Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

Modeling the Spatio-Temporal Dynamics of Local Context for a Contextualized Diffusion of Agroecological Intensification Options in Niger

Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view to sustainable development. The territorial scale of municipalities is not sufficient for this necessary contextualization;the scale of the “village terroir” seems to be a better option. This is the hypothesis we put forward in the framework of the Global Collaboration for Resilient Food Systems program (CRFS), i.e. local context is spatially defined by village terroir. The study is based on data collected through participatory mapping and surveys in “village terroirs” in three regions of Niger (Maradi, Dosso and Tillabéri). Then the links between farm managers and their cultivated land, as well as the spatio-temporal dynamics of local context are analyzed. This study provides evidence of the existence and functional usefulness of the village terroir for farmers, their land management and their activities. It demonstrates the usefulness of contextualizing agricultural options at this scale. Their analysis elucidates the links between “terroirs village” and the specific functioning of the agrosocio-ecosystems acting on each of them, thus laying the systemic and geographical foundations for a model of the spatio- temporal dynamics of “village terroirs”. This initial work has opened up new perspectives in modeling and sustainable development.

Research on Value Evaluation Method of Investment Project Based on Fuzzy Composite Real Options

Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation methods like comparison,proportion,maturity,internal rate of return,scenario analysis,decision trees,and net present value cannot fully consider the uncertainty and stage characteristics of the project.The fuzzy real options method addresses this by combining real option theory,fuzzy number theory,and composite option theory to provide a more accurate and objective evaluation of Public-Private Partnership(PPP)projects.It effectively considers the interaction of options and the ambiguity of project parameters,making it a valuable tool for project evaluation in the context of venture capital investment.

基于TCP Options Address的客户端真实IP获取的设计与实现

在代理服务器场景下获取客户端的真实IP地址是非常常见的需求。但通常代理服务器会隐藏客户端的真实IP地址,这对真实IP地址的获取增加了困难。当前一些应用层协议,例如HTTP协议、Proxy protocol协议可以实现客户端真实IP地址的获取,但都存在一些弊端,如都需要修改上游服务器的应用层程序。基于TCP Options Address,将数据包从内核态映射到用户态修改,不涉及上游服务器程序的变动,即可得到客户端真实IP地址。

基于并发Options的双边多议题协商模型优化

针对双边多议题协商中的僵局问题,提出利用并发Options优化协商模型的方法.这种方法可在不降低双边协商效用的前提下,并行动态优化与僵局议题相关的多个议题的保留值.电子商务的实验结果表明:基于并发Options的协商模型优化方法是有效的;无论是学习速度,还是最佳策略的优化程度和泛化能力,该方法均明显优于基于标准Options和Q-学习的优化方法.

一种融合Options与蚁群算法的虚拟机自适应配置方法

为了提高云环境的可靠性,对虚拟资源的管理是一个关键.针对虚拟机的自适应配置问题,提出一种分层强化学习Options和蚁群优化算法融合的方法 A-HRL.该方法记录蚂蚁遍历过程中留下的信息素,利用信息素变化率引入粗糙度概念,并根据粗糙度阈值创建子目标实现任务分层.将A-HRL算法应用于虚拟机自适应配置中,通过创建任务组和虚拟机可用性评估表监督每个任务的进度与质量,最大限度地提高每个应用的性能.实验结果表明,A-HRL算法比传统的强化学习算法性能更优.

On the Options of EFL Methodological Approaches

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弹性退休制度下谁更愿意延迟退休?——基于Option Value模型的微观模拟

人口老龄化背景下延迟退休年龄、建立弹性退休制度是大势所趋。养老金激励是弹性退休制度的重要内容。建立期权价值模型和养老金给付及奖惩因子模型,基于中国家庭收入调查项目(CHIP2018)的数据,对不同特征人群的养老金峰值、期权价值、内部报酬率进行模拟。研究发现:养老金总财富随退休年龄“先增后减”,男性的峰值年龄早于女性;引入养老金“奖惩”机制有助于提高最优退休年龄,激励劳动者延迟退休;考虑闲暇偏好的异质性,男性参保者更倾向于早退休,而女性参保者特别是女性较高收入群体更愿意延迟退休;厌恶风险的参保者更有可能选择早退休。建议尽早建立弹性退休年龄政策体系,增加劳动者的选择权和制度灵活性;引入精算调节因子构建养老金奖惩机制,完善养老保险待遇计发办法。

