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Robust Valuation,Arbitrage Ambiguity and Profit&Loss Analysis

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Journal of the Operations Research Society of China 2018年第1期6卷 59-83页

作者： yu-hong xu Mathematical Center for Interdiscipline Research and School of Mathematical Sciences Soochow UniversitySuzhou 215006China

Model uncertainty is a type of inevitable financial *** on the choice of pricing model may cause great financial *** this paper we investigate financial markets with mean-volatility *** for stock market and option market with uncertain prior distributions are established by Peng’s G-stochastic *** the hedging market,the upper price of an(exotic)option is derived following the Black–Scholes–Barenblatt *** is interesting that the corresponding Barenblatt equation does not depend on mean uncertainty of the underlying *** definitions of arbitrage for super-and sub-hedging strategies are presented such that the super-and sub-hedging prices are *** particular,the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model *** we show that the term K of finite variance arising in the superhedging strategy is interpreted as the max Profit&Loss(P&L)of shorting a delta-hedged *** ask-bid spread is in fact an accumulation of the superhedging P&L and the sub-hedging P&L.

关键词： Arbitrage Risk-neutral valuation Profit&Loss Overestimation G-expectation

铝板水热碳吸附工艺制备APC/Al层状复合材料的显微组织、力学性能和摩擦学性能

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Transactions of Nonferrous Metals Society of China 2024年第1期34卷 108-121页

作者：陈奕涵许红雨姜博王晔胡茂良吉泽升哈尔滨理工大学材料科学与化学工程学院哈尔滨150080 哈尔滨理工大学先进制造智能化技术教育部重点实验室哈尔滨150080

采用铝板水热碳吸附工艺(HTCAP)和真空热压烧结工艺(VHPS)制备无定形碳(APC)/Al层状复合材料,研究葡萄糖溶液浓度对其显微组织、力学性能和摩擦学性能的影响。结果表明,APC在层间分布均匀,并且通过Al的扩散与基体形成良好的界面结合。... 详细信息

采用铝板水热碳吸附工艺(HTCAP)和真空热压烧结工艺(VHPS)制备无定形碳(APC)/Al层状复合材料,研究葡萄糖溶液浓度对其显微组织、力学性能和摩擦学性能的影响。结果表明,APC在层间分布均匀,并且通过Al的扩散与基体形成良好的界面结合。随着葡萄糖溶液浓度的增加,层间硬度、极限抗拉强度(UTS)和伸长率先增大后减小,而磨损率则呈现相反的趋势,摩擦因数(COF)逐渐减小。当葡萄糖溶液浓度为0.3 mol/L时,伸长率最大,为16.4%,磨损率最小,为0.344×10^(-5)mm^(3)/(N·m)。粘着磨损是APC/Al层状复合材料的主要磨损机制。耐磨性的提高是由于在磨损表面形成均匀的APC润滑膜。

关键词：铝基层状复合材料无定形碳水热反应界面显微组织摩擦学性能

LES NUMERICAL SIMULATION OF CAVITATION BUBBLE SHEDDING ON ALE 25 AND ALE 15 HYDROFOILS

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Journal of Hydrodynamics 2009年第6期21卷 807-813页

作者： LIU De-min LIU Shu-hong WU yu-lin xu hong-yuan State Key Laboratory of Hydro Science and Hydraulic Engineering Department of Thermal Engineering Tsinghua University Beijing 100084 China

A cavitation calculation scheme is developed and applied to ALE 15 and ALE 25 hydrofoils, based on the Bubble Two-phase Flow （BTF） cavity model with a Large Eddy Simulation （LES） methodology. The Navier-Stokes equations including cavitation bubble clusters are solved through the finite-volume approach with a time-marching scheme. Simulations are carried out in a 3-D field with a hydrofoil ALE 15 or ALE 25 at an angle of attack of 8^0 and cavitation number σ = 2.3 with α 2× 10^6, meshing system. With the time-marching, the cavitation bubble gradually grows to a steady lump shape and then produces an irregular small bubble behind the main cavitation bubble, finally shedding from the leading edge of the cloud cavitation structure. The calculated results including velocity field and pressure field are consistent with experiment data at the same Reynolds number and cavitation number. The vortex and reverse flow are observed on the hydrofoil surface.

