The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure,which prevents arbitrage opportunities.However,casual traders may still incur substantial losses...The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure,which prevents arbitrage opportunities.However,casual traders may still incur substantial losses when trading at this risk-neutral price,especially when the price has to be paid now and the payoff is only realized in the future.This study proposes a new valuation framework that provides risksensitive investors with an additional safeguard.The proposed framework embraces a worst-case perspective while exploiting the underlier’s stochastic process,representing a combination of robust optimization and stochastic programming.Notably,it aims to mitigate losses in the likelier scenarios of the underlying asset’s prices.When the underlier’s returns are independent and lognormally but not necessarily identically distributed,our approach for pricing variance and volatility swaps could be greatly simplified,benefit from parallel computing,and be solved by a two-dimensional grid search.We further derive a closed-form solution in some special stationary cases and provide experimental results to highlight the effect of risk aversion on fending off sizable trading losses.展开更多
This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading pla...This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price.And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price.展开更多
The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the r...The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources.Based on this,a novel probabilistic approach was employed,leading to pricing formulas with time-dependent and regime-switching parameters.The formulated solutions were easy to implement and differed from most existing results of variance swap pricing,where Fourier inversion or fast Fourier transform must be performed to obtain the final results,since they are completely analytical without involving integrations.The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.展开更多
The use of credit default swaps （CDSs） has become increasingly popular over time. Between 2002 and 2007, gross notional amounts outstanding grew from below S2 trillion to nearly S60 trillion. The recent crisis has r...The use of credit default swaps （CDSs） has become increasingly popular over time. Between 2002 and 2007, gross notional amounts outstanding grew from below S2 trillion to nearly S60 trillion. The recent crisis has revealed several shortcomings in CDS market practices and structure. In addition, management of counterparty risk has proved insufficient, as has in some instances the settlement of contracts following a credit event. However, past problems should not distract from the potential benefits of these instruments. In particular, CDSs help complete markets, as they provide an effective means to hedge and trade credit risk. CDSs allow financial institutions to better manage their exposures, and investors benefit from an enhanced investment universe. The purpose of this paper is to present a complete and practical exposition of the CDS market and to explore how the development of the CDS market has played an important role in the credit risk markets. Currently, the CDS market is transforming into a more stable system. Various measures are being put in place to help enhance market transparency and mitigate operational and systemic risk. In particular, central counterparties have started to operate, which will eventually lead to an improved management of individual as well as system-wide risks.展开更多
Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-rela...Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical method for pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck(OU) process. By using Fourier transform algorithm, a closed-form solution for pricing variance swaps with stochastic volatility is obtained, and to give a comparison of fair strike value based on the discrete model, continuous model, and the Monte Carlo simulations.展开更多
This study investigates the determinants that drive the volatility of the credit default swaps(CDS)of BRICIT(Brazil,Russia,India,China,Indonesia,and Turkey)nations as a proxy measure for sovereign risk.On the existenc...This study investigates the determinants that drive the volatility of the credit default swaps(CDS)of BRICIT(Brazil,Russia,India,China,Indonesia,and Turkey)nations as a proxy measure for sovereign risk.On the existence of cointegration,an unrestricted error correction model integrated with the autoregressive distributed lag(ARDL)model is applied to measure the short-run and long-run dynamics empirically.The study utilizes the Bayesian global vector autoregression methodology for cross-border spillover estimation.The study also suggests a strategy for policymakers for quadrant categorization to mitigate risk arising from cross-border spillover.The result of ARDL indicates that the global macroeconomic variables affect the BRICIT CDS more than domestic macroeconomic determinants,with Indian CDS being the most sensitive to Fed tapering.Notably,China’s CDS is the most sensitive to shocks,with the CDS volatility primarily driven by China’s geopolitical risk.Russian CDS is more sensitive to real effective exchange rates due to severe ruble depreciation than crude oil,despite Russia being a major oil exporter.The quadrant categorization indicates that the Indonesian stock market index is most interconnected with BRICIT CDS,while the Turkish long-term interest rates send the highest intensity spillover across BRICIT nations.展开更多
