Mean–variance hedging of contingent claims with random maturity

We study the mean–variance hedging of an American-type contingent claim that is exercised at a random time in a Markovian setting. This problem is motivated by applications in the areas of employee stock option valuation, credit risk, or equity-linked life insurance policies with an underlying risky asset value guarantee. Our analysis is based on dynamic programming and uses PDE techniques. In particular, we prove that the complete solution to the problem can be expressed in terms of the solution to a system of one quasi-linear parabolic PDE and two linear parabolic PDEs. Using a suitable iterative scheme involving linear parabolic PDEs and Schauder's interior estimates for parabolic PDEs, we show that each of these PDEs has a classical C^{1, 2} solution. Using these results, we express the claim's mean–variance hedging value that we derive as its expected discounted payoff with respect to an equivalent martingale measure that does not coincide with the minimal martingale measure, which, in the context that we consider, identifies with the minimum entropy martingale measure as well as the variance-optimal martingale measure. Furthermore, we present a numerical study that illustrates aspects of our theoretical results.     

半立方抛物线形渠道正常水深的近似计算公式

针对目前半立方抛物线形断面渠道正常水深计算存在的计算过程繁琐复杂、求解成果精度不高等问题,经对正常水深基本计算方程的变形整理,通过引入无量纲水深及特征参数,采用优化拟合的方法,取标准剩余差最小为目标函数,在工程适用参数范围内,经逐次逼近拟合计算,得到了表达形式简单、计算过程简捷、实用范围广、便于工程设计人员实际应用的近似计算公式。误差分析及算例计算表明：拟合公式的最大相对误差仅为0.261%,完全满足实际工程的设计精度要求。该近似计算公式为半立方抛物线形断面渠道正常水深计算提供了更加有效的计算方法,具有应用推广价值。     

一类奇异半线性抛物方程半离散解的加权L2模误差估计

具有奇异系数的椭圆及抛物偏微分方程是一类很重要的方程,但是求出其精确解是很困难的。本文考虑一类奇异半线性抛物方程初、边值问题的有限元方法,给出了半离散解的加权L2范数的误差估计。     

波浪在双滩地形上的传播

使用抛物型缓坡方程和修改抛物型缓坡方程研究了双圆形浅滩地形的波浪折射绕射。并与单圆形浅滩的波浪折射绕射进行了比较，进而对多圆形浅滩进行数值模拟，从中模拟了陷波现象。     

HEDGING WITH ENERGY

In the setting of diffusion models for price evolution, we suggest an easily implementable approximate evaluation formula for measuring the errors in option pricing and hedging due to volatility misspecification. The main tool we use in this paper is a (suitably modified) classical inequality for the L ² norm of the solution, and the derivatives of the solution, of a partial differential equation (the so-called "energy" inequality). This result allows us to give bounds on the errors implied by the use of approximate models for option valuation and hedging and can be used to justify formally some "folk" belief about the robustness of the Black and Scholes model. Surprisingly enough, the result can also be applied to improve pricing and hedging with an approximate model. When statistical or a priori information is available on the "true" volatility, the error measure given by the energy inequality can be minimized w.r.t. the parameters of the approximating model. The method suggested in this paper can help in conjugating statistical estimation of the volatility function derived from flexible but computationally cumbersome statistical models, with the use of analytically tractable approximate models calibrated using error estimates.     

抛物线拱坝中轴线及其计算

本文提出了抛物线双曲拱坝中轴线的几何定义及其计算方法，并对由此而引起的横缝设计作了说明。解决了工程设计中对抛物线拱坝中轴线用近似曲线代替所造成的理论缺陷和引起的计算误差。本算法对于拱坝横缝设计、应力计算、施工放样和计算机图形处理均有实用意义。     

EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

Recently, advantages of conformal deformations of the contours of integration in pricing formulas for European options have been demonstrated in the context of wide classes of Lévy models, the Heston model, and other affine models. Similar deformations were used in one‐factor Lévy models to price options with barrier and lookback features and credit default swaps (CDSs). In the present paper, we generalize this approach to models, where the dynamics of the assets is modeled as , where X is a Lévy process, and the interest rate is stochastic. Assuming that X and r are independent, and , the infinitesimal generator of the pricing semigroup in the model for the short rate, satisfies weak regularity conditions, which hold for popular models of the short rate, we develop a variation of the pricing procedure for Lévy models which is almost as fast as in the case of the constant interest rate. Numerical examples show that about 0.15 second suffices to calculate prices of 8 options of same maturity in a two‐factor model with the error tolerance and less; in a three‐factor model, accuracy of order 0.001–0.005 is achieved in about 0.2 second. Similar results are obtained for quanto CDS, where an additional stochastic factor is the exchange rate. We suggest a class of Lévy models with the stochastic interest rate driven by 1–3 factors, which allows for fast calculations. This class can satisfy the current regulatory requirements for banks mandating sufficiently sophisticated credit risk models.     

基于抛物线型Mohr强度准则的隧洞弹塑性分析

基于具有抛物线型Mohr强度准则,分析渗流作用下隧洞的弹塑性力学行为。通过考虑和不考虑渗流场影响的实例对比分析,结果表明:考虑渗流场时所得塑性区半径比不考虑时大,而且随着孔隙水压力的增大,渗流场的影响越来越显著;隧洞径向应力和切向应力都与渗流场密切相关。所得结果可为强度包络线近似于二次抛物线的围岩隧洞设计提供理论依据。     

受边壁影响的矩形光滑明渠垂线流速分布研究

当明渠宽深比较小时,由于边界剪切应力分布不再是均匀的。垂线流速分布由底向上,从某一高度开始,在该点以下为对数分布,在该点以上为抛物线分布。本文在已有研究理论的基础上,验证了流速最大点位置α分布公式的正确性,提出了光滑矩形明渠各垂线上流速分布的新抛物线公式。     

三种Mohr强度准则的对比分析

简述了Mohr-Coulomb强度准则、抛物线型Mohr强度准则和双曲线型Mohr强度准则,并采用3种高应力下岩石的真三轴试验结果对这3种强度准则进行对比分析。研究结果表明在高应力条件下,硬岩的试验值与Mohr-Coulomb强度准则和双曲线型Mohr强度准则的预测值均比较接近。Mohr-Coulomb强度准则是线性强度准则,双曲线型Mohr-Coulomb强度准则是非线性强度准则,因此,可认为双曲线型Mohr强度准则更适合用于描述高应力条件下岩石的强度变形特征。