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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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Integrated multi-scale approach combining global homogenization and local refinement for multi-field analysis of high-temperature superconducting composite magnets

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Applied Mathematics and Mechanics(English Edition) 2024年第5期45卷 747-762页

作者： Hanxiao guo Peifeng GAO Xingzhe WANG Key Laboratory of Mechanics on Western Disaster and Environment of Ministry of Education Key Laboratory of Special Function Materials and Structure Design of Ministry of EducationCollege of Civil Engineering and MechanicsLanzhou UniversityLanzhou 730000China

Second-generation high-temperature superconducting(HTS)conductors,specifically rare earth-barium-copper-oxide(REBCO)coated conductor(CC)tapes,are promising candidates for high-energy and high-field superconducting *** respect to epoxy-impregnated REBCO composite magnets that comprise multilayer components,the thermomechanical characteristics of each component differ considerably under extremely low temperatures and strong electromagnetic *** numerical models include homogenized orthotropic models,which simplify overall field calculation but miss detailed multi-physics aspects,and full refinement(FR)ones that are thorough but computationally ***,we propose an extended multi-scale approach for analyzing the multi-field characteristics of an epoxy-impregnated composite magnet assembled by HTS pancake *** approach combines a global homogenization(GH)scheme based on the homogenized electromagnetic T-A model,a method for solving Maxwell's equations for superconducting materials based on the current vector potential T and the magnetic field vector potential A,and a homogenized orthotropic thermoelastic model to assess the electromagnetic and thermoelastic properties at the macroscopic *** then identify“dangerous regions”at the macroscopic scale and obtain finer details using a local refinement(LR)scheme to capture the responses of each component material in the HTS composite tapes at the mesoscopic *** results of the present GH-LR multi-scale approach agree well with those of the FR scheme and the experimental data in the literature,indicating that the present approach is accurate and *** proposed GH-LR multi-scale approach can serve as a valuable tool for evaluating the risk of failure in large-scale HTS composite magnets.

关键词： epoxy-impregnated high-temperature superconducting(HTS)magnet multi-scale method global homogenization(GH) local refinement(LR) multi-field analysis

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Robust Feedback Set Stabilization of Logic Networks with State-Dependent Uncertain Switching and Control Constraints

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Journal of Systems Science & Complexity 2024年第2期37卷 629-646页

作者： DAI Chaoqun guo Yuqian GUI Weihua School of Automation Central South UniversityChangsha 410083China

This study investigates the robust feedback set stabilization of switched logic control networks(SLCNs)with state-dependent uncertain switching and control ***,based on the properties of the semi-tensor product of matrices and the vector representation of logic,an SLCN with state-dependent uncertain switching and control constraints is expressed in algebraic ***,an input transformation and a switching model are constructed to transfer the original SLCN into one with a free control input and arbitrary *** equivalence between the set stabilizability of the original SLCN and that of the resulting SLCN is *** on such equivalence,the authors propose a necessary and sufficient condition for robust feedback set ***,an example is presented to demonstrate the application of the results obtained.

关键词： Input transformation robust control invariant subset robust feedback set stabilizability semi-tensor product state-dependent constraints switched logic control network

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A General Simulation Method for Complex Deformation of Irregular-Shaped Origami Configurations

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Acta Mechanica Solida Sinica 2024年第1期37卷 90-98页

作者： zhaochen Dong Yichao zhu Xu guo State Key Laboratory of Structural Analysis for Industrial Equipment Department of Engineering MechanicsInternational Research Center for Computational MechanicsDalian University of TechnologyDalian 116023China

Most existing treatments for origami-folding simulations have focused on regular-shaped *** article aims to introduce a general strategy for simulating and analyzing the deformation process of irregular shapes by means of computational capabilities *** better simulate origami deformation with folding orders,the concept of plane follow-up is introduced to achieve automated computer simulation of complex folding patterns,thereby avoiding intersection and penetration between *** on the evaluation criteria such as the lowest storage energy with tightening and the fastest pace from tightening to unfolding,the optimal crease distribution patterns for four irregular(‘N’-,‘T’-,‘O’-,and‘P’-shaped)origami configurations are then presented under five *** the dimensions of the origami are fixed,it is discovered that simpler folding patterns lead to faster deformation of the origami *** the folding complexity is fixed,higher strain energy results in more rapid origami expansion.

