and which would not counter the blockage of flow due to gas hydrate formation in flow channels,varying amount of crude oil in water emulsion without any other extraneous additives has undergone methane gas hydrate formation in an autoclave cell.Crude oil was able to thermodynamically inhibit the gas hydrate formation as observed from its hydrate stability zone.The normalized rate of hydrate formation in the emulsion has been calculated from an illustrative chemical affinity model,which showed a decrease in the methane consumption（decreased normalized rate constant） with an increase in the oil content in the emulsion.Fourier transform infrared spectroscopy（FTIR） of the emulsion and characteristic properties of the crude oil have been used to find the chemical component that could be pivotal in selfinhibitory characteristic of the crude oil collected from Ankleshwar,India,against a situation of clogged flow due to formation of gas hydrate and establish flow assurance.

Adaptive spectral affinity propagation clustering

Affinity propagation(AP)is a classic clustering algorithm.To improve the classical AP algorithms,we propose a clustering algorithm namely,adaptive spectral affinity propagation(AdaSAP).In particular,we discuss why AP is not suitable for non-spherical clusters and present a unifying view of nine famous arbitrary-shaped clustering algorithms.We propose a strategy of extending AP in non-spherical clustering by constructing category similarity of objects.Leveraging the monotonicity that the clusters’number increases with the self-similarity in AP,we propose a model selection procedure that can determine the number of clusters adaptively.For the parameters introduced by extending AP in non-spherical clustering,we provide a grid-evolving strategy to optimize them automatically.The effectiveness of AdaSAP is evaluated by experiments on both synthetic datasets and real-world clustering tasks.Experimental results validate that the superiority of AdaSAP over benchmark algorithms like the classical AP and spectral clustering algorithms.

Metal affinities in single and multiple ion adsorption reaction at sulfide mineral surfaces

Sulfide minerals are found in porous media in both aerobic and anaerobic environments, they should have a high affinities for certain metals. The relative binding affinities and reaction processes for 10 metal/metalloid ions reacting with four sulfide mineral surfaces has been defined.The order of reactivity is chalcocite > pyrite > galena >> sphalerite. For any particular metal and mineral, the greater reactivity occurs in the single-ion metal system except Ag(I) on pyrite and Cu(II) on galena.Both precipitation and adsorption reaction can decrease metal ion mobility on porous media, the order of metal mobility in the presence of the four sulfide minerals is predicted to be: Zn(II), Cd(II) and Ni(II) - mobile; Cu(II), Pb(II), Fe(III), As(III) and Cr(III) - variable mobility and Ag(I) - immobile.MINTEQA1 predictions on metal phase distribution / partitioning compared quite well with those observed experimentally. Solubility product considerations, intrinsic acidity constant of the mineral, EH, pH and the carbonate equilibrium are major factors controlling the phase distribution of metals reacting singularly or in combination with sulfide mineral surfaces.