INTRODUCTION Surface waves propagating along the seafloor are general ly called Scholte waves,and were first discovered and studied in the early 1950s(Kugler et al.,2005;Buchen and Ben-Hador,1996).Scholte waves exhibi...INTRODUCTION Surface waves propagating along the seafloor are general ly called Scholte waves,and were first discovered and studied in the early 1950s(Kugler et al.,2005;Buchen and Ben-Hador,1996).Scholte waves exhibit a dispersion phenomenon,which implies that their velocity varies with frequency.Low-frequency Scholte waves can propagate over long distances on the seabed with little attenuation(Bohlen et al.,2004).The particle mo tion of Scholte waves in a solid medium changes from a retro grade to a prograde ellipse(Klein et al.,2005;McMechan and Yedlin,1981).展开更多
The application of the eigenstate thermalization hypothesis to non-Hermitian quantum systems has become one of the most important topics in dissipative quantum chaos, recently giving rise to intense debates. The proce...The application of the eigenstate thermalization hypothesis to non-Hermitian quantum systems has become one of the most important topics in dissipative quantum chaos, recently giving rise to intense debates. The process of thermalization is intricate, involving many time-evolution trajectories in the reduced Hilbert space of the system. By considering two different expansion forms of the density matrices adopted in the biorthogonal and right-state time evolutions, we derive two versions of the Gorini–Kossakowski–Sudarshan–Lindblad(GKSL)master equations describing the non-Hermitian systems coupled to a bosonic heat bath in thermal equilibrium. By solving the equations, we identify a sufficient condition for thermalization under both time evolutions, resulting in Boltzmann biorthogonal and right-eigenstate statistics, respectively. This finding implies that the recently proposed biorthogonal random matrix theory needs an appropriate revision. Moreover, we exemplify the precise dynamics of thermalization and thermodynamic properties with test models.展开更多
1 Copyright Information For Authors Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that i...1 Copyright Information For Authors Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well astacitly or explicitly-by the responsible authorities at the institution where the work was carried out.展开更多
Although research on microplastics(MPs)interactions with other soil pollutants is increasingly becoming available,most studies do not consider risks to soil fertility or plant growth.This review aims:1)to summarize th...Although research on microplastics(MPs)interactions with other soil pollutants is increasingly becoming available,most studies do not consider risks to soil fertility or plant growth.This review aims:1)to summarize the results of current studies on interactions between MPs,heavy metals,and organic pollutants;and 2)subsequently evaluate risks to the soil-plant nexus.Available-literature shows that polypropylene,polyethylene and polylactic acid increase cadmium(Cd)bioavailability and subsequently reduce root growth.Such effects are not evident in sandy or clay soils due to the formation of CdCO3 and iron-oxide by altered bacterial communities that stabilize Cd contamination.Chronic instead of short-term exposure to polystyrene in copper(Cu)-polluted soils decreases crop yield.With coexistence of MPs and lead(Pb)in soil,the uptake of Pb in crops increases,causing altered malondialdehyde content and superoxide dismutase and guaiacol peroxidase activities.Moreover,co-toxicity of polystyrene or polytetrafluoroethylene with arsenic(As)decreases root biomass,photosynthesis rate and the chlorophyll-a content.In alkaline soil,polyvinyl-chloride could decrease the bioavailability of MeHg due to changes in the abundance of Proteobacteria,and Firmicutes.We also found strong interactions between MPs and organic pollutants.Polystyrene decreases negative impacts of sulfamethazine on bacterial diversity,and structure in soil.Polyethylene,polyvinyl-chloride and polystyrene have a strong adsorption capacity for 17β-estradiol.This implies that 17β-estradiol toxicity can be reduced by these MPs.At low concentrations,polyethylene,polypropylene,and polystyrene have low affinity to diazepam.In conclusion,serious ecological risks are associated with MPs and other pollutants'interactions to soil-plant system.展开更多
The close relationship between the English words and culture is analyzed in this article.Only by understanding the hidden cultural meanings in the English words,can college students truly have a good command of them a...The close relationship between the English words and culture is analyzed in this article.Only by understanding the hidden cultural meanings in the English words,can college students truly have a good command of them and can their communicative ability be improved.展开更多
The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style ...The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.展开更多
