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.

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.

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

用 Fourier 倒置变换， P.D.E 和 Feynman-Kac 公式，电话选择在双 exponentialjump 散开被给的欧洲人上的价格的 theclosed 形式答案与在那里存在的二不同市场结构风险当模特儿股票回来和 Vasicek 或 CIR 的 CIR 随机的轻快随机的利率在市场上。最后，在纸的模型的结果与在另外的模型的那些相比，包括有数字实验的 BS 模型。双指数的跳跃散开模型 withCIR 市场结构冒的风险的这些结果表演对建模合适真实市场的变化并且很有用。

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.

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。

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。

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.

Background removal from global auroral images:Data-driven dayglow modeling

Global images of auroras obtained by cameras on spacecraft are a key tool for studying the near-Earth environment.However,the cameras are sensitive not only to auroral emissions produced by precipitating particles,but also to dayglow emissions produced by photoelectrons induced by sunlight.Nightglow emissions and scattered sunlight can contribute to the background signal.To fully utilize such images in space science,background contamination must be removed to isolate the auroral signal.Here we outline a data-driven approach to modeling the background intensity in multiple images by formulating linear inverse problems based on B-splines and spherical harmonics.The approach is robust,flexible,and iteratively deselects outliers,such as auroral emissions.The final model is smooth across the terminator and accounts for slow temporal variations and large-scale asymmetries in the dayglow.We demonstrate the model by using the three far ultraviolet cameras on the Imager for Magnetopause-to-Aurora Global Exploration(IMAGE)mission.The method can be applied to historical missions and is relevant for upcoming missions,such as the Solar wind Magnetosphere Ionosphere Link Explorer(SMILE)mission.

Fractal Fractional Order Operators in Computational Techniques for Mathematical Models in Epidemiology

New fractional operators, the COVID-19 model has been studied in this paper. By using different numericaltechniques and the time fractional parameters, the mechanical characteristics of the fractional order model areidentified. The uniqueness and existence have been established. Themodel’sUlam-Hyers stability analysis has beenfound. In order to justify the theoretical results, numerical simulations are carried out for the presented methodin the range of fractional order to show the implications of fractional and fractal orders.We applied very effectivenumerical techniques to obtain the solutions of themodel and simulations. Also, we present conditions of existencefor a solution to the proposed epidemicmodel and to calculate the reproduction number in certain state conditionsof the analyzed dynamic system. COVID-19 fractional order model for the case of Wuhan, China, is offered foranalysis with simulations in order to determine the possible efficacy of Coronavirus disease transmission in theCommunity. For this reason, we employed the COVID-19 fractal fractional derivative model in the example ofWuhan, China, with the given beginning conditions. In conclusion, again the mathematical models with fractionaloperators can facilitate the improvement of decision-making for measures to be taken in the management of anepidemic situation.

Construction of a Computational Scheme for the Fuzzy HIV/AIDS Epidemic Model with a Nonlinear Saturated Incidence Rate

This work aimed to construct an epidemic model with fuzzy parameters.Since the classical epidemic model doesnot elaborate on the successful interaction of susceptible and infective people,the constructed fuzzy epidemicmodel discusses the more detailed versions of the interactions between infective and susceptible people.Thenext-generation matrix approach is employed to find the reproduction number of a deterministic model.Thesensitivity analysis and local stability analysis of the systemare also provided.For solving the fuzzy epidemic model,a numerical scheme is constructed which consists of three time levels.The numerical scheme has an advantage overthe existing forward Euler scheme for determining the conditions of getting the positive solution.The establishedscheme also has an advantage over existing non-standard finite difference methods in terms of order of accuracy.The stability of the scheme for the considered fuzzy model is also provided.From the plotted results,it can beobserved that susceptible people decay by rising interaction parameters.

Use of machine learning models for the prognostication of liver transplantation: A systematic review

BACKGROUND Liver transplantation(LT)is a life-saving intervention for patients with end-stage liver disease.However,the equitable allocation of scarce donor organs remains a formidable challenge.Prognostic tools are pivotal in identifying the most suitable transplant candidates.Traditionally,scoring systems like the model for end-stage liver disease have been instrumental in this process.Nevertheless,the landscape of prognostication is undergoing a transformation with the integration of machine learning(ML)and artificial intelligence models.AIM To assess the utility of ML models in prognostication for LT,comparing their performance and reliability to established traditional scoring systems.METHODS Following the Preferred Reporting Items for Systematic Reviews and Meta-Analysis guidelines,we conducted a thorough and standardized literature search using the PubMed/MEDLINE database.Our search imposed no restrictions on publication year,age,or gender.Exclusion criteria encompassed non-English studies,review articles,case reports,conference papers,studies with missing data,or those exhibiting evident methodological flaws.RESULTS Our search yielded a total of 64 articles,with 23 meeting the inclusion criteria.Among the selected studies,60.8%originated from the United States and China combined.Only one pediatric study met the criteria.Notably,91%of the studies were published within the past five years.ML models consistently demonstrated satisfactory to excellent area under the receiver operating characteristic curve values(ranging from 0.6 to 1)across all studies,surpassing the performance of traditional scoring systems.Random forest exhibited superior predictive capabilities for 90-d mortality following LT,sepsis,and acute kidney injury(AKI).In contrast,gradient boosting excelled in predicting the risk of graft-versus-host disease,pneumonia,and AKI.CONCLUSION This study underscores the potential of ML models in guiding decisions related to allograft allocation and LT,marking a significant evolution in the field of prognostication.

