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DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES

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Journal of Systems Science & Complexity 2013年第6期26卷 991-1001页

作者： MI Hui zhang shuguang School of Mathematical Sciences Nanjing Normal University Department of Statistics and Finance University of Science and Technology of China

This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization *** the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming *** dynamic option pricing equations are also *** particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac *** paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.

关键词： Non-traded asset option pricing portfolio selection stochastic control.

PRICING CONVERTIBLE BONDS AND CHANGE OF PROBABILITY MEASURE

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Journal of Systems Science & Complexity 2013年第6期26卷 968-977页

作者： JIA Zhaoli zhang shuguang Department of Statistics and Finance University of Science and Technology of China School of Mathematics Hefei University of Technology

The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete *** using the method of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.

关键词： Convertible bonds European option numeraire changes stochastic volatility model.

Several Properties of a Nonstandard Renewal Counting Process and Their Applications

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Journal of Systems Science & Complexity 2020年第1期33卷 122-136页

作者： LI Rong BI Xiuchun zhang shuguang Institute of Statistics and Applied Mathematics Anhui University of Finance and EconomicsBengbu 233030China Department of Statistics and Finance University of Science and Technology of ChinaHefei 230022China

This paper proposes a nonstandard renewal counting process based on web Markov skeleton process,called web renewal process,which allows applications in the field of natural science and social *** with the standard renewal counting process,some properties of the web renewal process and the corresponding web renewal reward processes,are *** limit properties,including the tail of the exponential moments of the web renewal process,and the results of precise large deviations and moderate deviations for the web renewal reward processes are derived.

关键词： Dependence moderate deviations precise large deviations web renewal process web renewal reward process

PRICING BARRIER OPTIONS UNDER STOCHASTIC VOLATILITY FRAMEWORK

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Journal of Systems Science & Complexity 2013年第4期26卷 609-618页

作者： ZHAI Yunfei BI Xiuchun zhang shuguang USTC-CityU Joint Advanced Research Centre Suzhou 215000China Department of Statistics and Finance University of Science and Technology of China

Abstract Option pricing problem plays an extremely important role in quantitative finance. In com- plete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipline and profession. However, in incomplete market, there are not any replicating port- folios for those options, and thus, the market traders cannot apply the law of one price for obtaining a unique solution. Fortunately, the authors can get a fair price via local-equilibrium principle. In this paper, the authors apply the stochastic control theory to price the exotic option-barrier options, and analyze the relationship between the price and the current positions. The authors get the explicit expression for the market price of the risk. The position effect plays a significant role in option pricing, because it can tell the trader how many and which direction to trade with the market in order to reach the local equilibrium with the market.

关键词： Barrier option exotic option stochastic control.

Pricing Variance Swaps Under Stochastic Volatility with an Ornstein-Uhlenbeck Process

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Journal of Systems Science & Complexity 2015年第6期28卷 1412-1425页

作者： JIA Zhaoli BI Xiuchun zhang shuguang School of Mathematics Hefei University of Technology Department of Statistics and Finance University of Science and Technology of China

Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical method for pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck(OU) process. By using Fourier transform algorithm, a closed-form solution for pricing variance swaps with stochastic volatility is obtained, and to give a comparison of fair strike value based on the discrete model, continuous model, and the Monte Carlo simulations.

关键词： Closed-form solution Ornstein-Uhlenbeck process stochastic volatility variance swaps

A Hazard Analysis-based Approach to Improve the Landing Safety of a BWB Remotely Piloted Vehicle

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Chinese Journal of Aeronautics 2012年第6期25卷 846-853页

作者： LU Yi zhang shuguang LI Xueqing Airworthiness Technologies Research Center Beihang University Beijing 100191 China

The BUAA-BWB remotely piloted vehicle （RPV） designed by our research team encountered an unexpected landing safety problem in flight tests. It has obviously affected further research project for blended-wing-body （BWB） aircraft configuration characteristics. Searching for a safety improvement is an urgent requirement in the development work of the RPV. In view of the vehicle characteristics, a new systemic method called system-theoretic process analysis （STPA） has been tentatively applied to the hazardous factor analysis of the RPV flight test. An uncontrolled system behavior ＂path sagging phenomenon＂ is identified by implementing a three degrees of freedom simulation based on wind tunnel test data and establishing landing safety system dynamics archetype. To obtain higher safety design effectiveness and considering safety design precedence, a longitudinal ＂belly-flap＂ control surface is innovatively introduced and designed to eliminate hazards in landing. Finally, flight tests show that the unsafe factor has been correctly identified and the landing safety has been efficiently improved.

