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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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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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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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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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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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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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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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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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Active flutter suppression of nonlinear fin-actuator system via inverse system and immersion and invariance method

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Chinese Journal of Aeronautics 2024年第4期37卷 343-362页

作者： Jin LU Zhigang wu Chao YANG Chinese Aeronautical Establishment Beijing 100029China School of Aeronautic Science and Engineering Beihang UniversityBeijing 100191China

Structural nonlinearities such as freeplay will affect the stability and even flight safety of the fin-actuator *** is a lack of a practical method for designing Active Flutter Suppression (AFS) control laws for nonlinear fin-actuator systems.A design method for the AFS controller of the nonlinear all-movable fin-electromechanical actuator system is established by combining the inverse system and the Immersion and Invariance (I&I) ***,the composite control law combining the inverse system principle and internal model control is used to offset the nonlinearity and dynamics of the actuator,so that its driving torque can follow the ideal ***,the ideal torque of the actuator is designed employing the I&I *** unfavorable oscillation of the fin is suppressed by making the output torque of the actuator track the ideal *** simulation results reveal that the proposed AFS method can increase the flutter speed of the nonlinear finactuator system with freeplay,and a set of controller parameters is also applicable for wider freeplay within a certain *** power required for the actuator does not exceed the power that can be provided by the commonly used aviation *** method can also resist a certain level of noise and external disturbance.

关键词： Aeroelasticity Active flutter suppression Fin-actuator system Freeplay Inverse system Immersion and invariance

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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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