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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 macro and micro shear strength of continuously graded and gap-graded sand

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Particuology 2024年第3期86卷 101-116页

作者： Peiran Zhao Songyu Liu Kai wu School of Transportation Southeast UniversityNanjing210096China

The particle gradation of sand has a significant influence on its shear strength,yet the similarities and differences between the effects of continuous and gap grading have yet to be fully *** this study,the discrete element method(DEM)was used to simulate biaxial tests on granular samples that were both continuously graded and *** macroscopic analysis revealed that the shear strength of continuously graded sands increases initially and then decreases as the uniformity of particle size distribution *** the other hand,the lack of medium particles in gap-graded sands amplifies the difference in particle size between coarse and fine particles,leading to a decrease in shear ***,both continuous and gap gradings affect the internal packing structure of the particle assembly,which consequently affects particle stress distributions,contact forces,coordination numbers,stress-induced anisotropies,and contact force networks,thus having an impact on the macroscopic shear *** global uniformity of particle size distribution was unidirectionally affected by continuous grading,while gap grading had a locally bidirectional *** findings provide a better understanding of the effects of particle grading on the macroscopic shear strength of sands.

关键词： Biaxial test Shear strength Particle gradation Discrete element method Micromechanics

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Optimization of jamming formation of USV offboard active decoy clusters based on an improved PSO algorithm

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Defence Technology（防务技术） 2024年第2期32卷 529-540页

作者： Zhaodong wu Yasong Luo Shengliang Hu College of Weapons Engineering PLA Naval University of EngineeringWuhan430033China

Offboard active decoys(OADs)can effectively jam monopulse ***,for missiles approaching from a particular direction and distance,the OAD should be placed at a specific location,posing high requirements for timing and *** improve the response speed and jamming effect,a cluster of OADs based on an unmanned surface vehicle(USV)is *** formation of the cluster determines the effectiveness of ***,based on the mechanism of OAD jamming,critical conditions are identified,and a method for assessing the jamming effect is ***,for the optimization of the cluster formation,a mathematical model is built,and a multi-tribe adaptive particle swarm optimization algorithm based on mutation strategy and Metropolis criterion(3M-APSO)is ***,the formation optimization problem is solved and analyzed using the 3M-APSO algorithm under specific *** results show that the improved algorithm has a faster convergence rate and superior performance as compared to the standard Adaptive-PSO *** with a single OAD,the optimal formation of USV-OAD cluster effectively fills the blind area and maximizes the use of jamming resources.

关键词： Electronic countermeasure Offboard active decoy USV cluster Jamming formation optimization Improved PSO algorithm

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Simultaneous purification of minor components in natural products using twin-column recycling chromatography with a step solvent gradient

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Chinese Journal of Chemical Engineering 2024年第5期69卷 212-219页

作者： Guangxia Jin Yuxue wu Feng Wei School of Biological and Chemical Engineering NingboTech UniversityNingbo 315100China

The isolation of minor components from complex natural product matrices presents a significant challenge in the field of purification science due to their low concentrations and the presence of structurally similar *** study introduces an optimized twin-column recycling chromatography method for the efficient and simultaneous purification of these elusive *** introducing water at a small flowing rate between the twin columns,a step solvent gradient is created,by which the leading edge of concentration band would migrate at a slower rate than the trailing edge as it flowing from the upstream to downstream ***,the band broadening is counterbalanced,resulting in an enrichment effect for those minor components in separation ***,two target substances,which showed similar peak position in high performance liquid chromatography(HPLC)and did not exceed 1.8%in crude paclitaxel were selected as target compounds for *** using the twin-column recycling chromatography with a step solvent gradient,a successful purification was achieved in getting the two with the purity almost 100%.We suggest this method is suitable for the separation of most components in natural produces,which shows higher precision and recovery rate compared with the common lab-operated separation ways for natural products(thin-layer chromatography and prep-HPLC).

