Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds

In this paper, we study the excursions of Bessel and Cox–Ingersoll–Ross (CIR) processes with dimensions . We obtain densities for the last passage times and meanders of the processes. Using these results, we prove a variation of the Azéma martingale for the Bessel and CIR processes based on excursion theory. Furthermore, we study their Parisian excursions, and generalize previous results on the Parisian stopping time of Brownian motion to that of the Bessel and CIR processes. We obtain explicit formulas and asymptotic results for the densities of the Parisian stopping times, and develop exact simulation algorithms to sample the Parisian stopping times of Bessel and CIR processes. We introduce a new type of bond, the zero‐coupon Parisian bond. The buyer of such a bond is betting against zero interest rates, while the seller is effectively hedging against a period where interest rates fluctuate around 0. Using our results, we propose two methods for pricing these bonds and provide numerical examples.     

基于CLUE-S和GMOP模型的青龙满族自治县土地利用情景模拟

[目的]对青龙满族自治县未来土地利用格局进行多情景预测模拟,并探索土地经济和生态综合效益双提升目标下的土地利用发展格局,以期为区域土地资源优化配置和国土空间规划的编制提供参考。[方法]基于土地利用现状数据和社会经济统计资料,分别利用CLUE-S单模型、灰色多目标优化(GMOP)+CLUE-S模型对研究区进行了土地利用情景模拟。[结果](1)所选驱动因子对土地利用类型的解释能力较好,ROC值均大于0.7,满足Auto-Logistic回归要求,模拟检验的Kappa系数为91.03%,模拟效果比较理想;(2)到2020年,基于CLUE-S单模型的自然发展情景,研究区建设用地扩张占用耕地和林地现象突出,土地经济效益提升较大,但生态效益却呈现负增长;基于GMOP+CLUE-S模型的多目标优化情景,研究区建设用地扩张趋势得到控制,耕地、林地面积有所增加,未利用地得到较大程度开发,实现了土地经济和生态效益双提升,分别比2015年提升了3.12%和1.96%。[结论]GMOP+CLUE-S模型能够发挥两个模型各自在结构优化和空间分配方面的优点,有利于实现区域土地利用数量结构、空间布局和综合效益的协同优化。     

The effectiveness of monetary policy and output fluctuations: An asymmetric analysis

Previous studies have investigated asymmetries in the effects of monetary policy on the real economic activity by using either vector autoregressive (VAR)-based regime-switching models with smooth transition technique or Gaussian functions to parameterise the dynamic effects of structural shocks on the economy. These kinds of VAR models assume asymmetry as a short-run relationship between the series since the long-run neutrality hypothesis of money states that monetary policy can only affect productive capacity of the economy in the short run, but not in the long run. The recent theoretical literature shows that this hypothesis is not quite right. Thus, this paper examines the extent to which monetary policy has a long-run asymmetric effect on output in a number of Organisation for Economic Co-operation and Development countries by using a nonlinear hidden cointegration analysis within a likelihood-based panel framework. The findings indicate that there is a long-run relationship between the real interest rate as an indicator of monetary policy and the growth rate of real output in five countries out of nine under review. This gives support for the view that output has responded asymmetrically to the real interest rate changes. The economic implication of our results is that monetary policy affects positive and negative output fluctuations differently.     

基于声誉效应的工程监理激励机制模型研究

为了提高工程监理工作积极性,基于Holmstrom-Milgrom模型,引入声誉效应,建立声誉效应和显性激励机制相结合的动态委托代理激励模型。分析声誉效应发挥激励机制作用条件,并与未考虑声誉效应的委托代理模型进行比较。结果表明:声誉效应在满足一定的条件下,引入声誉激励机制能够增加业主的期望收益,并且能提高监理的努力水平。最后,通过数值仿真模拟验证引入声誉效应的合理性。     

双离合自动变速器电控电动换挡执行机构仿真优化与试验对比

为了提高双离合变速器在车辆上的换挡品质,提升电气化换挡执行机构的工作效率,给出执行机构性能与换挡品质评价准则;通过两种不同双离合变速器电控电动执行机构的工作原理与性能分析,基于MATLAB数值仿真方法优化出最高效率进行试验.基于车辆6个维度的换挡工况对二者所搭载的变速器分别进行试验与CAN线数据采集,对比研究两种机构优缺点,通过雷达图的方式进行优劣说明.结果表明,两种执行机构传动效率可达70％且换挡品质相当.可见Tip in tip out工况对二者要求最为严格.     

基于fluent紊流幂律流体偏心环空数值模拟研究

为解决常规钻井水力学公式对偏心流场计算结果与实际有所差别的问题,揭示大位移井偏心环空水力行为规律,基于fluent软件对幂律钻井液偏心环空紊流流动进行了数值模拟研究,分析偏心度、稠度系数、流性指数、屈服值、钻杆与钻头组合对流动规律的影响.结果表明,随偏心度、稠度系数、流性指数、屈服值、钻杆与钻头尺寸比例的增大,环空中宽间隙处的流速、压力逐渐增大,而窄间隙处的流速、压力逐渐减小.     

离心式血液泵水力特性设计及其试验研究

借助商业软件NREC开展离心式血液泵的水力特性设计,其设计流量为5 L/min,设计转速为5000 r/min,得到离心叶轮和蜗壳的三维结构设计方案,并针对其全通道网格进行设计工况下三维流场的定常数值模拟研究.对其溶血性指标进行分析,发现离心式血液泵中95％ 区域切应力小于150 Pa,最大切应力小于500 Pa,满足人体对血液泵溶血性的要求.搭建离心式血液泵流量-压升特性试验测试平台,以质量分数为0.06％ 的黄原胶溶液为流动介质进行试验研究,试验结果显示在设计转速下的实际体积流量偏大于设计流量,整体压升在6550 Pa左右.     

Study of emerging air taxi network operation using discrete-event systems simulation approach

This research focuses on understanding the air taxi operations to determine the number of air taxis required to fulfill the demand for urban air mobility in New York City (NYC). We leverage the Define, Measure, Analyze, Design, and Verify (DMADV) framework and integrate it with the systems simulation approach. Upon investigation, we find that all the parameters linearly impact the vehicle utilization, while other measures are robust, specifically with respect to the seating capacity. It is also recommended to operate initially with 70 air taxis in NYC to achieve a trade-off between customer wait time and vehicle utilization. The proposed approach can act as a recommender system for air taxi companies.     

机场地面保障服务车辆协同调度和仿真优化

为实现大型机场地面保障服务高效化、智能化运行管理，通过研究多航班、多种地服车辆、多车场、带容量时间窗的复杂车辆路径规划问题，构建地服资源协同调度模型。结果表明：根据航班到达规律和机位分布情况，基于分解的高维进化算法求解效果较好，得到车辆使用数少、行驶距离短、超出时间窗惩罚函数最小和任务均衡的四维多目标优化问题的调度优化方案；通过Anylogic仿真软件验证，可实现机位占用情况、车辆使用情况动态分配和监控。     

Model Comparison for Temperature-Based Weather Derivatives in Mainland China

Abstract:

In this paper, we provide a comparison of two models of temperature-based weather derivatives. The Alaton et al. model (2002) and the continuous-time autoregressive (CAR) model of Benth et al. (2007) are applied to temperature data from twelve cities in China. The objective is to determine which is the better model for temperature derivative modeling in Chinese cities. We found the CAR model to be more accurate in terms of normality of residuals and smaller relative errors. However, the shortcomings of both the Alaton et al. model and the CAR model are revealed in this study as well.