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Research on Credit Default Swaps Pricing Considering Moral Hazard Incentive under Reduce-Form Model

Journal of Systems Science and Systems Engineering 2024年第3期33卷 311-329页

作者： liang Wu Kangjie He Zhe Guo School of Mathematical Science Henan Institute of Science and TechnologyXinxiang453003China Public Front Office Department Industrial and Commercial Bank of ChinaZhengzhou450000China

Equilibrium pricing of credit default swaps(CDS)promotes efficient identification of credit risk in the market,which in turn leads to efficient allocation of ***,even when CDS have been priced in equilibrium,i.e.,when premiums are equal to anticipated payments,the moral hazard incentives of CDS buyers increase with CDS ***,it becomes an interesting research direction to study the impact of moral hazard incentives on the trading mechanism or pricing of derivatives(CDS).Most of the existing literature on the impact of moral hazard incentives in CDS pricing on derivatives trading mechanisms takes a macro perspective and focuses on the agreement risk *** literature exploring the analysis of the impact of moral hazard on the probability of agreement default from a micro perspective is not yet *** this in mind,this paper focuses on the mechanisms by which“fraud”,an extreme manifestation of micro-moral hazard incentives,affects the probability of *** paper introduces for the first time the concept of“claiming fraud”by credit protection buyers,which is different from the macro perspective of moral hazard incentives,and thus defines a specific extreme form of moral hazard ***,to address the intrinsic feature of the lack of economic explanatory power of the reduce-form model,this paper introduces a moral hazard incentive factor into the reduce-form model,and proposes a moral hazard state variable as a function of the asset value of the reference entity,which gives the reduce-form model strong economic explanatory power,and the default predictability is reduced by the description of the reduce-form *** terms of the object of study,this paper considers the issue of moral hazard incentives in the presence of claiming fraud in two reference entities to further explore the impact of moral hazard incentives on default protection at the micro level in terms of cyclic ***,based on the

关键词： Financial engineering moral hazard incentive claiming fraud reduce-form model probability of default calculation CDS pricing

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Study on Effectiveness of Solitary-Wave-Like Form Based on Overtopping Data from Irregular Wave Tests

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China Ocean Engineering 2024年第4期38卷 701-710页

作者： LI Xiao-liang Huang Gui-biao School of Naval Architecture&Ocean Engineering Jiangsu University of Science and TechnologyZhenjiang 212100China

The previous study conducted by Li(2022)demonstrates that the Goda graph can be adequately represented by a solitary-wave-like form across the entire range of relative water depth,with the exception of the extremely shallow ***,it remains uncertain whether this form is equally effective when applied to test data generated by irregular waves,as the Goda graph was initially developed based on overtopping data from regular wave ***,it is unclear whether this form is suitable for formulating overtopping discharge at composite vertical *** order to address these questions,a 2D overtopping experiment was conducted,incorporating both simple and composite types of vertical walls,with various relative water depths across the entire range,excluding the extremely shallow zone.A novel analysis procedure was developed,which proved to be highly productive and can be considered a general method for data ***,the study yielded two conclusions:(1)the solitary-wave-like form is remarkably effective in formulating overtopping test data generated by irregular waves,regardless of whether the vertical wall is simple or composite,and(2)the resulting formulas exhibit definitely better performance compared with existing formulas.

关键词： solitary-wave-like form overtopping discharge overtopping formula vertical wall

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Stereoselective synthesis of substituted 1,3-dienes from propargylic esters: electrophilic-metal or redox catalysis?