关键词： cavitation ALE hydrofoil Large Eddy Simulation (LES)

Temperature Effect on the Mechanical Behavior of Acrylic Polymers under Quasi-static and Dynamic Loading

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上海交通大学学报 2004年第z2期38卷 89-95页

作者： Tao Suo yulong Li hong yu Fei xu Zhongbin Tang Lei Li School of Aeronautics Northwestern Polytechnical University Xi''an710072 China School of Aeronautics Northwestern Polytechnical University Xi''an710072 China School of Aeronautics Northwestern Polytechnical University Xi''an710072 China School of Aeronautics Northwestern Polytechnical University Xi''an710072 China School of Aeronautics Northwestern Polytechnical University Xi''an710072 China Beijing Institute of Aeronautical Materials Beijing100095China

In this paper, the mechanical behavior of acrylic polymers at elevated temperature was investigated. Four acrylic polymers were tested at high strain rate by using compression Hopkinson bar and at quasi-static strain rate by using an Instron servo hydraulic axial testing machine with the testing temperature from 218K to 393K. The results show that the mechanical property of acrylic polymers depends heavily on the testing temperature. The yield stress and Young's modulus were found to decrease with increasing temperature at low strain rate. At very low temperature, the materials display typical brittle fracture; however their plasticity improves remarkably at high temperatures. The predictions of the mechanical behavior including the effect of temperature and strain rate using a proposed theoretical model have a good agreement with experimental results.

关键词： acrylic polymer compression Hopkinson bar quasi-static dynamic fracture

A Worst-Case Risk Measure by G-VaR

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Acta Mathematicae Applicatae Sinica 2021年第2期37卷 421-440页

作者： Zi-ting PEI Xi-shun WANG yu-hong xu Xing-ye yuE Center for Financial Engineering Soochow UniversitySuzhou 215006China Math Center for Interdiscipline Research Soochow UniversitySuzhou 215006China School of Mathematical Sciences Soochow UniversitySuzhou 215006China

G-VaR,which is a type of worst-case value-at-risk(VaR),is defined as measuring risk incorporating model *** with most extant notions of worst-case VaR,G-VaR can be computed using an explicit formula,and can be applied to large portfolios of several hundred dimensions with low computational *** also apply G-VaR to robust portfolio optimization,thereby providing a tractable means to facilitate optimal allocations under the condition of market ambiguity.

关键词： risk measurement worst-case value-at-risk portfolio management G-expectation

NbB_(2)Modified Al-Cu Alloys Fabricated by Freeze-Ablation Casting under High Cooling Rate Solidification

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Acta Metallurgica Sinica(English Letters) 2024年第5期37卷 921-938页

作者： Xiang Kong yu Wang hong xu Haotian Fan yuewu Zheng Beibei Xie School of Materials Science and Engineering North University of ChinaTaiyuan 030051China

At present,improving the properties of aluminum alloys is generally achieved by increasing the cooling rate of the melt and adding micro-nano *** the cooling rate of the melt to improve the refining effect of grain refiner is still a difficult problem in the aluminum alloy casting *** innovative and environmentally friendly casting process,known as freeze ablation,was introduced during the preparation of an Al–NbB_(2) intermediate *** process significantly enhanced the cooling rate of the *** results indicated that the Al–NbB_(2) intermediate alloy produced under high cooling rates had a noticeable refining effect on Al–Cu alloys,with smaller NbB2 particles demonstrating superior refining *** average grain size of the refined Al–Cu alloy decreased from 154 to 69μm,the tensile strength increased by 12%,the fluidity increased by 18.4%,and the hot tearing index decreased from 144 to *** matching degree between NbB_(2) andα-Al was calculated using high-resolution transmission electron microscopy and the edge-to-edge *** was found that the atomic interplanar spacing and the interatomic spacing mismatch between NbB_(2)’splane and Al were both less than 10%,which further proved that NbB2 could serve as an effective nucleation site forα-Al grains to achieve grain refinement.