Modeling implied volatility(IV)is important for option pricing,hedging,and risk management.Previous studies of deterministic implied volatility functions(DIVFs)propose two parameters,moneyness and time to maturity,to ...Modeling implied volatility(IV)is important for option pricing,hedging,and risk management.Previous studies of deterministic implied volatility functions(DIVFs)propose two parameters,moneyness and time to maturity,to estimate implied volatility.Recent DIVF models have included factors such as a moving average ratio and relative bid-ask spread but fail to enhance modeling accuracy.The current study offers a generalized DIVF model by including a momentum indicator for the underlying asset using a relative strength index(RSI)covering multiple time resolutions as a factor,as momentum is often used by investors and speculators in their trading decisions,and in contrast to volatility,RSI can distinguish between bull and bear markets.To the best of our knowledge,prior studies have not included RSI as a predictive factor in modeling IV.Instead of using a simple linear regression as in previous studies,we use a machine learning regression algorithm,namely random forest,to model a nonlinear IV.Previous studies apply DVIF modeling to options on traditional financial assets,such as stock and foreign exchange markets.Here,we study options on the largest cryptocurrency,Bitcoin,which poses greater modeling challenges due to its extreme volatility and the fact that it is not as well studied as traditional financial assets.Recent Bitcoin option chain data were collected from a leading cryptocurrency option exchange over a four-month period for model development and validation.Our dataset includes short-maturity options with expiry in less than six days,as well as a full range of moneyness,both of which are often excluded in existing studies as prices for options with these characteristics are often highly volatile and pose challenges to model building.Our in-sample and out-sample results indicate that including our proposed momentum indicator significantly enhances the model’s accuracy in pricing options.The nonlinear machine learning random forest algorithm also performed better than a simple linear regression.Compared to prevailing option pricing models that employ stochastic variables,our DIVF model does not include stochastic factors but exhibits reasonably good performance.It is also easy to compute due to the availability of real-time RSIs.Our findings indicate our enhanced DIVF model offers significant improvements and may be an excellent alternative to existing option pricing models that are primarily stochastic in nature.展开更多
设l∈N,δ=k/p-k+1/2,以及<p<1.本文的主要结果是建立广义BochnerRiesz平均的核的某种分解: ((1-|ξ|~l)~σ+)^(x)=sum from f=1 to J(k,l,p) b_f((1-|ξ|~2)ь+ζ)^(x)+T(|x|),其中T满足 T^(n+1)(s)≤cmin{(1+s)_(k-n-2),(1+s)^(...设l∈N,δ=k/p-k+1/2,以及<p<1.本文的主要结果是建立广义BochnerRiesz平均的核的某种分解: ((1-|ξ|~l)~σ+)^(x)=sum from f=1 to J(k,l,p) b_f((1-|ξ|~2)ь+ζ)^(x)+T(|x|),其中T满足 T^(n+1)(s)≤cmin{(1+s)_(k-n-2),(1+s)^(-k,p)},0<s<∞以及n=[K(1/p-1)]·作为上述分解的一个直接结果,我们得到:临界阶广义Bochner-Riesz平均在H^p(R^k)上的a.e.收敛性。展开更多
The linear instability analysis of the present paper shows that the thermocapillary convection in a half floating zone of larger Prandtl number has a steady instability mode ωi = 0 and m = 1 for a fat liquid bridge V...The linear instability analysis of the present paper shows that the thermocapillary convection in a half floating zone of larger Prandtl number has a steady instability mode ωi = 0 and m = 1 for a fat liquid bridge V = 1.2 with small geometrical aspect ratio A = 0.6. This conclusion is different from the usual idea of hydrothermal instability, and implies that the instability of the system may excite a steady and axial asymmetric state before the onset of oscillation in the case of large Prandtl number.展开更多
It is shown in this paper that there is a difficulty in conventional black hole thermodynamics.To overcome the difficulty we introduce a“surface”near the event horizon as an additional thermodynamical object.The mas...It is shown in this paper that there is a difficulty in conventional black hole thermodynamics.To overcome the difficulty we introduce a“surface”near the event horizon as an additional thermodynamical object.The mass and entropy of the additional“surface”are the same as the correction of mass of Schwarzschild black hole obtained in the back-reaction program up to a constant factor.This implies that some effects of back reaction an automatically considered in our thermodynamic phenomenological treatment.展开更多
The objective of this research was to assess the characteristics of seismic induced damage and the deformation patterns of pre-stressed cement-grouted cables that are used for rock slope stabilization projects subject...The objective of this research was to assess the characteristics of seismic induced damage and the deformation patterns of pre-stressed cement-grouted cables that are used for rock slope stabilization projects subjected to quasi-static cyclic loading.The experimental configuration includes the installation of 15 pre-stressed cables in a slope model made of concrete blocks(theoretically rigid rock mass) on top of a pre-existing sliding surface.The study showed that:(i) The pre-stressed cables exhibited great seismic performance.Rapid displacement of the model blocks was observed after the complete loss of the initial pre-stress load under continued applied cyclic loads and