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Science China Chemistry 2024年第5期67卷 1384-1396页

作者： Mengfu Dai liangliang Song liang-An Chen Jiangsu Collaborative Innovation Center of Biomedical Functional Materials Jiangsu Key Laboratory of New Power BatteriesSchool of Chemistry and Materials ScienceNanjing Normal UniversityNanjing 210023China Jiangsu Co-Innovation Center of Efficient Processing and Utilization of Forest Resources International Innovation Center for Forest Chemicals and MaterialsCollege of Chemical EngineeringNanjing Forestry UniversityNanjing 210037China

1,3-Diene architectures are not only widely present in natural products, pharmaceuticals, and functional organic materials but also serve as versatile building blocks to furnish important functionalized molecules in synthetic chemistry due to conjugated repeating C=C units. Accordingly, various strategies to access substituted 1,3-dienes in a stereoselective manner have been developed. However, chemo-, regio-and stereoselective synthesis of highly substituted 1,3-dienes still remains elusive and challenging. Readily available propargylic esters have emerged as an appealing class of synthetic intermediates for accessing functionalized 1,3-dienes, especially challenging tri-or tetrasubstituted variants, via transition-metal catalysis, including electrophilic metal and redox neutral catalysis. This review, for the first time, systematically highlights recent advances in transitionmetal catalyzed synthesis of substituted 1,3-dienes from propargylic esters, discusses the mechanisms and synthetic utilities, and gives the remaining challenges and potential opportunities in this field.

关键词： 1 3-diene propargylic ester Lewis acid redox catalysis transition metal

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Remote sensing image encryption algorithm utilizing 2D Logistic memristive hyperchaotic map and SHA-512

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Science China(Technological Sciences) 2024年第5期67卷 1553-1566页

作者： LAI Qiang LIU Yuan YANG liang School of Electrical and Automation Engineering East China Jiaotong UniversityNanchang330013China

The two-dimensional Logistic memristive hyperchaotic map(2D-LMHM)and the secure hash SHA-512 are the foundations of the unique remote sensing image encryption algorithm(RS-IEA)suggested in this *** proposed map is formed from the improved Logistic map and the memristor,which has wide phase space and hyperchaotic range and is exceptionally excellent to be utilized in specific *** proposed image algorithm uses the permutation-assignment-diffusion *** generates two position matrices in a progressive manner to achieve an efficient random exchange of pixel positions,assignment is carried through on the image pixels of the permutated image to entirely remove the original image information,strengthening the relationship between permutation and diffusion,and loop diffusion in two different directions can use subtle changes of pixels to affect the whole *** random key and plain-image SHA-512 hash values are used to produce an additional key,which is then utilized to figure out the permutation parameters and the initial value of a chaotic *** experimental results with the average NPCR=99.6094%(NPCR:number of pixels change rate),average UACI=33.4638%(UACI:unified average changing intensity),100%pass rate of the targets in the test set,the average correlation coefficient is 0.00075,and the local information entropy is 7.9025,which shows that the algorithm is able to defend against a variety of illegal attacks and provide more trustworthy protection than some of the existing state-of-the-art algorithms.

关键词： chaos memristive hyperchaotic map remote sensing SHA-512 image encryption RS-IEA

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Seasonal increase in nest defense,but not egg rejection,in a cuckoo host

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Avian Research 2024年第1期15卷 50-54页

作者： Bo Zhou Wei liang Ministry of Education Key Laboratory for Ecology of Tropical Islands Key Laboratory of Tropical Animal and Plant Ecology of Hainan ProvinceCollege of Life SciencesHainan Normal UniversityHaikou 571158China Institute of Biological Resources Jiangxi Academy of ScienceNanchang 330096China

The interactions between avian brood parasites and their hosts provide an informative and easy-to-handle system for studying *** brood parasitism reduces the reproductive success of hosts,and thus,hosts have evolved anti-parasitic strategies,such as rejecting parasitic eggs and adopting aggressive nest defense strategies,to avoid the cost brought on by brood *** test whether host anti-parasitic strategies are adjusted with the risk of being parasitized when the breeding seasons of brood parasites and hosts are not synchronous,we conducted a field experiment assessing nest defense and egg recognition behaviors of the Isabelline Shrike(Lanius isabellinus),a host of the Common Cuckoo(Cuculus canorus).In the local area,the host Isabelline Shrike begins to breed in April,whereas the summer migratory Common Cuckoo migrates to the local area in May and begins to lay parasitic *** showed that nest defense behaviors of the Isabelline Shrike increases significantly after cuckoo arrival,showing higher aggressiveness to cuckoo dummies,with no significant difference in attack rates among cuckoo,sparrowhawk and dove dummies,but their egg rejection did not change *** results imply that Isabelline Shrikes may adjust their nest defense behavior,but not egg rejection behavior,with seasonality.