Novel Investigation of Stochastic Fractional Differential Equations Measles Model via the White Noise and Global Derivative Operator Depending on Mittag-Leffler Kernel

Because of the features involved with their varied kernels,differential operators relying on convolution formulations have been acknowledged as effective mathematical resources for modeling real-world issues.In this paper,we constructed a stochastic fractional framework of measles spreading mechanisms with dual medication immunization considering the exponential decay and Mittag-Leffler kernels.In this approach,the overall population was separated into five cohorts.Furthermore,the descriptive behavior of the system was investigated,including prerequisites for the positivity of solutions,invariant domain of the solution,presence and stability of equilibrium points,and sensitivity analysis.We included a stochastic element in every cohort and employed linear growth and Lipschitz criteria to show the existence and uniqueness of solutions.Several numerical simulations for various fractional orders and randomization intensities are illustrated.

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.

Progressive fragmentation of granular assemblies within rockslides: Insights from discrete-continuous numerical modeling

Rock fragmentation plays a critical role in rock avalanches,yet conventional approaches such as classical granular flow models or the bonded particle model have limitations in accurately characterizing the progressive disintegration and kinematics of multi-deformable rock blocks during rockslides.The present study proposes a discrete-continuous numerical model,based on a cohesive zone model,to explicitly incorporate the progressive fragmentation and intricate interparticle interactions inherent in rockslides.Breakable rock granular assemblies are released along an inclined plane and flow onto a horizontal plane.The numerical scenarios are established to incorporate variations in slope angle,initial height,friction coefficient,and particle number.The evolutions of fragmentation,kinematic,runout and depositional characteristics are quantitatively analyzed and compared with experimental and field data.A positive linear relationship between the equivalent friction coefficient and the apparent friction coefficient is identified.In general,the granular mass predominantly exhibits characteristics of a dense granular flow,with the Savage number exhibiting a decreasing trend as the volume of mass increases.The process of particle breakage gradually occurs in a bottom-up manner,leading to a significant increase in the angular velocities of the rock blocks with increasing depth.The simulation results reproduce the field observations of inverse grading and source stratigraphy preservation in the deposit.We propose a disintegration index that incorporates factors such as drop height,rock mass volume,and rock strength.Our findings demonstrate a consistent linear relationship between this index and the fragmentation degree in all tested scenarios.

PAL-BERT:An Improved Question Answering Model

In the field of natural language processing(NLP),there have been various pre-training language models in recent years,with question answering systems gaining significant attention.However,as algorithms,data,and computing power advance,the issue of increasingly larger models and a growing number of parameters has surfaced.Consequently,model training has become more costly and less efficient.To enhance the efficiency and accuracy of the training process while reducing themodel volume,this paper proposes a first-order pruningmodel PAL-BERT based on the ALBERT model according to the characteristics of question-answering(QA)system and language model.Firstly,a first-order network pruning method based on the ALBERT model is designed,and the PAL-BERT model is formed.Then,the parameter optimization strategy of the PAL-BERT model is formulated,and the Mish function was used as an activation function instead of ReLU to improve the performance.Finally,after comparison experiments with traditional deep learning models TextCNN and BiLSTM,it is confirmed that PALBERT is a pruning model compression method that can significantly reduce training time and optimize training efficiency.Compared with traditional models,PAL-BERT significantly improves the NLP task’s performance.

An improved interval model updating method via adaptive Kriging models

Interval model updating(IMU)methods have been widely used in uncertain model updating due to their low requirements for sample data.However,the surrogate model in IMU methods mostly adopts the one-time construction method.This makes the accuracy of the surrogate model highly dependent on the experience of users and affects the accuracy of IMU methods.Therefore,an improved IMU method via the adaptive Kriging models is proposed.This method transforms the objective function of the IMU problem into two deterministic global optimization problems about the upper bound and the interval diameter through universal grey numbers.These optimization problems are addressed through the adaptive Kriging models and the particle swarm optimization(PSO)method to quantify the uncertain parameters,and the IMU is accomplished.During the construction of these adaptive Kriging models,the sample space is gridded according to sensitivity information.Local sampling is then performed in key subspaces based on the maximum mean square error(MMSE)criterion.The interval division coefficient and random sampling coefficient are adaptively adjusted without human interference until the model meets accuracy requirements.The effectiveness of the proposed method is demonstrated by a numerical example of a three-degree-of-freedom mass-spring system and an experimental example of a butted cylindrical shell.The results show that the updated results of the interval model are in good agreement with the experimental results.

基于24Model与csQCA的煤矿安全事故组态构型

煤矿安全事故对人身安全和周围环境构成严重威胁。为研究煤矿安全事故的致因因素构型,通过搜集、筛选出数据真实且事故原因明确的26起典型煤矿安全事故案例,利用24Model事故致因模型,从不安全行为、不安全物态、习惯性行为、安全管理体系以及安全文化5个维度提取煤矿安全事故致因因素,并通过清晰集定性比较分析(csQCA)方法对煤矿安全事故致因因素的组态构型进行了分析。结果表明:采用24Model与csQCA相结合的方法分析煤矿安全事故的组态构型,能够说明煤矿安全事故致因因素与事故之间存在多重并发因果关系,并存在6种典型的组态构型,可归纳为煤矿单位管理不严型、企业安全文化建设缺失型、工作人员安全意识淡薄型、组织安全行为异化型。根据各种组态构型的特点剖析煤矿安全事故的发生机制,可为煤矿安全生产和管理工作提供对策和建议,以保障煤矿行业安全和推动经济发展。