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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 resources.However,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 transactions.Consequentially,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 effect.The literature exploring the analysis of the impact of moral hazard on the probability of agreement default from a micro perspective is not yet available.With this in mind,this paper focuses on the mechanisms by which“fraud”,an extreme manifestation of micro-moral hazard incentives,affects the probability of default.This 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 incentives.Meanwhile,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 model.In 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 default.Finally,based on the analysis of the results of the numerical simulat

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

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Experimental study on the variation of optical remote sensing imaging characteristics of internal solitary waves with wind speed

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Journal of Oceanology and Limnology 2024年第2期42卷 408-420页

作者： zhe CHANG Lina SUN Tengfei LIU Meng ZHANG Keda liang Junmin MENG Jing WANG School of Physics and Optoelectronic Engineering Ocean University of ChinaQingdao 266100China First Institute of Oceanography Ministry of Natural ResourcesQingdao 266061China Technology Innovation Center for Ocean Telemetry Ministry of Natural ResourcesQingdao 266061China

Optical remote sensing has been widely used to study internal solitary waves(ISWs).Wind speed has an important effect on ISW imaging of optical remote sensing.The light and dark bands of ISWs cannot be observed by optical remote sensing when the wind is too strong.The relationship between the characteristics of ISWs bands in optical remote sensing images and the wind speed is still unclear.The influence of wind speeds on the characteristics of the ISWs bands is investigated based on the physical simulation experiments with the wind speeds of 1.6,3.1,3.5,3.8,and 3.9 m/s.The experimental results show that when the wind speed is 3.9 m/s,the ISWs bands cannot be observed in optical remote sensing images with the stratification of h_(1)∶h_(2)=7∶58,ρ_(1)∶ρ_(2)=1∶1.04.When the wind speeds are 3.1,3.5,and 3.8 m/s,which is lower than 3.9 m/s,the ISWs bands can be obtained in the simulated optical remote sensing image.The location of the band’s dark and light extremum and the band’s peak-to-peak spacing are almost not affected by wind speed.More-significant wind speeds can cause a greater gray difference of the light-dark bands.This provided a scientific basis for further understanding of ISW optical remote sensing imaging.

关键词： internal solitary wave(ISW) optical remote sensing wind speed characteristics of ISWs bands

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Beam based alignment using a neural network

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Nuclear Science and Techniques 2024年第4期35卷 108-118页

作者： Guan-liang Wang Ke-Min Chen Si-Wei Wang zhe Wang Tao He Masahito Hosaka Guang-Yao Feng Wei Xu National Synchrotron Radiation Laboratory University of Science and Technology of ChinaHefei 230029China Diamond Light Source Oxfordshire OX110DEUK

Beams typically do not travel through the magnet centers because of errors in storage rings.The beam deviating from the quadrupole centers is affected by additional dipole fields due to magnetic field feed-down.Beam-based alignment(BBA)is often performed to determine a golden orbit where the beam circulates around the quadrupole center axes.For storage rings with many quadrupoles,the conventional BBA procedure is time-consuming,particularly in the commissioning phase,because of the necessary iterative process.In addition,the conventional BBA method can be affected by strong coupling and the nonlinearity of the storage ring optics.In this study,a novel method based on a neural network was proposed to determine the golden orbit in a much shorter time with reasonable accuracy.This golden orbit can be used directly for operation or adopted as a starting point for conventional BBA.The method was demonstrated in the HLS-II storage ring for the first time through simulations and online experiments.The results of the experiments showed that the golden orbit obtained using this new method was consistent with that obtained using the conventional BBA.The development of this new method and the corresponding experiments are reported in this paper.