Treatment options for alcoholic and non-alcoholic fatty liver disease: A review

Alcoholic liver disease(ALD)and non-alcoholic fatty liver disease(NAFLD)are serious health problems worldwide.These two diseases have similar pathological spectra,ranging from simple steatosis to hepatitis to cirrhosis and hepatocellular carcinoma.Although most people with excessive alcohol or calorie intake display abnormal fat accumulation in the liver(simple steatosis),a small percentage develops progressive liver disease.Despite extensive research on understanding the pathophysiology of both these diseases there are still no targeted therapies available.The treatment for ALD remains as it was 50 years ago:abstinence,nutritional support and corticosteroids(or pentoxifylline as an alternative if steroids are contraindicated).As for NAFLD,the treatment modality is mainly directed toward weight loss and co-morbidity management.Therefore,new pathophysiology directed therapies are urgently needed.However,the involvement of several inter-related pathways in the pathogenesis of these diseases suggests that a single therapeutic agent is unlikely to be an effective treatment strategy.Hence,a combination therapy towards multiple targets would eventually be required.In this review,we delineate the treatment options in ALD and NAFLD,including various new targeted therapies that are currently under investigation.We hope that soon we will be having an effective multi-therapeutic regimen for each disease.

Mitigation Options for Methane, Nitrous Oxide and NitricOxide Emissions from Agricultural Ecosystems

An experimental study on mitigation of greenhouse gas (CH4, N2O and NO) emission has been conducted in a typical cropping system of Southeast China for 4 years. By simultaneous measurement, the CH4, N2O and NO emission fluxes from rice-wheat rotation fields, effects of fertilization, water management, temperature and soil moisture were investigated. Temperature, fertilization and water status were found to be the key factors to regulate CH4, N2O and NO emis-sions. Based on the experimental results, some agricultural measures were recommended as techni-cal options to mitigate greenhouse gas emissions from rice-wheat rotation ecosystems. These miti-gation measures are reducing mineral N input, coupling organic manure with chemical fertilizers, applying fertilizers which release available N slowly during periods with intensive plant activity, and applying dry fermented organic manure and well management of water and fertilizer. Key words Mitigation options - Emission - Greenhouse gases - Ecosystems This study was supported by projects “ Experimental and Modeling Study on N2O Emission from the Rice-Wheat Rotation Fields of Southeast China” and “ Experimental and Modeling Study on NO Emission from Croplands” , which were granted by the National Natural Science Foundation of China, the State Key Fundamental Research Project “ Predicting the Future (20–50 years) Trend of Environmental Change in China”, and the project of Chinese Academy of Sciences “ Theory and Methodology on Air Pollution Prediction”.Thanks are due to Professor Zhang Wen, Dr. Bai Jianhui, Mr. Gong Yanbang, Mrs. Luo Dongmei and Mr. Liu Guangren from the Institute of Atmospheric Physics, Chinese Academy of Sciences for their help in experiments.

Technological Options to Ameliorate Waste Treatment of Intensive Pig Production in China:An Analysis Based on Bio-Economic Model

Ameliorating waste treatment by technological improvements affects the economic and the ecological-environment benefits of intensive pig production. The objective of the research was to develop and test a method to determine the technical optimization to ameliorate waste treatment methods and gain insight into the relationship between technological options and the economic and ecological effects. We developed an integrated bio-economic model which incorporates the farming production and waste disposal systems to simulate the impact of technological improvements in pig manure treatment on economic and environmental benefits for the case of a pilot farm in Beijing, China. Based on different waste treatment technology options, three scenarios are applied for the simulation analysis of the model. The simulation results reveal that the economic-environmental benefits of the livestock farm could be improved by reducing the cropland manure application and increasing the composting production with the current technologies. Nevertheless, the technical efficiency, the waste treatment capacity and the economic benefits could be further improved by the introduction of new technologies. It implies that technological and economic support policies should be implemented comprehensively on waste disposal and resource utilization to promote sustainable development in intensive livestock production in China.