关键词： Solvent gradient Twin-column recycling chromatography Purification Minor component Natural products

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Footprints of axion-like particle in pulsar timing array data and James Webb Space Telescope observations

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Science China(Physics,Mechanics & Astronomy) 2024年第11期67卷 55-62页

作者： Shu-Yuan Guo Maxim Khlopov Xuewen Liu Lei wu Yongcheng wu Bin Zhu Department of Physics Yantai UniversityYantai 264005 China Institute of Physics Southern Federal UniversityRostov on Don 344090 Russia National Research Nuclear University MEPhI(Moscow Engineering Physics Institute) Moscow 115409 Russia Virtual Institute of Astroparticle Physics Paris 75018 France Department of Physics and Institute of Theoretical Physics Nanjing Normal UniversityNanjing 210023 China

Several pulsar timing array(PTA) collaborations have recently reported the evidence for a stochastic gravitational-wave background(SGWB), which can unveil the formation of primordial seeds of inhomogeneities in the early universe. With the SGWB parameters inferred from PTAs data, we can make a prediction of the seeds for early galaxy formation from the domain walls in the axion-like particles(ALPs) field distribution. This also naturally provides a solution to the observation of high redshifts by the James Webb Space Telescope. The predicted photon coupling of the ALP is within the reach of future experimental searches.

关键词： stochastic gravitational-wave background pulsar timing array axion-like particle JWST

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State-Based Opacity Verification of Networked Discrete Event Systems Using Labeled Petri Nets

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IEEE/CAA Journal of Automatica Sinica 2024年第5期11卷 1274-1291页

作者： Yifan Dong Naiqi wu Zhiwu Li The authors are with the Institute of Systems Engineering Macao University of Science and TechnologyTaipa 999078MacaoChina

The opaque property plays an important role in the operation of a security-critical system,implying that pre-defined secret information of the system is not able to be inferred through partially observing its *** paper addresses the verification of current-state,initial-state,infinite-step,and K-step opacity of networked discrete event systems modeled by labeled Petri nets,where communication losses and delays are *** on the symbolic technique for the representation of states in Petri nets,an observer and an estimator are designed for the verification of current-state and initial-state opacity,***,we propose a structure called an I-observer that is combined with secret states to verify whether a networked discrete event system is infinite-step opaque or K-step *** to the utilization of symbolic approaches for the state-based opacity verification,the computation of the reachability graphs of labeled Petri nets is avoided,which dramatically reduces the computational overheads stemming from networked discrete event systems.

关键词： infinite system symbolic

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A buffer overflow detection and defense method based on RiSC-V instruction set extension

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Cybersecurity 2024年第2期7卷 28-43页

作者： Chang Liu Yan-Jun wu Jing-Zheng wu Chen Zhao Intelligent Software Research Center Institute of SoftwareChinese Academy of SciencesBejingChina University of Chinese Academy of Sciences BeijingChina State Key Laboratory of Computer Science Institute of SoftwareChinese Academy of SciencesBeijingChina

Buffer overflow poses a serious threat to the memory security of modern operating *** overwrites the con-tents of other memory areas by breaking through the buffer capacity limit,destroys the system execution environ-ment,and provides implementation space for various system attacks such as program control flow *** makes it a wide range of harms.A variety of security technologies have been proposed to deal with system security problems including buffer *** example,No eXecute(NX for short)is a memory management technology commonly used in Harvard *** can refuse the execution of code which residing in a specific memory,and can effectively suppress the abnormal impact of buffer overflow on control ***,in recent years,it has also been used in the field of system security,deriving a series of solutions based on NX technology,such as ExecShield,DEP,StackGuard,***,these security solutions often rely too much on the processor archi-tecture so that the protection coverage is insufficient and the accuracy is *** in the emerging system architecture field represented by RiSC-V,there is still a lack of effective solutions for buffer overflow *** the continuous rapid development of the system architecture,it is urgent to develop defense methods that are applicable to different system application environments and oriented to all executable memory spaces to meet the needs of system security ***,we propose BOP,A new system memory security design method based on RISC-V extended instructions,to build a RISC-V buffer overflow detection and defense system and deal with the buffer overflow threat in *** to this method,NX technology can be combined with program control flow analysis,and Nx bit mechanism can be used to manage the executability of memory space,so as to achieve a more granular detection and defense of buffer overflow attacks that may occur in RISC-V system

关键词： RISc-V Operating system security Buffer overflow Control flow hijacking Nx bit Xibop

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Improve Chinese Aspect Sentiment Quadruplet Prediction via Instruction Learning Based on Large Generate Models

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Computers, Materials & Continua 2024年第3期78卷 3391-3412页