Working memory is a core cognitive function that supports goal-directed behavior and complex thought.We developed a spatial working memory and attention test on paired symbols(SWAPS)which has been proved to be a usefu...Working memory is a core cognitive function that supports goal-directed behavior and complex thought.We developed a spatial working memory and attention test on paired symbols(SWAPS)which has been proved to be a useful and valid tool for spatial working memory and attention studies in the fields of cognitive psychology,education,and psychiatry.The repeated administration of working memory capacity tests is common in clinical and research settings.Studies suggest that repeated cognitive tests may improve the performance scores also known as retest effects.The systematic investigation of retest effects in SWAPS is critical for interpreting scientific results,but it is still not fully developed.To address this,we recruited 77 college students aged 18–21 years and used SWAPS comprising 72 trials with different memory loads,learning time,and delay span.We repeated the test once a week for five weeks to investigate the retest effects of SWAPS.There were significant retest effects in the first two tests:the accuracy of the SWAPS tests significantly increased,and then stabilized.These findings provide useful information for researchers to appropriately use or interpret the repeated working memory tests.Further experiments are still needed to clarify the factors that mediate the retest effects,and find out the cognitive mechanism that influences the retest effects.展开更多
Implementing quantum wireless multi-hop network communication is essential to improve the global quantum network system. In this paper, we employ eight-level GHZ states as quantum channels to realize multi-hop quantum...Implementing quantum wireless multi-hop network communication is essential to improve the global quantum network system. In this paper, we employ eight-level GHZ states as quantum channels to realize multi-hop quantum communication, and utilize the logical relationship between the measurements of each node to derive the unitary operation performed by the end node. The hierarchical simultaneous entanglement switching(HSES) method is adopted, resulting in a significant reduction in the consumption of classical information compared to multi-hop quantum teleportation(QT)based on general simultaneous entanglement switching(SES). In addition, the proposed protocol is simulated on the IBM Quantum Experiment platform(IBM QE). Then, the data obtained from the experiment are analyzed using quantum state tomography, which verifies the protocol's good fidelity and accuracy. Finally, by calculating fidelity, we analyze the impact of four different types of noise(phase-damping, amplitude-damping, phase-flip and bit-flip) in this protocol.展开更多
The implementation of the standard is expected to help electric vehicle battery swap stations to adapt to diversified needs and vehicle models,promoting the industry’s orderly and healthy development.
In March 2025,prominent Chinese automaker NIO(Shanghai,China),the global leader in electric vehicle(EV)battery swapping,and Contemporary Amperex Technology Co.,Ltd.(CATL)(Nindge,China),the world’s biggest manufacture...In March 2025,prominent Chinese automaker NIO(Shanghai,China),the global leader in electric vehicle(EV)battery swapping,and Contemporary Amperex Technology Co.,Ltd.(CATL)(Nindge,China),the world’s biggest manufacturer of EV batteries,announced a strategic partnership to build the world’s largest battery swapping network,while also promoting unified standards and technologies[1].Just weeks later,CATL announced another partnership,this one with Chinese state-owned oil giant Sinopec(Beijing,China)to build 10000 new battery swapping stations in China,at least 500 in 2025[2].展开更多