关键词： BWB RPV landing safety STPA system dynamics safety design precedence sagging phenomenon belly-flap

Pricing Credit Derivatives Under Fractional Stochastic Interest Rate Models with Jumps

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Journal of Systems Science & Complexity 2017年第3期30卷 645-659页

作者： zhang Jiaojiao BI Xiuchun LI Rong zhang shuguang School of Mathematical Sciences Xiamen UniversityXiamen 361005China School of Management University of Science and Technology of ChinaHefei 230022China

Based on the reduced-form approach, this paper investigates the pricing problems of default-risk bonds and credit default swaps(CDSs) for a fractional stochastic interest rate model with jump under the framework of primary-secondary. Using properties of the quasi-martingale with respect to the fractional Brownian motion and the jump technique in Park(2008), the authors first derive the explicit pricing formula of defaultable bonds. Then, based on the newly obtained pricing formula of defaultable bonds, the CDS is priced by the arbitrage-free principle. This paper presents an extension of the primary-secondary framework in Jarrow and Yu(2001).

关键词： CDS fractional Brownian motion primary-secondary framework reduced-form approach.

Battery package design optimization for small electric aircraft

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Chinese Journal of Aeronautics 2020年第11期33卷 2864-2876页

作者： Mingkai WANG shuguang zhang Johannes DIEPOLDER Florian HOLZAPFEL Institute of Aircraft Airworthiness Engineering School of Transportation Science and EngineeringBeihang UniversityBeijing 100083China Institute of Flight System Dynamics Department of Mechanical EngineeringTechnical University of MunichGarching D-85748Germany

The increasing gross weight of electric Unmanned Aerial Vehicle(UAV) poses a challenge in practical applications. The range and endurance of the electric UAV are limited by the fixed mass of the battery package. In this work, a design optimization method for the battery package topology of small electric UAV is proposed to enhance the performance. To improve the accuracy of the method, the dynamic battery model and simplified electric component models are *** models are utilized by the trajectory optimization method, which takes the dynamic characteristic into consideration to calculate the aircraft performance. The direct optimal control method is used for solving the trajectory optimization problem, and this method is tested on a small blended-wing-body electric aircraft. The test result shows that the range and energy-consumption are mainly influenced by the parallel topology of the battery package, while the flight time in climb phase is more sensitive to the series topology. It is deduced that the range-and energy-optimal design points can be considered concurrently in design optimization. The work proves the feasibility of integrating the trajectory optimization and battery package design.

关键词： Battery pack Design optimization Electric power system Trajectory optimization Unmanned Aerial Vehicle(UAV)

Auto-updating model-based control for thrust variation mitigation and acceleration performance enhancement of gas turbine aero-engines

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Propulsion and Power Research 2024年第3期13卷 394-415页

作者： Zhiyuan Wei shuguang zhang Research Institute of Aero-Engine Beihang UniversityBeijing 102206China Beihang University Beijing 102206China Aircraft/Engine Integrated System Safety Beijing Key Laboratory Beihang UniversityBeijing 102206China

Model-based control shows promising potential for engine performance improve-ment and future aero-propulsion *** this paper,an auto-updating thrust variation mitigation(AuTVM)control approach using on-board model strategies is proposed for gas tur-bine aero-engines under in-service degradation effects,which aims at active thrust regulation and acceleration protection in a simultaneous *** AuTVM control is integrated with an on-line block,based on a reliable on-board engine model,and an off-line part for the periodical update of control parameters via post-flight engine monitoring *** core feature of the AuTVM control is a set of auto-updating loops within the on-line part,including thrust regu-lation loop,surge margin loop,turbine entry temperature loop,and the steady loop,whose con-trol parameters are periodically adjusted with increasingflight ***,an industrial sensor-based baseline controller and two tailored model-based controllers,i.e.,a thrust variation mitigation(TVM)controller withfixed gains and a self-enhancing active transient protection(SeATP)controller with pro-active transient protection and passive thrust control,are also developed as comparison *** simulations for idle to full-power acceleration tests are carried on a validated aero-thermal turbofan engine model using publicly available degra-dation *** results demonstrate that both new engines and severely degraded en-gines regulated by the AuTVM controller show significant thrust response enhancement,compared to the baseline ***,thrust variation at the maximum steady state of degraded engines,which exists within the SeATP controller and the baseline controller,is suppressed by the proposed AuTVM *** analysis against degradation uncer-tainties and sensor accuracy confirms that the AuTVM controller owns a closer maximum steady-state thrust distribution to the desired value than those of the SeATP and the basel

关键词： Gas turbine aero-engines Auto-updating thrust variation mitigation Active transient protection Model-based control Engine performance improvement Degradation effects