exceedance of the state of equilibrium,which implies the higher the initial pre-stress load,the better the seismic performance of the rock anchor;(ii) The failure of the pre-stressed cables was due to fracture at the connection of the tendons and cable heads under cyclic loading.The sequence of failure had a distinct pattern.Failure was first observed at the upper row of cables,which experienced the most severe damage,including the ejection of cable heads.No evidence of de-bonding was observed during the cyclic loading;(iii) The stress distribution of the bond length for pre-stressed cables was highly non-uniform.High stress concentrations were observed at both the fixed end and the free end of the bond length both before and immediately after the state of equilibrium is exceeded.The results obtained can be used to evaluate the overall performance of pre-stressed rock anchors subject to seismic loading and their potential as rockfall prevention and stabilization measures.展开更多
We establish a global limiting case of nonlinear Calderon-Zygmund theory to quasilinear elliptic equations div A（x,Du） = div（｜F｜^（p-2）F） under the BMO smallness of the nonlinearity,that is ｜F｜^（p-2）F∈BMO ...We establish a global limiting case of nonlinear Calderon-Zygmund theory to quasilinear elliptic equations div A（x,Du） = div（｜F｜^（p-2）F） under the BMO smallness of the nonlinearity,that is ｜F｜^（p-2）F∈BMO implies that Du ∈BMO.展开更多
The effect of diffusion on thermoelastic thin plates is investigated. The governing equations for thin thermoelastic diffusion plates under three different laws of heat and diffusion transmission are derived. By the C...The effect of diffusion on thermoelastic thin plates is investigated. The governing equations for thin thermoelastic diffusion plates under three different laws of heat and diffusion transmission are derived. By the C0-semigroup theory, the well-posedness of the proposed equations is shown.展开更多
Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
Under the assumption that the dynamic assets price follows the variance gamma process, we establish a new bilateral pricing model of interest rate swap by integrating the reduced form model for swap pricing and the st...Under the assumption that the dynamic assets price follows the variance gamma process, we establish a new bilateral pricing model of interest rate swap by integrating the reduced form model for swap pricing and the structural model for default risk measurement.Our pricing model preserves the simplicity of the reduced form model and also considers the dynamic evolution of the counterparty assets price by incorporating with the structural model for default risk measurement. We divide the swap pricing framework into two parts, simplifying the pricing model relatively. Simulation results show that, for a one year interest rate swap, a bond spread of one hundred basis points implies a swap credit spread about 0.1054 basis point.展开更多
基金supported by the research project of the China National Petroleum Corporation(No.2021ZG02)National Natural Science Foundation of China(Nos.42004091,62127815,42150201)+1 种基金Beijing Natural Science Foundation(No.8222030)sponsored by the Chinese“111”project(No.B20011).
文摘INTRODUCTION Surface waves propagating along the seafloor are general ly called Scholte waves,and were first discovered and studied in the early 1950s(Kugler et al.,2005;Buchen and Ben-Hador,1996).Scholte waves exhibit a dispersion phenomenon,which implies that their velocity varies with frequency.Low-frequency Scholte waves can propagate over long distances on the seabed with little attenuation(Bohlen et al.,2004).The particle mo tion of Scholte waves in a solid medium changes from a retro grade to a prograde ellipse(Klein et al.,2005;McMechan and Yedlin,1981).
基金supported by the National Key Research and Development Program of China (Grant No.2022YFA1402700)the National Natural Science Foundation of China (Grant Nos.12174020,12088101,11974244,and U2230402)。
文摘The application of the eigenstate thermalization hypothesis to non-Hermitian quantum systems has become one of the most important topics in dissipative quantum chaos, recently giving rise to intense debates. The process of thermalization is intricate, involving many time-evolution trajectories in the reduced Hilbert space of the system. By considering two different expansion forms of the density matrices adopted in the biorthogonal and right-state time evolutions, we derive two versions of the Gorini–Kossakowski–Sudarshan–Lindblad(GKSL)master equations describing the non-Hermitian systems coupled to a bosonic heat bath in thermal equilibrium. By solving the equations, we identify a sufficient condition for thermalization under both time evolutions, resulting in Boltzmann biorthogonal and right-eigenstate statistics, respectively. This finding implies that the recently proposed biorthogonal random matrix theory needs an appropriate revision. Moreover, we exemplify the precise dynamics of thermalization and thermodynamic properties with test models.
文摘1 Copyright Information For Authors Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well astacitly or explicitly-by the responsible authorities at the institution where the work was carried out.