In this work,Langevin dynamics simulations were carried out to thoroughly investigate the swapping process of composite knots under tension in a cuboid nanochannel.From our analysis,the free energy profiles of knot sw...In this work,Langevin dynamics simulations were carried out to thoroughly investigate the swapping process of composite knots under tension in a cuboid nanochannel.From our analysis,the free energy profiles of knot swapping under different conditions were extracted from the overall probability distribution of the relative distance between the centers of composite knots.In addition,the impact of the stretching force,confinement size,and bending stiffness on the free energy profiles was directly identified.Especially,the influence of topology structure is for the first time reported.The increasing stretching force in a fixed confinement or the confinement size under a constant stretching force does not alter their respective equilibrium populations at the separate state and the entangled state.In contrast,a bending stiffness larger than 15 enhanced the formation of the entangled state.The topology structure of the 51knot,which was different from the 52knot,resulted in forming a metastable state in the free energy profiles.The increasing stretching forces yielded an enhancement of the following free energy barrier.展开更多
Automated guided vehicles(AGVs)are key equipment in automated container terminals(ACTs),and their operational efficiency can be impacted by conflicts and battery swapping.Additionally,AGVs have bidirectional transport...Automated guided vehicles(AGVs)are key equipment in automated container terminals(ACTs),and their operational efficiency can be impacted by conflicts and battery swapping.Additionally,AGVs have bidirectional transportation capabilities,allowing them tomove in the opposite directionwithout turning around,which helps reduce transportation time.This paper aims at the problem of AGV scheduling and bidirectional conflict-free routing with battery swapping in automated terminals.A bi-level mixed integer programming(MIP)model is proposed,taking into account task assignment,bidirectional conflict-free routing,and battery swapping.The upper model focuses on container task assignment and AGV battery swapping planning,while the lower model ensures conflict-free movement of AGVs.A double-threshold battery swapping strategy is introduced,allowing AGVs to utilize waiting time for loading for battery swapping.An improved differential evolution variable neighborhood search(IDE-VNS)algorithm is developed to solve the bi-level MIP model,aiming to minimize the completion time of all jobs.Experimental results demonstrate that compared to the differential evolution(DE)algorithm and the genetic algorithm(GA),the IDEVNS algorithmreduces fitness values by 44.49% and 45.22%,though it does increase computation time by 56.28% and 62.03%,respectively.Bidirectional transportation reduces the fitness value by an average of 10.97% when the container scale is small.As the container scale increases,the fitness value of bidirectional transportation gradually approaches that of unidirectional transportation.The results further show that the double-threshold battery swapping strategy enhances AGV utilization and reduces the fitness value.展开更多
基金supported by the Ministry of Education,Singapore,under its Academic Research Fund Tier 2 Grant MOE-T2EP20222-0003.
文摘The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure,which prevents arbitrage opportunities.However,casual traders may still incur substantial losses when trading at this risk-neutral price,especially when the price has to be paid now and the payoff is only realized in the future.This study proposes a new valuation framework that provides risksensitive investors with an additional safeguard.The proposed framework embraces a worst-case perspective while exploiting the underlier’s stochastic process,representing a combination of robust optimization and stochastic programming.Notably,it aims to mitigate losses in the likelier scenarios of the underlying asset’s prices.When the underlier’s returns are independent and lognormally but not necessarily identically distributed,our approach for pricing variance and volatility swaps could be greatly simplified,benefit from parallel computing,and be solved by a two-dimensional grid search.We further derive a closed-form solution in some special stationary cases and provide experimental results to highlight the effect of risk aversion on fending off sizable trading losses.
基金the National Social Science Foundation of China(No.11BGJ013)
文摘This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price.And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price.
基金supported by the National Natural Science Foundation of China(Nos.12101554,12301614),the Fundamental Research Funds for Zhejiang Provincial Universities(No.GB202103001)Zhejiang Provincial Natural Science Foundation of China(No.LQ22A010010)Ministry of Educational Social Science Foundation of China(No.21YJC880050).
文摘The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources.Based on this,a novel probabilistic approach was employed,leading to pricing formulas with time-dependent and regime-switching parameters.The formulated solutions were easy to implement and differed from most existing results of variance swap pricing,where Fourier inversion or fast Fourier transform must be performed to obtain the final results,since they are completely analytical without involving integrations.The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.