关键词： Irregular-shaped origami Complex deformation Computer-aided origami design General simulation

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Solid Desiccant Heat Pump Fresh Air Unit using Composite Silica Gel

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Journal of Thermal Science 2024年第4期33卷 1286-1300页

作者： YANG Tianyu guo Defang GE Tianshu Institute of Refrigeration and Cryogenics Shanghai Jiao Tong UniversityKey Laboratory of Power Mechanical EngineeringMOE ChinaShanghai200240China Qingdao Haier A/C Electronic Co. LtdQingdao266101China

The introduction of fresh air into the indoor space leads to a significant increase in cooling or heating *** desiccant heat pump fresh air unit which can handle the latent and sensible load of fresh air efficiently have been proposed *** improve the performance of the solid desiccant heat pump fresh air unit in the fresh air handling process,in this paper,the application of composite silica gel in a heat pump fresh air unit was *** comparison between silica gel coating(SGC)and composite silica gel coating(CSGC)shows that the adsorption rate and water uptake capacity of CSGC are more than two times higher than those of *** experimental setup for the solid desiccant heat pump fresh air unit was *** performance of SGC and CSGC was tested in the setup *** show that under summer conditions,compared with the solid desiccant heat pump fresh air unit using silica gel(SGFU),the average moisture removal and COP of the one using composite silica gel(CSGFU)increased by 15%and 30%,*** winter conditions,compared with SGFU,the average humidification and COP of CSGFU increased by 42%and 17%.With optimal operation conditions of 3 min switchover time and 40 r/s compressor frequency,the COP of CSGFU under summer conditions can reach *** also show that the CSGFU and SGFU have higher COP and dehumidification rate under higher outdoor temperature and humidity ratio.

关键词： fresh air system desiccant coated heat exchanger humidification dehumidification experimental comparison

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GMAT:A Graph Modeling Method for Group Preference Prediction

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Journal of Systems Science and Systems Engineering 2024年第4期33卷 475-493页

作者： Xiangyu Li Xunhua guo guoqing Chen International Business School Jinan UniversityZhuhai519070China School of Economics and Management Tsinghua UniversityBeijing100084China

Preference prediction is the building block of personalized services,and its implementation at the group level helps enterprises identify their target customers *** methods for preference prediction mainly focus on behavioral interactions to extract the associations between groups and products,ignoring the importance of other auxiliary records(e.g.,online reviews and social tags)in association *** paper proposes a novel method named GMAT for group preference prediction,aiming to collectively detect the sophisticated association patterns from user generated content(UGC)and behavioral *** doing so,we construct a tripartite graph to collaborate these two types of data,and design a deep-learning algorithm with mutual attention module for generating the contextualized representations of groups and *** experiments on two real-world datasets show that GMAT is superior to other baselines in terms of group preference ***,GMAT is able to improve prediction accuracy compared with its different variants,further verifying the proposed method’s effectiveness on association pattern detection.

关键词： Group preference UGC tripartite graph deep learning

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cKBET:assessing goodness of batch effect correction for single-cell RNA-seq

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Frontiers of Computer Science 2024年第1期18卷 215-228页

作者： Yameng zhAO Yin guo Limin LI School of Mathematics and Statistics Xi’an Jiaotong UniversityXi’an 710049China

Single-cell RNA sequencing reveals the gene structure and gene expression status of a single cell,which can reflect the heterogeneity between ***,batch effects caused by non-biological factors may hinder data integration and downstream *** the batch effect can be evaluated by visualizing the data,which actually is subjective and *** this work,we propose a quantitative method cKBET,which considers the batch and cell type information *** cKBET method accesses batch effects by comparing the global and local fraction of cells of different batches in different cell *** verify the performance of our cKBET method on simulated and real biological data *** experimental results show that our cKBET method is superior to existing methods in most *** general,our cKBET method can detect batch effect with either balanced or unbalanced cell types,and thus evaluate batch correction methods.