基金gratefully acknowledge funding from the Postdoctoral Directional Training Foundation of Yunnan(Grant No.EO3A581261)CAS-President’s International Fellowship Initiative(2021PB00094)+1 种基金National Natural Science Foundation of China(Grant No.31861143002)Prof.Jianchu Xu acknowledges funding from Yunnan Department of Sciences and Technology of China(Grant Nos 202101AS070045,202205 AM070007,202302AE090023,202303AP140001).
文摘Although research on microplastics(MPs)interactions with other soil pollutants is increasingly becoming available,most studies do not consider risks to soil fertility or plant growth.This review aims:1)to summarize the results of current studies on interactions between MPs,heavy metals,and organic pollutants;and 2)subsequently evaluate risks to the soil-plant nexus.Available-literature shows that polypropylene,polyethylene and polylactic acid increase cadmium(Cd)bioavailability and subsequently reduce root growth.Such effects are not evident in sandy or clay soils due to the formation of CdCO3 and iron-oxide by altered bacterial communities that stabilize Cd contamination.Chronic instead of short-term exposure to polystyrene in copper(Cu)-polluted soils decreases crop yield.With coexistence of MPs and lead(Pb)in soil,the uptake of Pb in crops increases,causing altered malondialdehyde content and superoxide dismutase and guaiacol peroxidase activities.Moreover,co-toxicity of polystyrene or polytetrafluoroethylene with arsenic(As)decreases root biomass,photosynthesis rate and the chlorophyll-a content.In alkaline soil,polyvinyl-chloride could decrease the bioavailability of MeHg due to changes in the abundance of Proteobacteria,and Firmicutes.We also found strong interactions between MPs and organic pollutants.Polystyrene decreases negative impacts of sulfamethazine on bacterial diversity,and structure in soil.Polyethylene,polyvinyl-chloride and polystyrene have a strong adsorption capacity for 17β-estradiol.This implies that 17β-estradiol toxicity can be reduced by these MPs.At low concentrations,polyethylene,polypropylene,and polystyrene have low affinity to diazepam.In conclusion,serious ecological risks are associated with MPs and other pollutants'interactions to soil-plant system.
文摘The close relationship between the English words and culture is analyzed in this article.Only by understanding the hidden cultural meanings in the English words,can college students truly have a good command of them and can their communicative ability be improved.
文摘The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.
文摘Modeling implied volatility(IV)is important for option pricing,hedging,and risk management.Previous studies of deterministic implied volatility functions(DIVFs)propose two parameters,moneyness and time to maturity,to estimate implied volatility.Recent DIVF models have included factors such as a moving average ratio and relative bid-ask spread but fail to enhance modeling accuracy.The current study offers a generalized DIVF model by including a momentum indicator for the underlying asset using a relative strength index(RSI)covering multiple time resolutions as a factor,as momentum is often used by investors and speculators in their trading decisions,and in contrast to volatility,RSI can distinguish between bull and bear markets.To the best of our knowledge,prior studies have not included RSI as a predictive factor in modeling IV.Instead of using a simple linear regression as in previous studies,we use a machine learning regression algorithm,namely random forest,to model a nonlinear IV.Previous studies apply DVIF modeling to options on traditional financial assets,such as stock and foreign exchange markets.Here,we study options on the largest cryptocurrency,Bitcoin,which poses greater modeling challenges due to its extreme volatility and the fact that it is not as well studied as traditional financial assets.Recent Bitcoin option chain data were collected from a leading cryptocurrency option exchange over a four-month period for model development and validation.Our dataset includes short-maturity options with expiry in less than six days,as well as a full range of moneyness,both of which are often excluded in existing studies as prices for options with these characteristics are often highly volatile and pose challenges to model building.Our in-sample and out-sample results indicate that including our proposed momentum indicator significantly enhances the model’s accuracy in pricing options.The nonlinear machine learning random forest algorithm also performed better than a simple linear regression.Compared to prevailing option pricing models that employ stochastic variables,our DIVF model does not include stochastic factors but exhibits reasonably good performance.It is also easy to compute due to the availability of real-time RSIs.Our findings indicate our enhanced DIVF model offers significant improvements and may be an excellent alternative to existing option pricing models that are primarily stochastic in nature.