关键词： Grain refinement Freeze ablation Particle size control Mechanical properties Process properties

Resolving the geometric structure of trastuzumab by mobility capillary electrophoresis and native mass spectrometry

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Chinese Chemical Letters 2024年第3期35卷 221-225页

作者： Wenjing Zhang Jie hong Lei Yang Zuqiang xu yu Xiang Wei xu School of Life Science Beijing Institute of TechnologyBeijing 100081China

Available online Immunoglobulins G(IgGs)are Y-shaped globular proteins,however,their high flexibility and heterogeneity pose great challenges to their structure and conformation *** structure of IgG closely correlates to its biofunctions,such as the antibody escape of human immunodeficiency virus(HIV)could attribute to the distance mismatch between the ends of two Fab arms(antigen-binding sites)and envelope glycoprotein spikes on virion ***,we report the first use of mobility capillary electrophoresis(MCE)and native mass spectrometry(nMS)to resolve the internal geometric structure and conformation of an IgG(trastuzumab)in solution *** proteolysis,the ellipsoid dimensions of IgG and its subunits were measured by MCE-nMS *** was then reconstructed,in which the sizes and relative positions of these three subunits in three-dimensional space were *** was found that the two Fab arms have an angle of~102.1°and a distance of~11.0 nm between the two antigen-binding sites under native condition,and the Fc arm was tilted~16.0°towards one of the Fab *** was not on the plane of Fab-Fab,but has an angle of no larger than 103.1°.Under acidic environment(pH 3.0),each subunit of the IgG would unfold into larger dimensions,and the angles between these subunits also *** great potential for tumor imaging and therapy,the structure of F(ab')_(2)fragments was also measured and validated by molecular dynamic *** was found that the electrostatic force among these three subunits and steric hindrance stemming from Fc help maintaining the angle between two Fab arms.

关键词： Native mass spectrometry Mobility capillary electrophoresis Trastuzumab Protein structure Geometric structure

Expression of regulating apoptosis gene and apoptosis index in primary liver cancer

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World Journal of Gastroenterology 2000年第5期6卷 721-724页

作者： hong yu xu You Lin Yang Xi Li Guan Guang Song Ai Min Jiang Li Jun Shi Department of Digestion The First Hospital of Harbin Medical UniversityHarbin 150001China Department of Pathology The First Hospital of Harbin Medical UniversityHarbin 150001China

INTRODUCTIONProgramed cell death plays an important role in thegenesis of *** cancer genes canregulate ***,several proteins thatare structurally related to Bcl-2,an inhibitor ofapoptosis,have been ***,novel strategies... 详细信息

关键词： liver neoplasms apoptosis immunohistochemistry oncogenes tumor markers biological in situ hybridization

Arsenic trioxide induces apoptosis of human gastrointestinal cancer cells

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World Journal of Gastroenterology 2014年第18期20卷 5505-5510页

作者： Zhi-Bin Ma hong-yu xu Miao Jiang You-Lin Yang Lian-Xin Liu Ying-Hua Li Department of Gastroenterology First Affiliated Hospital of Harbin Medical University Department of Hematology First Affiliated Hospital of Harbin Medical University

AIM: To investigate the changes in apoptosis in gastrointestinal cancer cells from patients with gastrointestinal cancers treated with arsenic trioxide (As2O3); and to study the possible molecular mechanisms of such c... 详细信息

关键词： Gastrointestinal cancer Arsenic trioxide Apoptosis p53 Bcl-2