文摘The use of credit default swaps （CDSs） has become increasingly popular over time. Between 2002 and 2007, gross notional amounts outstanding grew from below S2 trillion to nearly S60 trillion. The recent crisis has revealed several shortcomings in CDS market practices and structure. In addition, management of counterparty risk has proved insufficient, as has in some instances the settlement of contracts following a credit event. However, past problems should not distract from the potential benefits of these instruments. In particular, CDSs help complete markets, as they provide an effective means to hedge and trade credit risk. CDSs allow financial institutions to better manage their exposures, and investors benefit from an enhanced investment universe. The purpose of this paper is to present a complete and practical exposition of the CDS market and to explore how the development of the CDS market has played an important role in the credit risk markets. Currently, the CDS market is transforming into a more stable system. Various measures are being put in place to help enhance market transparency and mitigate operational and systemic risk. In particular, central counterparties have started to operate, which will eventually lead to an improved management of individual as well as system-wide risks.
基金supported by the National Social Science Fund of China under Grant No.14ATJ005Anhui Provincial Natural Science Foundation under Grant Nos.1308085MF93 and 1408085MKL84the National Natural Science Foundations of China under Grant No.11401556
文摘Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical method for pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck(OU) process. By using Fourier transform algorithm, a closed-form solution for pricing variance swaps with stochastic volatility is obtained, and to give a comparison of fair strike value based on the discrete model, continuous model, and the Monte Carlo simulations.
文摘This study investigates the determinants that drive the volatility of the credit default swaps(CDS)of BRICIT(Brazil,Russia,India,China,Indonesia,and Turkey)nations as a proxy measure for sovereign risk.On the existence of cointegration,an unrestricted error correction model integrated with the autoregressive distributed lag(ARDL)model is applied to measure the short-run and long-run dynamics empirically.The study utilizes the Bayesian global vector autoregression methodology for cross-border spillover estimation.The study also suggests a strategy for policymakers for quadrant categorization to mitigate risk arising from cross-border spillover.The result of ARDL indicates that the global macroeconomic variables affect the BRICIT CDS more than domestic macroeconomic determinants,with Indian CDS being the most sensitive to Fed tapering.Notably,China’s CDS is the most sensitive to shocks,with the CDS volatility primarily driven by China’s geopolitical risk.Russian CDS is more sensitive to real effective exchange rates due to severe ruble depreciation than crude oil,despite Russia being a major oil exporter.The quadrant categorization indicates that the Indonesian stock market index is most interconnected with BRICIT CDS,while the Turkish long-term interest rates send the highest intensity spillover across BRICIT nations.
基金the National Natural Science Foundation of China(No.91632103)the Shanghai Education Commission Research and Innovation Program(No.2019-01-07-00-02-E00037)+2 种基金the Program of Shanghai Subject Chief Scientist(No.17XD1401700)the Higher Education Disciplinary Innovation Programthe“Eastern Scholar”Project。
文摘Working memory is a core cognitive function that supports goal-directed behavior and complex thought.We developed a spatial working memory and attention test on paired symbols(SWAPS)which has been proved to be a useful and valid tool for spatial working memory and attention studies in the fields of cognitive psychology,education,and psychiatry.The repeated administration of working memory capacity tests is common in clinical and research settings.Studies suggest that repeated cognitive tests may improve the performance scores also known as retest effects.The systematic investigation of retest effects in SWAPS is critical for interpreting scientific results,but it is still not fully developed.To address this,we recruited 77 college students aged 18–21 years and used SWAPS comprising 72 trials with different memory loads,learning time,and delay span.We repeated the test once a week for five weeks to investigate the retest effects of SWAPS.There were significant retest effects in the first two tests:the accuracy of the SWAPS tests significantly increased,and then stabilized.These findings provide useful information for researchers to appropriately use or interpret the repeated working memory tests.Further experiments are still needed to clarify the factors that mediate the retest effects,and find out the cognitive mechanism that influences the retest effects.