关键词： Aggression Anti-parasite strategy Egg rejection Mismatch cuckoo parasitism Nest defense

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The low Mach number limit of non-isentropic magnetohydrodynamic equations with large temperature variations in bounded domains

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Science China Mathematics 2024年第4期67卷 787-818页

作者： Min liang Yaobin Ou School of Mathematics Renmin University of ChinaBeijing 100872China

This paper verifies the low Mach number limit of the non-isentropic compressible magnetohydrodynamic(MHD)equations with or without the magnetic diffusion in a three-dimensional bounded domain when the temperature variation is large but *** uniform estimates of strong solutions are established in a short time interval independent of the Mach number,provided that the slip boundary condition for the velocity and the Neumann boundary condition for the temperature are imposed and the initial data is well-prepared.

关键词： low Mach number limit non-isentropic compressible magnetohydrodynamic equations large temperature variations bounded domains

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Analysis of the one-decoy-state SARG04 quantum cryptography protocol in the presence of afterpulse effects

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Communications in Theoretical Physics 2024年第6期76卷 66-71页

作者： Hu Nian Ya-Feng Nie Chun-Mei Zhang liang-liang Lu Key Laboratory of Optoelectronic Technology of Jiangsu Province School of Physical Science and TechnologyNanjing Normal UniversityNanjing 210023China Institute of Quantum Information and Technology Nanjing University of Posts and TelecommunicationsNanjing 210003China Hefei National Laboratory Hefei 230088China

The SARG04 quantum key distribution protocol can offer greater robustness against photon number splitting attacks than the BB84 protocol that is implemented with weak *** this paper,we propose a tight key analysis for the SARG04 protocol,by considering the one-decoy method and investigating its performance under the influence of a detector *** results demonstrate that an increase in block size leads to a slight increase in both the secure key rate and the maximum transmission ***,the detector afterpulse plays a crucial role in practical applications and has a more pronounced effect on the SARG04 protocol compared to the BB84 protocol.

关键词： Quantum key distribution SARG04 protocol one decoy afterpulse

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HgaNets:Fusion of Visual Data and Skeletal Heatmap for Human Gesture Action Recognition

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Computers, Materials & Continua 2024年第4期79卷 1089-1103页

作者： Wuyan liang Xiaolong Xu School of Internet of Things Nanjing University of Posts and TelecommunicationsNanjing210023China School of Computer Science Nanjing University of Posts and TelecommunicationsNanjing210023China

Recognition of human gesture actions is a challenging issue due to the complex patterns in both visual andskeletal features. Existing gesture action recognition (GAR) methods typically analyze visual and skeletal data,failing to meet the demands of various scenarios. Furthermore, multi-modal approaches lack the versatility toefficiently process both uniformand disparate input ***, in this paper, an attention-enhanced pseudo-3Dresidual model is proposed to address the GAR problem, called HgaNets. This model comprises two independentcomponents designed formodeling visual RGB (red, green and blue) images and 3Dskeletal heatmaps, *** specifically, each component consists of two main parts: 1) a multi-dimensional attention module forcapturing important spatial, temporal and feature information in human gestures;2) a spatiotemporal convolutionmodule that utilizes pseudo-3D residual convolution to characterize spatiotemporal features of gestures. Then,the output weights of the two components are fused to generate the recognition results. Finally, we conductedexperiments on four datasets to assess the efficiency of the proposed model. The results show that the accuracy onfour datasets reaches 85.40%, 91.91%, 94.70%, and 95.30%, respectively, as well as the inference time is 0.54 s andthe parameters is 2.74M. These findings highlight that the proposed model outperforms other existing approachesin terms of recognition accuracy.

