A model for both stochastic jumps and volatility for equity returns in the area of option pricing is the stochastic volatility process with jumps (SVPJ). A major advantage of this model lies in the area of mean revers...A model for both stochastic jumps and volatility for equity returns in the area of option pricing is the stochastic volatility process with jumps (SVPJ). A major advantage of this model lies in the area of mean reversion and volatility clustering between returns and volatility with uphill movements in price asserts. Thus, in this article, we propose to solve the SVPJ model numerically through a discretized variational iteration method (DVIM) to obtain sample paths for the state variable and variance process at various timesteps and replications in order to estimate the expected jump times at various iterates resulting from executing the DVIM as n increases. These jumps help in estimating the degree of randomness in the financial market. It was observed that the average computed expected jump times for the state variable and variance process is moderated by the parameters (variance process through mean reversion), Θ (long-run mean of the variance process), σ (volatility variance process) and λ (constant intensity of the Poisson process) at each iterate. For instance, when = 0.0, Θ = 0.0, σ = 0.0 and λ = 1.0, the state variable cluttered maximally compared to the variance process with less volatility cluttering with an average computed expected jump times of 52.40607869 as n increases in the DVIM scheme. Similarly, when = 3.99, Θ = 0.014, σ = 0.27 and λ = 0.11, the stochastic jumps for the state variable are less cluttered compared to the variance process with maximum volatility cluttering as n increases in the DVIM scheme. In terms of option pricing, the value 52.40607869 suggest a better bargain compared to the value 20.40344029 due to the fact that it yields less volatility rate. MAPLE 18 software was used for all computations in this research.展开更多
To gain a deep insight into the hot drawing process of aluminum alloy sheet, simulations of cylindrical cup drawing at elevated temperatures were carried out with experimental validation. The influence of four importa...To gain a deep insight into the hot drawing process of aluminum alloy sheet, simulations of cylindrical cup drawing at elevated temperatures were carried out with experimental validation. The influence of four important process parameters, namely,punch velocity, blank holder force(BHF), friction coefficient and initial forming temperature of blank on drawing characteristics(i.e.minimum thickness and thickness deviation) was investigated with the help of design of experiments(DOE), analysis of variance(ANOVA) and analysis of mean(ANOM). Based on the results of ANOVA, it is shown that the blank holder force has the greatest influence on minimum thickness. The importance of punch velocity for thickness deviation is 44.35% followed by BHF of 24.88%,friction coefficient of 15.77% and initial forming temperature of blank of 14.995%. After determining the significance of each factor on forming characteristics, how the individual parameter affects characteristics was further analyzed by ANOM.展开更多
In order to improve the performance of line spectrum detection,according to the feature that the underwater target radiated noise containing stable line spectrum,the differences of the phase difference between line sp...In order to improve the performance of line spectrum detection,according to the feature that the underwater target radiated noise containing stable line spectrum,the differences of the phase difference between line spectrum and background noise,a weighted line spectrum detection algorithm based on the phase variance is proposed in frequency domain.After phase difference alignment,the phase variance of line spectrum and the phase of background noise,respectively,are small and big in frequency domain,this method utilizes the weighted statistical algorithm to cumulate the frequency spectrum based on the phase variance,which can restrain the background noise disturbance,and enhance the signal to noise ratio（SNR）.The theory analysis and experimental results both verify that the proposed method can well enhance the energy of line spectrum,restrain the energy of background noise,and have better detection performance under lower SNR.展开更多
By considering the failure of normal distribution and continuous assumption in financial modeling, this paper attempts to apply the Exponential Variance Gamma （EVG） model into the pricing framework of permanent conv...By considering the failure of normal distribution and continuous assumption in financial modeling, this paper attempts to apply the Exponential Variance Gamma （EVG） model into the pricing framework of permanent convertible bonds with call clause. Following framework of Gapeev ＆ Kiihn（2005）, we obtain an explicit solution to the bond price and optimal stopping strategies, which shows that the new pricing framework is quite different from the continuous model and even the Jump Diffusion model. Compared with the numerical calculation, the closed form results price convertible bonds quickly and accurately.展开更多
Matched field processing (MFP) is a generalized beamforming method which uses the spatial complexities of acoustic field in an ocean waveguide to localize sources in range, depth and azimuth or to infer parameters of ...Matched field processing (MFP) is a generalized beamforming method which uses the spatial complexities of acoustic field in an ocean waveguide to localize sources in range, depth and azimuth or to infer parameters of the waveguide itself. In the paper, we present simulated and experimental results on narrow-band point source localization in shallow water by the matched field processing of a vertical array. Range-depth ambiguity surfaces are obtained by the spatial correlation of the incident field (modeled or realistic) with a modeled replica of that field. The simulated results indicate that a high-quality ambiguity surface can be obtained in case of perfect match between the 'true' environmental parameters and those used to compute the replica field. The effects of mismatches result in a degraded ambiguity surface and incorrect localization. Examples of localizations obtained with real sea test data are presented. It is shown that the conventional methods have better robustness than the minimum variance distortionless response (MVDR) based method. By employing the reduced minimum variance beamforming (RMVB), we can also get better results.展开更多
文摘A model for both stochastic jumps and volatility for equity returns in the area of option pricing is the stochastic volatility process with jumps (SVPJ). A major advantage of this model lies in the area of mean reversion and volatility clustering between returns and volatility with uphill movements in price asserts. Thus, in this article, we propose to solve the SVPJ model numerically through a discretized variational iteration method (DVIM) to obtain sample paths for the state variable and variance process at various timesteps and replications in order to estimate the expected jump times at various iterates resulting from executing the DVIM as n increases. These jumps help in estimating the degree of randomness in the financial market. It was observed that the average computed expected jump times for the state variable and variance process is moderated by the parameters (variance process through mean reversion), Θ (long-run mean of the variance process), σ (volatility variance process) and λ (constant intensity of the Poisson process) at each iterate. For instance, when = 0.0, Θ = 0.0, σ = 0.0 and λ = 1.0, the state variable cluttered maximally compared to the variance process with less volatility cluttering with an average computed expected jump times of 52.40607869 as n increases in the DVIM scheme. Similarly, when = 3.99, Θ = 0.014, σ = 0.27 and λ = 0.11, the stochastic jumps for the state variable are less cluttered compared to the variance process with maximum volatility cluttering as n increases in the DVIM scheme. In terms of option pricing, the value 52.40607869 suggest a better bargain compared to the value 20.40344029 due to the fact that it yields less volatility rate. MAPLE 18 software was used for all computations in this research.