基金Project supported by the Open Fund of Anhui Key Laboratory of Mine Intelligent Equipment and Technology (Grant No. ZKSYS202204)the Talent Introduction Fund of Anhui University of Science and Technology (Grant No. 2021yjrc34)the Scientific Research Fund of Anhui Provincial Education Department (Grant No. KJ2020A0301)。
文摘Implementing quantum wireless multi-hop network communication is essential to improve the global quantum network system. In this paper, we employ eight-level GHZ states as quantum channels to realize multi-hop quantum communication, and utilize the logical relationship between the measurements of each node to derive the unitary operation performed by the end node. The hierarchical simultaneous entanglement switching(HSES) method is adopted, resulting in a significant reduction in the consumption of classical information compared to multi-hop quantum teleportation(QT)based on general simultaneous entanglement switching(SES). In addition, the proposed protocol is simulated on the IBM Quantum Experiment platform(IBM QE). Then, the data obtained from the experiment are analyzed using quantum state tomography, which verifies the protocol's good fidelity and accuracy. Finally, by calculating fidelity, we analyze the impact of four different types of noise(phase-damping, amplitude-damping, phase-flip and bit-flip) in this protocol.
文摘The implementation of the standard is expected to help electric vehicle battery swap stations to adapt to diversified needs and vehicle models,promoting the industry’s orderly and healthy development.
文摘In March 2025,prominent Chinese automaker NIO(Shanghai,China),the global leader in electric vehicle(EV)battery swapping,and Contemporary Amperex Technology Co.,Ltd.(CATL)(Nindge,China),the world’s biggest manufacturer of EV batteries,announced a strategic partnership to build the world’s largest battery swapping network,while also promoting unified standards and technologies[1].Just weeks later,CATL announced another partnership,this one with Chinese state-owned oil giant Sinopec(Beijing,China)to build 10000 new battery swapping stations in China,at least 500 in 2025[2].
基金The National Natural Science Foundation of China under Grant Nos.11864006,11874309,12164007,and 12204118。
文摘In this work,Langevin dynamics simulations were carried out to thoroughly investigate the swapping process of composite knots under tension in a cuboid nanochannel.From our analysis,the free energy profiles of knot swapping under different conditions were extracted from the overall probability distribution of the relative distance between the centers of composite knots.In addition,the impact of the stretching force,confinement size,and bending stiffness on the free energy profiles was directly identified.Especially,the influence of topology structure is for the first time reported.The increasing stretching force in a fixed confinement or the confinement size under a constant stretching force does not alter their respective equilibrium populations at the separate state and the entangled state.In contrast,a bending stiffness larger than 15 enhanced the formation of the entangled state.The topology structure of the 51knot,which was different from the 52knot,resulted in forming a metastable state in the free energy profiles.The increasing stretching forces yielded an enhancement of the following free energy barrier.
基金supported by National Natural Science Foundation of China(No.62073212)Shanghai Science and Technology Commission(No.23ZR1426600).
文摘Automated guided vehicles(AGVs)are key equipment in automated container terminals(ACTs),and their operational efficiency can be impacted by conflicts and battery swapping.Additionally,AGVs have bidirectional transportation capabilities,allowing them tomove in the opposite directionwithout turning around,which helps reduce transportation time.This paper aims at the problem of AGV scheduling and bidirectional conflict-free routing with battery swapping in automated terminals.A bi-level mixed integer programming(MIP)model is proposed,taking into account task assignment,bidirectional conflict-free routing,and battery swapping.The upper model focuses on container task assignment and AGV battery swapping planning,while the lower model ensures conflict-free movement of AGVs.A double-threshold battery swapping strategy is introduced,allowing AGVs to utilize waiting time for loading for battery swapping.An improved differential evolution variable neighborhood search(IDE-VNS)algorithm is developed to solve the bi-level MIP model,aiming to minimize the completion time of all jobs.Experimental results demonstrate that compared to the differential evolution(DE)algorithm and the genetic algorithm(GA),the IDEVNS algorithmreduces fitness values by 44.49% and 45.22%,though it does increase computation time by 56.28% and 62.03%,respectively.Bidirectional transportation reduces the fitness value by an average of 10.97% when the container scale is small.As the container scale increases,the fitness value of bidirectional transportation gradually approaches that of unidirectional transportation.The results further show that the double-threshold battery swapping strategy enhances AGV utilization and reduces the fitness value.