Economic evaluation of agricultural pollution control options for China

Environmental sustainability has become a policy priority in China. In agriculture, China has had major success in rehabilitating desertified lands through programs to convert steeply-sloped cropland to forest and limit grazing on sensitive grasslands. However, little has been done in terms of policies for agricultural nutrient management. Runoff and leaching of nutrients in chemical fertilizers and livestock manure are widely acknowledged as significant problems in China. This paper presents an evaluation of agricultural nonpoint pollution control options for China. Options analyzed include design standards（command ＆ control）, performance standards, and design and performance incentives. Evaluation criteria include economic efficiency and effectiveness, environmental impact and risk, and social criteria such as equity and food security. The evaluation indicates that the best options for China involve subsidies to farmers for changing production practices in order to reduce nonpoint emissions, combined with appropriate farmer education and technical assistance.

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.

New therapeutic options for persistent low-level viremia in patients with chronic hepatitis B virus infection:Increase of entecavir dosage

Chronic hepatitis B virus(HBV)infection(CHB)is a public health concern worldwide.Current therapies utilizing nucleos(t)ide analogs(NA)have not resulted in a complete cure for CHB.Furthermore,patients on long-term NA treatment often develop low-level viremia(LLV).Persistent LLV,in addition to causing the progression of liver disease or hepatocellular carcinoma,may shed light on the current plight of NA therapy.Here,we review the literature on LLV,NA treatment,and various doses of entecavir to find a strategy for improving the efficacy of this antiviral agent.For LLV patients,three therapeutic options are available,switching to another antiviral monotherapy,interferon-αswitching therapy,and continuing monotherapy.In real-world clinical practice,entecavir overdose has been used in antiviral therapy for CHB patients with NA refractory and persistent LLV,which encouraged us to conduct further in-depth literature survey on dosage and duration related entecavir studies.The studies of pharmacodynamics and pharmacokinetics show that entecavir has the maximal selected index for safety,and has great potential in inhibiting HBV replication,in all of the NAs.In the particular section of the drug approval package published by the United States Food and Drug Administration,entecavir doses 2.5-20 mg/d do not increase adverse events,and entecavir doses higher than 1.0 mg/d might improve the antiviral efficacy.The literature survey led us to two suggestions:(1)Increasing entecavir dose to 1.0 mg/d for the treatment of NA naïve patients with HBV DNA>2×106 IU/mL is feasible and would provide better prognosis;and(2)Further research is needed to assess the long-term toxic effects of higher entecavir doses(2.5 and 5.0 mg/d),which may prove beneficial in treating patients with prior NA treatment,partial virological response,or LLV state.

Investment in deepwater oil and gas exploration projects:a multi-factor analysis with a real options model

Deepwater oil and gas projects embody high risks from geology and engineering aspects, which exert substantial influence on project valuation. But the uncer- tainties may be converted to additional value to the projects in the case of flexible management. Given the flexibility of project management, this paper extends the classical real options model to a multi-factor model which contains oil price, geology, and engineering uncertainties. It then gives an application example of the new model to evaluate deepwater oil and gas projects with a numerical analytical method. Compared with other methods and models, this multi-factor real options model contains more project information. It reflects the potential value deriving not only from oil price variation but also from geology and engi- neering uncertainties, which provides more accurate and reliable valuation information for decision makers.