关键词： single-cell RNA-seq dataset b batch effect assessment cKBET method

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Reliability-based life-cycle cost seismic design optimization of coastal bridge piers with nonuniform corrosion using different materials

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Earthquake Engineering and Engineering Vibration 2024年第1期23卷 209-225页

作者： Wu Xiangtong Yuan Wenting guo Anxin Key Lab of Smart Prevention and Mitigation of Civil Engineering Disasters of the Ministry of Industry and Information Technology Harbin Institute of TechnologyHarbin 150090China Key Lab of Structures Dynamic Behavior and Control of the Ministry of Education Harbin Institute of TechnologyHarbin 150090China Institute of Transportation Inner Mongolia UniversityHohhot 010070China

Reinforcement corrosion is the main cause of performance deterioration of reinforced concrete(RC)*** research has been performed to investigate the life-cycle cost(LCC)of coastal bridge piers with nonuniform corrosion using different *** this study,a reliability-based design optimization(RBDO)procedure is improved for the design of coastal bridge piers using six groups of commonly used materials,i.e.,normal performance concrete(NPC)with black steel(BS)rebar,high strength steel(HSS)rebar,epoxy coated(EC)rebar,and stainless steel(SS)rebar(named NPC-BS,NPC-HSS,NPC-EC,and NPC-SS,respectively),NPC with BS with silane soakage on the pier surface(named NPC-Silane),and high-performance concrete(HPC)with BS rebar(named HPC-BS).First,the RBDO procedure is improved for the design optimization of coastal bridge piers,and a bridge is selected to illustrate the ***,reliability analysis of the pier designed with each group of materials is carried out to obtain the time-dependent reliability in terms of the ultimate and serviceability ***,the repair time of the pier is predicted based on the time-dependent reliability ***,the time-dependent LCCs for the pier are obtained for the selection of the optimal design.

关键词： reliability-based design optimization(RBDO) life-cycle cost(LCC) nonuniform corrosion coastal bridge pier repair

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Research on light dark matter particle from evaporating primordial black hole in CDEX-10 experiment

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Science China(Physics,Mechanics & Astronomy) 2024年第10期67卷 168-169页

作者： Qing-guo Huang School of Fundamental Physics and Mathematical Sciences Hangzhou Institute for Advanced StudyUCASHangzhou 310024China CAS Key Laboratory of Theoretical Physics Institute of Theoretical PhysicsChinese Academy of SciencesBeijing 100190China School of Physical Sciences University of Chinese Academy of SciencesBeijing 100049China

Dark matter is an essential component of the universe,accounting for approximately 85%of all ***,what the nature of dark matter actually is remains a huge *** far,all evidence for the existence of dark matter has come from gravitational *** gravitational interactions are universal,it is challenging to reveal the nature of dark matter through gravitational *** unravel the mystery of dark matter,it is essential to directly detect dark matter.

关键词： approximate particle gravitational

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Mixed H_(∞)/Passive Exponential Synchronization for Delayed Memristive Neural Networks with Switching Event-Triggered Control

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Journal of Systems Science & Complexity 2024年第1期37卷 294-317页

作者： WU Wenhuang guo Lulu CHEN Hong Shanghai Research Institute for Intelligent Autonomous Systems Tongji UniversityShanghai 200092China Department of Control Science and Engineering Tongji UniversityShanghai 201804China

This paper is devoted to event-triggered synchronization of delayed memristive neural networks with H∞and passivity *** aim is to guarantee the exponential synchronization and mixed H∞and passivity control for memristive neural networks by using event-triggered ***,a switching system is constructed under the event-triggered control ***,by adopting a piece-wise Lyapunov functional,a sufficient condition is established for the exponential synchronization and mixed H_(∞)and passivity ***,an event-triggered controller design scheme is proposed using matrix decoupling ***,the effectiveness of the designed controller is exemplified by a numerical example.

关键词： Event-triggered control exponential synchronization memristive neural networks time delays.

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