Pricing American Options Fitting the Smile

This paper is a compendium of results—theoretical and computational—from a series of recent papers developing a new American option valuation technique based on linear programming (LP). Some further computational results are included for completeness. A proof of the basic analytical theorem is given, as is the analysis needed to solve the inverse problem of determining local (one‐factor) volatility from market data. The ideas behind a fast accurate revised simplex method, whose performance is linear in time and space discretizations, are described and the practicalities of fitting the volatility smile are discussed. Numerical results are presented which show the LP valuation technique to be extremely fast—lattice speed with PDE accuracy. American options valued in the paper range from vanilla, through exotic with constant volatility, to exotic options fitting the volatility smile.     

NONLINEAR FORECASTING OF THE GOLD MINER SPREAD: AN APPLICATION OF CORRELATION FILTERS

This paper models and forecasts the Gold Miner Spread from 23 May 2006 to 30 June 2011. The Gold Miner Spread acts as a suitable performance indicator for the relationship between physical gold and US gold equity. The contribution of this investigation is twofold. First, the accuracy of each model is evaluated from a statistical perspective. Second, various forecasting methodologies are then applied to trade the spread. Trading models include an ARMA (12,12) model, a cointegration model, a multilayer perceptron neural network (NN), a particle swarm optimization radial basis function NN and a genetic programming algorithm (GPA). Results obtained from an out‐of‐sample trading simulation validate the in‐sample back test as the GPA model produced the highest risk‐adjusted returns. Correlation filters are also applied to enhance performance and, as a consequence, volatility is reduced by 5%, on average, while returns are improved between 2.54% and 8.11% across five of the six models. Copyright © 2013 John Wiley & Sons, Ltd.     

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

The observed discrepancies of derivative prices from their theoretical, arbitrage-free values are examined in the presence of transaction costs. Analytic upper and lower bounds on the reservation write and purchase prices, respectively, are obtained when an investor's preferences exhibit constant relative risk aversion between zero and one. The economy consists of multiple primary securities with stationary returns, a constant rate of interest, and any number of American or European derivatives with, possibly, path-dependent arbitrary payoffs.     

带电粒子在电磁场中运动状态的讨论

由洛伦兹力公式出发，在非相对论情形下，分析了带电粒子在电磁场中的运动方程，并针对一些特殊情况，采用数值分析的方法，得到一些常见的运动轨迹和一种不常见的轨迹——摆线．     

集装箱空箱调运优化问题的研究

在分析集装箱空箱流转过程的基础上,提出建立基于海陆运整体成本最优的集装箱空箱调运随机性优化模型,并将粒子群算法与随机模拟技术相结合用于求解机会约束规划。最后通过对测试算例进行求解,验证了该模型和算法的合理性和有效性。     

再生骨料的强化研究

旧建筑物的拆除和新建筑的建立都会产生大量的建筑垃圾,这既造成环境污染又浪费了资源。利用建筑废弃物制备再生骨料是一种有效可行的利用途径。对再生骨料的强化进行研究。     

基于混合微粒群优化算法的配送中心选址问题求解

将微粒群优化算法和模拟退火算法结合．针对配送中心选址问题．构造了微粒表达方法。提出了此问题的一种混合微粒群优化算法。通过整数规范化。微粒群能在整数空间内对问题进行优化求解。该算法能克服基本微粒群优化算法精度较低，易发散的缺点，有较高的搜索效率。经过实验仿真，与基本微粒群优化算法、遗传算法进行比较．证明了该算法的有效性。     

基于改进粒子群的分布式通信干扰资源分配

为了解决分布式通信干扰场景下面临的资源分配效率低、干扰效益无保障等问题,结合通信干扰资源分配数学模型,设计了一种改进的粒子群算法。首先设计了分布式通信干扰场景并构建了通信干扰资源分配模型,以最大化干扰效益作为目标函数;其次采用自适应惯性因子和学习因子,并引入遗传变异策略和精英保留策略,提出一种改进的粒子群算法,最后对不同场景规模的通信干扰资源分配进行仿真实验。结果表明,相比小生境遗传算法、粒子群算法、遗传算法,改进的粒子群算法在不同场景规模下,均能获得更优的干扰效益,性能方面具备整体干扰效益更高、算法收敛速度更快、算法收敛误差更小等优势。所设计的改进粒子群算法可应用在分布式通信干扰场景中,为指挥决策提供参考。     

微粒群算法在现代物流系统优化中的应用

根据物流系统优化问题和微粒群优化算法的各自特点，提出了采用微粒群优化算法求解物流系统优化问题的相关策略，对微粒群优化算法在旅行商问题、车辆路径问题、配送中心选址问题、布局优化问题上的应用进行了研究。     

基于混合微粒群算法的带时间窗的车辆路径问题研究

本文在基本微粒群算法（PSO）的位置更新中引入了模拟退火算法思想，并改进了模拟退火算法（SA）中的降温操作该算法结合了基本PSO的快速寻优能力和SA的慨率突跳性，避免了基本PSO易于陷入局部最优的缺点，提高了进化后1期算法的收敛精度.把该算法用于解决有时间窗的车辆路径问题（VRHTW），它可以有效地求得有时间窗车辆路径问题的优化解。