Hedging and pricing early-exercise options with complex fourier series expansion

We introduce a new numerical method called the complex Fourier series (CFS) method proposed by Chan (2017) to price options with an early-exercise feature—American, Bermudan and discretely monitored barrier options—under exponential Lévy asset dynamics. This new method allows us to quickly and accurately compute the values of early-exercise options and their Greeks. We also provide an error analysis to demonstrate that, in many cases, we can achieve an exponential convergence rate in the pricing method as long as we choose the correct truncated computational interval. Our numerical analysis indicates that the CFS method is computationally more comparable or favourable than the methods currently available. Finally, the superiority of the CFS method is illustrated with real financial data by considering Standard & Poor’s depositary receipts (SPDR) exchange-traded fund (ETF) on the S&P 500® index options, which are American options traded from November 2017 to February 2018 and from 30 January 2019 to 21 June 2019.     

大型弧形闸门静力特性有限元分析

以某水电站溢洪道弧形闸门为例,建立了大型弧形闸门的有限元分析模型,应用ANSYS软件对其在各种工况下的支铰反力、闸门应力、位移挠度以及屈曲失稳等静力特性进行了计算分析,为完善闸门结构的设计提供了依据,对同类闸门结构的设计计算有参考意义。     

Forecast of telephonometry of Xiqing District using chaos time series

The telecommunication industry has marched into telephonometry competition age. In order to forecast telephonometry development, an effective method by using the chaos time series is proposed. And the best estimate method is presented by contrasted with mature and advanced estimate methods as follows： the stochastic forest, stochastic gradient boosting, the support vector and artificial neuron network.     

JETS,PLUMES AND BUOYANT JETS IN STATIC ENVIRONMENT

Turbulence represents an essential aspect in atmospheric and oceanic circulations.In particu-lar,it is a preponderant factor in the dispersion of pollutants of artificial or natural origin.Thevertical turbulent jets,plumes and buoyant jets discharging into static environment is one of themost important and basic flow patterns related with the environment pollution.These flows havenumerous important applications,for example,thrust augmentors,waste disposal plumes fromstacks and combustion systems,and significant problems of turbulent diffusion.     

Trends in Hydrological Parameters of a Southern Brazilian Watershed and its Relation to Human Induced Changes

The Piracicaba river basin is a subtropical watershed located in the southeastern region of Brazil. With an area of 12 400 km², the basin is a typical example of new landscape resulting from development in tropical and sub-tropical regions: establishment of intensive industrial and agricultural processes were followed by significant population growth and water management. This scenario has led to significant increase in water demand and decrease in water quality. The main objective of this study is the detection of changes in the patterns of flow and precipitation in the basin, and its possible relation to man-induced changes. Statistical analyses were performed on records of precipitation, evapotranspiration and streamflow, from 1947 to 1991. Precipitation and evapotranspiration totals showed significant increasing trends for the entire basin. From eight streamflow gauge stations, half showed significant decreasing trend. The most probable cause of such trends is the export of water from the basin to the metropolitan region of São Paulo city.     

THE FLOW PRODUCED IN PARTICLE-SUSPENSION BY AN INFINITE ROTATING DISK:SERIES SOLUTION

To the flow produced in particle-suspension by a rotating disk of infinite extent,the asymptotic behavior at infinity is analyzed.A corresponding series solution is presented.It isshown that this approach yields widely valid solutions of high accuracy for all the cases in whichthat suction or weak injection at the disk surface exists.For the cases that strong injection or par-ticle-free band exists,the series method fails.     

Lowering the erosion wear of long blades of the last stages by optimum hanging

Problems of optimum hanging of long rotor blades of the last stages of steam turbines are considered. Causes of nonuniform erosion wear of the inlet edges connected with inaccurate location of holes for the external damper coupling on the chord of the profile are determined. Methods for optimizing the hanging of blades for raising the reliability of the last stages are suggested. Main results of hanging performed with the help of a specially developed “LIBRA” soft hardware are presented. __________ Translated from élektricheskie Stantsii, No. 11, November 2006, pp. 36–41.     

多道系统中进程同步检测的讨论

多道程序设计中，进程之间出现同步问题可通过信号灯的不同设置来解决，即用P信号灯和V信号灯的对应关系来检测其正确与否。     

电液同步控制筒阀在小浪底水电厂的应用

小浪底水电厂位于多泥沙的黄河干流上，水轮机活动导叶会因磨损过大而严重漏水，在水轮机的设计上必须考虑这个因素;同时，为适应混水发电，小浪底水电厂机组采用了筒阀。文中介绍了筒阀的结构特点、功能及控制原理等，并对其在现场的实际应用情况进行了分析。     

Boussinesq方程的永形波的级数解

对于用层平均速度势(或速度)与波高给出的非线性等水深Boussinesq方程,与KdV方程一样,存在两类永形波—孤立波和周期波。不同的是,对于Boussinesq方程,孤立波和周期波一样,是以反函数的积分形式给出的,这在使用上是不方便的。本文对这两类波,分别给出了相应的级数形式的正函数解。对于孤立波,级数的收敛速度是十分快的,且文中还给出了一个具有高精度的十分简单的近似解,对于周期波,只要有关参数选得合适,解的收敛速度也是相当快的。这就有效地克服了反函数形式解在使用上的不方便。