关键词： Gesture action recognition multi-dimensional attention pseudo-3D skeletal heatmap

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Recognition and rejection of foreign eggs of different colors in Barn Swallows

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Avian Research 2024年第3期15卷 374-378页

作者： Kui Yan Wei liang Ministry of Education Key Laboratory for Ecology of Tropical Islands Key Laboratory of Tropical Animal and Plant Ecology of Hainan ProvinceCollege of Life SciencesHainan Normal UniversityHaikou571158China

Brood parasitic birds lay eggs in the nests of other birds,and the parasitized hosts can reduce the cost of raising unrelated offspring through the recognition of parasitic *** can adopt vision-based cognitive mechanisms to recognize foreign eggs by comparing the colors of foreign and host ***,there is currently no uniform conclusion as to whether this comparison involves the single or multiple threshold decision *** this study,we tested both hypotheses by adding model eggs of different colors to the nests of Barn Swallows(Hirundo rustica)of two geographical populations breeding in Hainan and Heilongjiang Provinces in *** showed that Barn Swallows rejected more white model eggs(moderate mimetic to their own eggs)and blue model eggs(highly non-mimetic eggs with shorter reflectance spectrum)than red model eggs(highly nonmimetic eggs with longer reflectance spectrum).There was no difference in the rejection rate of model eggs between the two populations of Barn Swallows,and clutch size was not a factor affecting egg *** results are consistent with the single rejection threshold *** study provides strong experimental evidence that the color of model eggs can has an important effect on egg recognition in Barn Swallows,opening up new avenues to uncover the evolution of cuckoo egg mimicry and explore the cognitive mechanisms underlying the visual recognition of foreign eggs by hosts.

关键词： Barn Swallow Egg color Hirundo rustica Multiple rejection threshold Single rejection threshold Visual recognition system

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The Boundary Element Method for Ordinary State-Based Peridynamics

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Computer Modeling in Engineering & Sciences 2024年第6期139卷 2807-2834页

作者： Xue liang Linjuan Wang State Key Laboratory for Turbulence and Complex Systems Department of Mechanics and Engineering ScienceCollege of EngineeringPeking UniversityBeijing100871China CAPT-HEDPS and IFSA Collaborative Innovation Center of MoECollege of EngineeringPeking UniversityBeijing100871China School of Astronautics Beihang UniversityBeijing100191China

The peridynamics(PD),as a promising nonlocal continuum mechanics theory,shines in solving discontinuous *** to now,various numerical methods,such as the peridynamic mesh-free particlemethod(PD-MPM),peridynamic finite element method(PD-FEM),and peridynamic boundary element method(PD-BEM),have been ***-BEM,in particular,outperforms other methods by eliminating spurious boundary softening,efficiently handling infinite problems,and ensuring high computational ***,the existing PD-BEM is constructed exclusively for bond-based peridynamics(BBPD)with fixed Poisson’s ratio,limiting its applicability to crack propagation problems and scenarios involving infinite or semi-infinite *** this paper,we address these limitations by introducing the boundary element method(BEM)for ordinary state-based peridynamics(OSPD-BEM).Additionally,we present a crack propagationmodel embeddedwithin the framework ofOSPD-BEM to simulate crack *** validate the effectiveness of OSPD-BEM,we conduct four numerical examples:deformation under uniaxial loading,crack initiation in a double-notched specimen,wedge-splitting test,and threepoint bending *** results demonstrate the accuracy and efficiency of OSPD-BEM,highlighting its capability to successfully eliminate spurious boundary softening phenomena under varying Poisson’s ***,OSPDBEMsignificantly reduces computational time and exhibits greater consistencywith experimental results compared to PD-MPM.

关键词： Ordinary state-based peridynamics boundary element method crack propagation fracture toughness

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