关键词： Golden orbit Beam-based alignment Neural network Storage ring

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SAM3D: zero-shot 3D object detection via the segment anything model

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Science China(Information Sciences) 2024年第4期67卷 331-332页

作者： Dingyuan ZHANG Dingkang liang Hongcheng YANG Zhikang ZOU Xiaoqing YE zhe LIU Xiang BAI School of Artificial Intelligence and Automation Huazhong University of Science and Technology Baidu Inc. School of Electronic Information and Communication Huazhong University of Science and Technology

In the past few years, foundation models have thrived and succeeded in linguistic and visual tasks, showing astonishing zero-shot and few-shot capabilities. Their advances encourage researchers and industries to extend the boundaries of what artificial intelligence can do and have shown some fantastic products(e.g., ChatGPT [1]) with the potential to change the world.

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Enhancing thermoelectric performance in P-type Mg_(3)Sb_(2)-based Zintls through optimization of band gap structure and nanostructuring

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Journal of Materials Science & Technology 2024年第3期170卷 25-32页

作者： Yi-bo Zhang Ji-Sheng liang Chengyan Liu Qi Zhou zhe Xu Hong-bo Chen Fu-cong Li Ying Peng Lei Miao Guangxi Key Laboratory of Information Material Engineering Research Center of Electronic Information Materials and DevicesMinistry of EducationSchool of Material Science and EngineeringGuilin University of Electronic TechnologyGuilin 541004China Guangxi Key Laboratory for Relativity Astrophysics Center on Nanoenergy ResearchGuangxi Key Laboratory of Processing for Nonferrous Metal and Featured MaterialsSchool of Physical Science&TechnologyGuangxi UniversityNanning 530004China Guangxi Key Laboratory of Precision Navigation Technology and Application Guilin University of Electronic TechnologySchool of Information and CommunicationGuilin 541004China

P-type Mg_(3)Sb_(2)-based Zintls have attracted considerable interest in the thermoelectric(TE)field due to their environmental friendliness and low cost.However,compared to their n-type counterparts,they show relatively low TE performance,limiting their application in TE devices.In this work,we simultaneously introduce Bi alloying at Sb sites and Ag doping at Mg sites into the Mg_(3)Sb_(2)to coopera-tively optimize the electrical and thermal properties for the first time,acquiring the highest ZT value of∼0.85 at 723 K and a high average ZT of 0.39 in the temperature range of 323-723 K in sample Mg_(2.94)Ag_(0.06)Sb_(1.9)Bi_(0.1).The first-principle calculations show that the codoping of Ag and Bi can shift the Fermi level into the valence band and narrow the band gap,resulting in the increased carrier concentration from 3.50×10^(17)cm^(-3)in the reference Mg 3 Sb 0.9 Bi 0.1 to∼7.88×10^(19)cm^(-3)in sample Mg 2.94 Ag 0.06 Sb 0.9 Bi 0.1.As a result,a remarkable power factor of∼778.9μW m^(-1)K^(-2)at 723 K is achieved in sample Mg 2.94 Ag 0.06 Sb 0.9 Bi 0.1.Meanwhile,a low lattice thermal conductivity of∼0.48 W m^(-1)K^(-1)at 723 K is also obtained with the help of phonon scattering at the distorted lattice,point defects,and nano-precipitates in sample Mg 2.94 Ag 0.06 Sb 0.9 Bi 0.1.The synergistic effect of using the multi-element co-doping/-alloying to optimize electrical properties in Mg_(3)Sb_(2)holds promise for further improving the TE performance of Zintl phase materials or even others.

关键词： Thermoelectric materials Band engineering Nanostructuring P-type Mg_(3)Sb_(2) Ag and Bi Co-doping

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Metabolite acetyl-L-carnitine participates in Bifidobacterium animalis F1-7 to ameliorate atherosclerotic inflammation by downregulating theTLR4/NF-κB pathway

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Food Science and Human Wellness 2024年第2期13卷 813-822页

作者： Xi liang zhe Zhang Xiaoying Tian Qingyu Cui Haiyan Lu Maozhen Zhao Tongjie Liu Huaxi Yi Pimin Gong Lanwei Zhang Department of Nutrition and Food Hygiene School of public healthQingdao UniversityQingdao 266071China College of Food Science and Engineering Ocean University of ChinaQingdao 266003China