作者： Zhaoliang wu Yuewei wu Xiaoli Feng Jiajun Zou Fulian Yin College of Information and Communication Engineering Communication University of ChinaBeijing100024China The State Key Laboratory of Media Convergence and Communication Communication University of ChinaBeijing100024China Department of Electronic Engineering Tsinghua UniversityBeijing100084China

Aspect-Based Sentiment Analysis(ABSA)is a fundamental area of research in Natural Language Processing(NLP).Within ABSA,Aspect Sentiment Quad Prediction(ASQP)aims to accurately identify sentiment quadruplets in target sentences,including aspect terms,aspect categories,corresponding opinion terms,and sentiment ***,most existing research has focused on English ***,while ASQP has seen significant progress in English,the Chinese ASQP task has remained relatively *** inspiration from methods applied to English ASQP,we propose Chinese generation templates and employ prompt-based instruction learning to enhance the model’s understanding of the task,ultimately improving ASQP performance in the Chinese ***,under the same pre-training model configuration,our approach achieved a 5.79%improvement in the F1 score compared to the previously leading ***,when utilizing a larger model with reduced training parameters,the F1 score demonstrated an 8.14%***,we suggest a novel evaluation metric based on the characteristics of generative models,better-reflecting model *** results validate the effectiveness of our approach.

关键词： ABSA ASQP LLMs sentiment analysis Chinese comments

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Study on the effective elastic performance of composites containing decagonal symmetric two-dimensional quasicrystal coatings

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Applied Mathematics and Mechanics(English Edition) 2024年第9期45卷 1655-1664页

作者： Yurun wu Lu LI Lianhe LI School of Mathematics and Science Inner Mongolia Normal UniversityHohhot 010022China Inner Mongolia Applied mathematics Center Hohhot 010022China Key Laboratory of Infinite Dimensional Hamiltonian System and Its Algorithm Application Ministry of EducationHohhot 010022China

On account of the Mori-Tanaka approach,the effective elastic performance of composites containing decagonal symmetric two-dimensional(2D)quasicrystal(QC)coatings is *** expressions for the effective elastic constants of rare-earth QC reinforced magnesium-based composites are *** discussion is presented on the effects of the volume fraction of the inclusions,the aspect ratio of the inclusions,the coating thickness,and the coating material parameters on the effective elastic constants of the *** results indicate that considering the coating increases the effective elastic constants of the composites to some extent.

关键词： Mori-Tanaka approach coated inclusion decagonal symmetric twodimensional(2D)quasicrystal(QC)

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Study on damage mechanism and damage distribution of the rear plate under impact of debris cloud

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Defence Technology（防务技术） 2024年第5期35卷 151-167页

作者： Chenyang wu Xiaowei Chen Qiguang He State Key Laboratory of Explosion Science and Technology Beijing Institute of TechnologyHaidian DistrictBeijing 100081China School of Mechatronical Engineering Beijing Institute of TechnologyHaidian DistrictBeijing 100081China Institute of Fluid Physics China Academy of Engineering PhysicsMianyang 621900SichuanChina

The debris cloud generated by the hypervelocity impact(HVI)of orbiting space debris directly threatens the spacecraft.A full understanding of the damage mechanism of rear plate is useful for the optimal design of protective *** this study,the hypervelocity yaw impact of a cylindrical aluminum projectile on a double-layer aluminum plate is simulated by the FE-SPH adaptive method,and the damage process of the rear plate under the impact of the debris cloud is analyzed based on the debris cloud *** damage process can be divided into the main impact stage of the debris cloud and the structural response of the rear *** main impact stage lasts a short time and is the basis of the rear plate *** the stage of structure response,the continuous deformation and inertial motion of the rear plate dominate the perforation of the rear *** further analyze the damage mechanism and damage distribution characteristics of the rear plate in ***,the connection between velocity space and position space of the debris cloud is established,which promotes the general analysis of the damage law of debris *** on the relationship,the features of typical damage areas are identified by the localized fine *** the cumulative effect and structural response cause the perforation of rear plate;in the non-perforated area,cratering by the impact of hazardous fragments is the main damage mode of the rear plate.

关键词： Damage of rear plate Debris cloud Secondary impact Hypervelocity yaw impact FE-SPH adaptive method

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