基金Project(2009ZX04014-074)supported by the National High Technology Research and Development Program of ChinaProject(20120006110017)supported by Doctoral Fund Program of Ministry of Education of ChinaProject(P2014-15)supported by State Key Laboratory of Materials Processing and Die & Mould Technology(Huazhong University of Science and Technology),China
文摘To gain a deep insight into the hot drawing process of aluminum alloy sheet, simulations of cylindrical cup drawing at elevated temperatures were carried out with experimental validation. The influence of four important process parameters, namely,punch velocity, blank holder force(BHF), friction coefficient and initial forming temperature of blank on drawing characteristics(i.e.minimum thickness and thickness deviation) was investigated with the help of design of experiments(DOE), analysis of variance(ANOVA) and analysis of mean(ANOM). Based on the results of ANOVA, it is shown that the blank holder force has the greatest influence on minimum thickness. The importance of punch velocity for thickness deviation is 44.35% followed by BHF of 24.88%,friction coefficient of 15.77% and initial forming temperature of blank of 14.995%. After determining the significance of each factor on forming characteristics, how the individual parameter affects characteristics was further analyzed by ANOM.
基金supported by the National Natural Science Foundation of China(61372180)the Young Talent Frontier Project of Institute of Acoustics of Chinese Academy of Sciences(Y454341261)
文摘In order to improve the performance of line spectrum detection,according to the feature that the underwater target radiated noise containing stable line spectrum,the differences of the phase difference between line spectrum and background noise,a weighted line spectrum detection algorithm based on the phase variance is proposed in frequency domain.After phase difference alignment,the phase variance of line spectrum and the phase of background noise,respectively,are small and big in frequency domain,this method utilizes the weighted statistical algorithm to cumulate the frequency spectrum based on the phase variance,which can restrain the background noise disturbance,and enhance the signal to noise ratio（SNR）.The theory analysis and experimental results both verify that the proposed method can well enhance the energy of line spectrum,restrain the energy of background noise,and have better detection performance under lower SNR.
基金Supported by the Key Grant Project of Chinese Ministry of Education (309018)National Natural Science Foundation of China (70973140, 11171304)Zhejiang Provincial Natural Science Foundation of China(Y6110023)
文摘By considering the failure of normal distribution and continuous assumption in financial modeling, this paper attempts to apply the Exponential Variance Gamma （EVG） model into the pricing framework of permanent convertible bonds with call clause. Following framework of Gapeev ＆ Kiihn（2005）, we obtain an explicit solution to the bond price and optimal stopping strategies, which shows that the new pricing framework is quite different from the continuous model and even the Jump Diffusion model. Compared with the numerical calculation, the closed form results price convertible bonds quickly and accurately.
文摘Matched field processing (MFP) is a generalized beamforming method which uses the spatial complexities of acoustic field in an ocean waveguide to localize sources in range, depth and azimuth or to infer parameters of the waveguide itself. In the paper, we present simulated and experimental results on narrow-band point source localization in shallow water by the matched field processing of a vertical array. Range-depth ambiguity surfaces are obtained by the spatial correlation of the incident field (modeled or realistic) with a modeled replica of that field. The simulated results indicate that a high-quality ambiguity surface can be obtained in case of perfect match between the 'true' environmental parameters and those used to compute the replica field. The effects of mismatches result in a degraded ambiguity surface and incorrect localization. Examples of localizations obtained with real sea test data are presented. It is shown that the conventional methods have better robustness than the minimum variance distortionless response (MVDR) based method. By employing the reduced minimum variance beamforming (RMVB), we can also get better results.