This study aimed to explore the effect of Bifidobacterium animalis F1-7 on the improvement of atherosclerotic inflammation.Arteriosclerosis model ApoE^(-/-)mice were orally administered with B.animalis F1-7 for 12 weeks.The probiotic intervention reduced the plaque areas in aorta and the accumulation of macrophages,and downregulated the expression of toll-like receptor 4(TLR4)/nuclear factorκB(NF-κB)pathway to reduce the levels of inflammatory factors.The widely-targeted metabolomics analysis showed that acetyl-L-carnitine(ALC)in the intestine of atherosclerotic mice was significantly increased after B.animalis F1-7 intervention.Correlation analysis proved that ALC was associated with atherosclerotic inflammatory response.By using oxidized low density lipoprotein induced macrophage foam cells,we further verified that ALC could reduce lipid accumulation and inflammatory response in foam cells by downregulating the TLR4/NF-κB pathway.Finally,our results revealed that B.animalis F1-7 upregulated the metabolite ALC to downregulate the inflammatory responses,leading to the reduction of plaque accumulation of atherosclerosis.

关键词： Bifidobacterium animalis F1-7 Atherosclerosis Inflammation Metabonomics Acetyl-L-carnitine

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In-situ construction of epitaxial phase for boosting zinc nucleation on three-dimensional interface

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Progress in Natural Science:Materials International 2024年第3期34卷 578-584页

作者： Xin He zhe Zhu Xiaoqiao Liao Kai Yang Yixue Duan Linfeng Lv Chuan Zhao Wei Zhao Jibing Chen Peng Tian Xiaoyu Liu liang He School of Mechanical Engineering State Key Laboratory of Intelligent Construction and Healthy Operation and Maintenance of Deep Underground Engineering Sichuan University School of Chemistry Faculty of Science University of New South Wales School of Materials Science and Engineering Sichuan University of Science & Engineering School of Mechanical Engineering Wuhan Polytechnic University Med+X Center for Manufacturing West China Hospital Sichuan University Yibin Industrial Technology Research Institute of Sichuan University Yibin R&D Park of Sichuan University

Interface modification of zinc（Zn） metal anode with conductive three-dimensional（3D） structure is widely utilized in zinc ion batteries. However, the uniformity of zinc nucleation on surface microstructure is rarely investigated which exacerbates the tip effect and raises unstable risk. Herein, a strategy via the initial copper（Cu）alloying and following sulfurization treatment is reported to accomplish boosted uniform nucleation of zinc on the modified layer with dense microstructures. This epitaxial sulfide phase not only improves the wetting area to revitalize the microstructural surface, but also forms a bifunctional zincophilic Cu2S/CuZn alloy interface layer,which combines the merits of guided local ions diffusion and improved zinc nucleation environment. As a result, a homogeneous growth of zinc on the 3D structural substrate can be realized, and cycling stability of the achieved Cu2S/CuZn electrode with a practical capacity of 1 mAh cm-2under 1 mA cm-2or amplified current density of 10 mA cm-2is significantly enhanced. This work provides an epitaxial strategy in constructing a bifunctional zincophilic interface layer for boosting zinc nucleation, and offers a new perspective on the modification of 3D surface structure for stabilization of zinc anode.