基于IUV_5G Option3X架构网络规划与部署设计

本文基于IUV_5G Option3X架构,详细阐述了5G网络的规划与部署设计过程。首先介绍了5G NSA组网架构的背景和优势,然后深入探讨了IUV_5G全网部署与优化虚拟仿真平台的功能和应用。重点描述了核心网、无线网和承载网的部署过程,包括设备部署、数据配置和线路连接等具体步骤。通过业务验证确认了网络部署的成功,并对5G技术的未来发展进行了展望。

Impacts of Chromium from Tannery Effluent and Evaluation of Alternative Treatment Options

The paper has focused on the challenges/impacts of tannery effluent and evaluates the alternative treatment options used to treat, recover or recycle chromium from the waste water. The paper was done entirely on secondary data by consulting literature sources including scientific journals, chapters of books, conference report papers and websites. The results of this review paper indicated that chromium is highly toxic and carcinogenic to human beings, animals, plants and the general environment (soil and water sediment). It is found out that chrome is the primary threat when ever tanning industry comes in to practice. Though many treatment options were evaluated to prevent its consequence on the environment, neither of them could achieve to treat or recover chrome 100%. Treatment options are either;inef-ficient, complicated, energy demanding, costly or applicable to a certain parts of the world due to technology or skilled man power demand. Therefore, to tackle this serious challenge stringent environmental regulation with law enforce-ment has to be exercised to use better treatment system which is widely applicable. Polluters must also know the envi-ronmental cost of their industry and treated according to polluter pay or precautionary principles. Moreover, the gen-eral public has to be aware of it and all concerned organizations and governments has to work hand in hand to reach zero discharge level or at least to attain the EPA chrome discharge

Random Timestepping Algorithm with Exponential Distribution for Pricing Various Structures of One-Sided Barrier Options

The exponentially-distributed random timestepping algorithm with boundary test is implemented to evaluate the prices of some variety of single one-sided barrier option contracts within the framework of Black-Scholes model, giving efficient estimation of their hitting times. It is numerically shown that this algorithm, as for the Brownian bridge technique, can improve the rate of weak convergence from order one-half for the standard Monte Carlo to order 1. The exponential timestepping algorithm, however, displays better results, for a given amount of CPU time, than the Brownian bridge technique as the step size becomes larger or the volatility grows up. This is due to the features of the exponential distribution which is more strongly peaked near the origin and has a higher kurtosis compared to the normal distribution, giving more stability of the exponential timestepping algorithm at large time steps and high levels of volatility.

Recognizing production options for pearl millet in Pakistan under changing climate scenarios

Climate change is making the lands a harsher environment all over the world including Pakistan. It is expected to oppose us with three main challenges： increase in temperature up to 2-5℃ （heat stress）, increasing water stress and severe malnourishment due to climate change. It has been foreseen that there will be a 10% increase of dryland areas with climate change in the world, with more variability and incidences of short periods of extreme events （drought and heat stress）. Pearl millet is a hardy, climate smart grain crop, idyllic for environments prone to drought and heat stresses. The crop continues to produce highly nutritious grain sustainably, thereby encouraging the fight against poverty and food insecurity due to its resilience. The crop is more responsive to good production options （planting time, planting density, inter/intra row spacing, nitrogen application and irrigation）. It has high crop growth rate, large leaf area index and high radiation use efficiency that confers its high potential yield. In most of the cases, pearl millet is remained our agricultural answer to the climate calamity that we are facing, because it is selected as water saving, drought tolerant and climate change complaint crop. In view of circumstances, pearl millet cultivation must be retrieved by recognizing production options in context to changing climate scenarios of Pakistan using crop modeling techniques.

PRICES OF ASIAN OPTIONS UNDER STOCHASTIC INTEREST RATES

Asian options are the popular second generation derivative products and embedded in many structured notes to enhance upside performance.The embedded options,as a result,usually have a long duration.The movement of interest rates becomes more important in pricing such long-dated options.In this paper,the pricing of Asian options under stochastic interest rates is studied.Assuming Hull and White model for the interest rates,a closed-form formula for geometric-average options is derived.As a by-product,pricing formula is also given for plan-vanilla options under stochastic interest rates.