文摘设l∈N,δ=k/p-k+1/2,以及<p<1.本文的主要结果是建立广义BochnerRiesz平均的核的某种分解: ((1-|ξ|~l)~σ+)^(x)=sum from f=1 to J(k,l,p) b_f((1-|ξ|~2)ь+ζ)^(x)+T(|x|),其中T满足 T^(n+1)(s)≤cmin{(1+s)_(k-n-2),(1+s)^(-k,p)},0<s<∞以及n=[K(1/p-1)]·作为上述分解的一个直接结果,我们得到:临界阶广义Bochner-Riesz平均在H^p(R^k)上的a.e.收敛性。
基金the National Natural Science Foundation of China under Grant No.19789201the Ministry of Science and Technology of China under project 95-Yu-34.
文摘The linear instability analysis of the present paper shows that the thermocapillary convection in a half floating zone of larger Prandtl number has a steady instability mode ωi = 0 and m = 1 for a fat liquid bridge V = 1.2 with small geometrical aspect ratio A = 0.6. This conclusion is different from the usual idea of hydrothermal instability, and implies that the instability of the system may excite a steady and axial asymmetric state before the onset of oscillation in the case of large Prandtl number.
文摘It is shown in this paper that there is a difficulty in conventional black hole thermodynamics.To overcome the difficulty we introduce a“surface”near the event horizon as an additional thermodynamical object.The mass and entropy of the additional“surface”are the same as the correction of mass of Schwarzschild black hole obtained in the back-reaction program up to a constant factor.This implies that some effects of back reaction an automatically considered in our thermodynamic phenomenological treatment.
基金financially supported by the National Basic Research Program of China (973 Program) (Grant No.2013CB733202)the National Natural Science Foundation of China (Grant No.41102191)+1 种基金the State Key Laboratory of Geohazard Prevention and Geoenvironment Protection (Chengdu University of Technology) (Grant No.SKLGP2011Z019)the National Natural Science Foundation of China (Grant No.11670589)
文摘The objective of this research was to assess the characteristics of seismic induced damage and the deformation patterns of pre-stressed cement-grouted cables that are used for rock slope stabilization projects subjected to quasi-static cyclic loading.The experimental configuration includes the installation of 15 pre-stressed cables in a slope model made of concrete blocks(theoretically rigid rock mass) on top of a pre-existing sliding surface.The study showed that:(i) The pre-stressed cables exhibited great seismic performance.Rapid displacement of the model blocks was observed after the complete loss of the initial pre-stress load under continued applied cyclic loads and exceedance of the state of equilibrium,which implies the higher the initial pre-stress load,the better the seismic performance of the rock anchor;(ii) The failure of the pre-stressed cables was due to fracture at the connection of the tendons and cable heads under cyclic loading.The sequence of failure had a distinct pattern.Failure was first observed at the upper row of cables,which experienced the most severe damage,including the ejection of cable heads.No evidence of de-bonding was observed during the cyclic loading;(iii) The stress distribution of the bond length for pre-stressed cables was highly non-uniform.High stress concentrations were observed at both the fixed end and the free end of the bond length both before and immediately after the state of equilibrium is exceeded.The results obtained can be used to evaluate the overall performance of pre-stressed rock anchors subject to seismic loading and their potential as rockfall prevention and stabilization measures.
基金Supported by the National Natural Science Foundation of China(Grant No.11401473)Fundamental Research Funds for the Central Universities(Grant No.31920160059)+4 种基金the Natural Science Foundation of Gansu Province(Grant Nos.1506RJYA2721506RJZA274)Science and Humanity Foundation of the Ministry of Education(Grant No.15YJA880085)Foundation of State Nationalities Affairs Commission(Grant No.14XBZ016)Research and Innovation Teams of Northwest University for Nationalities
文摘We establish a global limiting case of nonlinear Calderon-Zygmund theory to quasilinear elliptic equations div A（x,Du） = div（｜F｜^（p-2）F） under the BMO smallness of the nonlinearity,that is ｜F｜^（p-2）F∈BMO implies that Du ∈BMO.
文摘The effect of diffusion on thermoelastic thin plates is investigated. The governing equations for thin thermoelastic diffusion plates under three different laws of heat and diffusion transmission are derived. By the C0-semigroup theory, the well-posedness of the proposed equations is shown.
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
文摘Under the assumption that the dynamic assets price follows the variance gamma process, we establish a new bilateral pricing model of interest rate swap by integrating the reduced form model for swap pricing and the structural model for default risk measurement.Our pricing model preserves the simplicity of the reduced form model and also considers the dynamic evolution of the counterparty assets price by incorporating with the structural model for default risk measurement. We divide the swap pricing framework into two parts, simplifying the pricing model relatively. Simulation results show that, for a one year interest rate swap, a bond spread of one hundred basis points implies a swap credit spread about 0.1054 basis point.