关键词： CuZn alloy Hydrophilicity Sulfide Zn anode Zn metal battery

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Electromagnetic Performance Prediction for the Symmetrical Dual Three-phase Surface-mounted PMSM under Open-phase Faults Based on Accurate Subdomain Model

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CES Transactions on Electrical Machines and Systems 2022年第4期6卷 422-437页

作者： zhe liang Deliang liang Peng Kou Shaofeng Jia IEEE the Xi'an Jiaotong University Xi’an710049China

The paper presents an accurate analytical subdomain model for predicting the electromagnetic performance in the symmetrical dual three-phase surface-mounted permanent magnet synchronous machine(PMSM)under open-phase faulty conditions.The model derivations are extended from previous accurate subdomain models accounting for slotting effects.Compared with most conventional subdomain models for traditional three-phase machines with nonoverlapping winding arrangement,the subdomain model proposed in this paper applied for the 24-slot/4-pole dual three-phase machine with symmetrical overlapping winding arrangement.In order to investigate the postfault electromagnetic performance,the reconfigured phase currents and then current density distribution in stator slots under different open-circuit conditions are discussed.According to the developed model and postfault current density distribution,the steady-state electromagnetic performance,such as the electromagnetic torque and unbalanced magnetic force,under open-circuit faulty conditions are obtained.For validation purposes,finite element analysis(FEA)is employed to validate the analytical results.The result indicate that the postfault electromagnet performance can be accurately predicted by the proposed subdomain model,which is in good agreement with FEA results.

关键词： Dual three-phase Permanent magnet synchronous machine Subdomain model Electromagnetic torque Unbalanced magnetic force Open-phase fault

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Esophageal cancer screening,early detection and treatment:Current insights and future directions

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World Journal of Gastrointestinal Oncology 2024年第4期16卷 1180-1191页

作者： Hong-Tao Qu Qing Li liang Hao Yan-Jing Ni Wen-Yu Luan zhe Yang Xiao-Dong Chen Tong-Tong Zhang Yan-Dong Miao Fang Zhang Department of Emergency Yantai Mountain HospitalYantai 264000Shandong ProvinceChina Cancer Center Yantai Affiliated Hospital of Binzhou Medical UniversityThe 2nd Medical College of Binzhou Medical UniversityYantai 264100Shandong ProvinceChina

Esophageal cancer ranks among the most prevalent malignant tumors globally,primarily due to its highly aggressive nature and poor survival rates.According to the 2020 global cancer statistics,there were approximately 604000 new cases of esophageal cancer,resulting in 544000 deaths.The 5-year survival rate hovers around a mere 15%-25%.Notably,distinct variations exist in the risk factors associated with the two primary histological types,influencing their worldwide incidence and distribution.Squamous cell carcinoma displays a high incidence in specific regions,such as certain areas in China,where it meets the cost-effect-iveness criteria for widespread endoscopy-based early diagnosis within the local population.Conversely,adenocarcinoma(EAC)represents the most common histological subtype of esophageal cancer in Europe and the United States.The role of early diagnosis in cases of EAC originating from Barrett's esophagus(BE)remains a subject of controversy.The effectiveness of early detection for EAC,particularly those arising from BE,continues to be a debated topic.The variations in how early-stage esophageal carcinoma is treated in different regions are largely due to the differing rates of early-stage cancer diagnoses.In areas with higher incidences,such as China and Japan,early diagnosis is more common,which has led to the advancement of endoscopic methods as definitive treatments.These techniques have demonstrated remarkable efficacy with minimal complications while preserving esophageal functionality.Early screening,prompt diagnosis,and timely treatment are key strategies that can significantly lower both the occurrence and death rates associated with esophageal cancer.

关键词： Esophageal cancer Screening Early detection Treatment Endoscopic mucosal resection Endoscopic submucosal dissection

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Prediction of treatment response to antipsychotic drugs for precision medicine approach to schizophrenia:randomized trials and multiomics analysis

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Military Medical Research 2024年第1期11卷 19-33页

作者： liang-Kun Guo Yi Su Yu-Ya-Nan Zhang Hao Yu zhe Lu Wen-Qiang Li Yong-Feng Yang Xiao Xiao Hao Yan Tian-Lan Lu Jun Li Yun-Dan Liao zhe-Wei Kang Li-Fang Wang Yue Li Ming Li Bing Liu Hai-liang Huang Lu-Xian Lv Yin Yao Yun-Long Tan Gerome Breen Ian Everall Hong-Xing Wang Zhuo Huang Dai Zhang Wei-Hua Yue Institute of Mental Health Peking University Sixth HospitalBeijing 100191China National Clinical Research Center for Mental Disorders Peking University Sixth HospitalBeijing 100191China NHC Key Laboratory of Mental Health and Research Unit of Diagnosis and Treatment of Mood Cognitive Disorder(2018RU006) Chinese Academy of Medical SciencesBeijing 100191China Peking University Huilongguan Clinical Medical School Beijing Huilongguan HospitalBeijing 100096China Department of Psychiatry Jining Medical UniversityJining 272067ShandongChina Henan Key Lab of Biological Psychiatry the Second Affiliated Hospital of Xinxiang Medical UniversityXinxiang 435001HenanChina Key Laboratory of Animal Models and Human Disease Mechanisms of the Chinese Academy of Sciences and Yunnan Province Kunming Institute of ZoologyChinese Academy of SciencesKunming 650223China Institute of Psychiatry Psychology and NeuroscienceKing’s College LondonLondon WC2R 2LSUK State Key Laboratory of Cognitive Neuroscience and Learning Beijing Normal UniversityBeijing 100875China Analytic and Translational Genetics Unit Massachusetts General HospitalBostonMA 02114USA Stanley Center for Psychiatric Research the Broad Institute of MIT and HarvardCambridgeMA 02141USA Department of Medicine Harvard Medical SchoolBostonMA 02115USA Department of Biostatistics and Computational Biology School of Life SciencesFudan UniversityShanghai 200438China Department of Neurology Xuanwu HospitalCapital Medical UniversityBeijing 100053China State Key Laboratory of Natural and Biomimetic Drugs Key Laboratory for Neuroscience for Ministry of EducationSchool of Pharmaceutical SciencesPeking University Health Science CenterBeijing 100191China PKU-IDG/McGovern Institute for Brain Research Peking UniversityBeijing 100871China Chinese Institute for Brain Research Beijing 102206China

Background:Choosing the appropriate antipsychotic drug(APD)treatment for patients with schizophrenia(SCZ)can be challenging,as the treatment response to APD is highly variable and difficult to predict due to the lack of effective biomarkers.Previous studies have indicated the association between treatment response and genetic and epigenetic factors,but no effective biomarkers have been identified.Hence,further research is imperative to enhance precision medicine in SCZ treatment.Methods:Participants with SCZ were recruited from two randomized trials.The discovery cohort was recruited from the CAPOC trial(n=2307)involved 6 weeks of treatment and equally randomized the participants to the Olanzapine,Risperidone,Quetiapine,Aripiprazole,Ziprasidone,and Haloperidol/Perphenazine(subsequently equally assigned to one or the other)groups.The external validation cohort was recruited from the CAPEC trial(n=1379),which involved 8 weeks of treatment and equally randomized the participants to the Olanzapine,Risperidone,and Aripiprazole groups.Additionally,healthy controls(n=275)from the local community were utilized as a genetic/epigenetic reference.The genetic and epigenetic(DNA methylation)risks of SCZ were assessed using the polygenic risk score(PRS)and polymethylation score,respectively.The study also examined the genetic-epigenetic interactions with treatment response through differential methylation analysis,methylation quantitative trait loci,colocalization,and promoteranchored chromatin interaction.Machine learning was used to develop a prediction model for treatment response,which was evaluated for accuracy and clinical benefit using the area under curve(AUC)for classification,R^(2) for regression,and decision curve analysis.Results:Six risk genes for SCZ(LINC01795,DDHD2,SBNO1,KCNG2,SEMA7A,and RUFY1)involved in cortical morphology were identified as having a genetic-epigenetic interaction associated with treatment response.The developed and externally validated prediction model,which incorporated clinical information,

关键词： Schizophrenia Antipsychotic drug Treatment response Prediction model Genetics Epigenetics

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