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Early exercise premium method for pricing American options under the J-model

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Financial Innovation 2016年第1期2卷 266-291页

作者： Yacin Jerbi department of Computer Sciences and Applied Mathematics Ecole Nationale des Ingénieurs de SfaxBPW 3038 SfaxTunisia

Background:This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary(EEB).This model is based on a closed-form solution J-formula for pricing European options,defined in the study by Jerbi(Quantitative Finance,15:2041-2052,2015).The J-am pricing formula is a solution of the Black&Scholes(BS)Pde with an additional function called f as a second member and with limit conditions adapted to the American option *** aforesaid function f represents the cash flows resulting from an early exercise of the ***:This study develops the theoretical formulas of the early exercise premium value related to three American option pricing models called J-am,BS-am,and Heston-am *** three models are based on the J-formula by Jerbi(Quantitative Finance,15:2041-2052,2015),BS model,and Heston(Rev Financ Stud,6:327-343,1993)model,*** study performs a general algorithm leading to the EEB and to the American option price for the three ***:After implementing the algorithms,we compare the three aforesaid models in terms of pricing and the EEB *** particular,we examine the equivalence between J-am and Heston-am as an extension of the equivalence studied by Jerbi(Quantitative Finance,15:2041-2052,2015).This equivalence is interesting since it can reduce a bi-dimensional model to an equivalent uni-dimensional ***:We deduce that our model J-am exactly fits the Heston-am one for certain parameters values to be optimized and that all the theoretical results conform with the empirical *** required CPU time to compute the solution is significantly less in the case of the J-am model compared with to the Heston-am model.

关键词： American option pricing Stochastic volatility model Early exercise boundary Early exercise premium J-law J-process J-formula Heston model

Modeling of the Saltwater Intrusion Using the Level Set Method. Application to Henry’s Problem

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Computational Water, Energy, and Environmental Engineering 2022年第1期11卷 11-33页

作者： Joachna Meya Loua-Bouayi Christian Tathy Adolphe Kimbonguila Manounou Laboratoire Mécanique Energétique et Ingénierie Ecole Nationale Supérieure Polytechnique Université Marien Ngouabi Brazzaville Congo

The salt intrusion phenomenon is caused by overexploitation of aquifers in coastal areas. This physical phenomenon has been the subject of numerous studies and numerous methods have been proposed, with the aim of protecting the quality of the water in these aquifers. This work proposes a two-dimensional saline intrusion model using the sharp interface approach and the level set method. It consists of a parabolic equation modeling the underground flow and a hyperbolic Equation (the level set equation) which makes it possible to track the evolution of the interface. High-order numerical schemes such as the space scheme WENO5 and the third-order time scheme TVD-RK were used for the numerical resolution of the hyperbolic equation. To limit the tightening of the contour curves of the level set function, the redistanciation or reinitialization algorithm proposed by Su

关键词： Confined Aquifer Seawater Intrusion Level Set Method Sharp Interface Henry Problem

Study on the Ground Surface Quality of Cr_2O_3 Coatings

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厦门大学学报（自然科学版） 2002年第S1期41卷 14-页

作者： P Martin C Lescalier O Bomont R Bigot J Arzur ecole nationale supérieure d'Arts et Métiers Ecole Nationale Supérieure d'Arts et MétiersEcole Nationale Supérieure d'Arts et MétiersEcole Nationale Supérieure d'Arts et MétiersEcole Nationale Supérieure d'Arts et Métiers France France France France France

The ground surface quality of Cr 2O 3 coatings is investigated in this paper. The influence of some typical grinding parameters on ground surface integrity is discussed in detail. It is found that the ground surface roughness increases with the increase of depth-of-cut. The surface finish is improved as the increase of grinding speed, but too high grinding speed may result in serious vibration of the system. The increase of workpiece speed causes deterioration of surface finish and produces big grinding noise. Experiments on plateau treatment after the rough ground surface were also carried out. The surface profile of the ground surface after plateau treatment becomes much smoother than the former rough surface. Some sharp peaks on the ground surface may be effectively removed by the plateau treatment, which produces a reasonable surface profile and can stand much more load. Surface observations and analyses show that plastic deformation and micro-cracks occur on the ground surface. The material removal process is primarily a serious of localized surface fractures accompanied by multi-plastic deformations. Much more plastic deformation and micro-cracks emerge on the ground surface when the depth-of-cut increases. The increase of workpiece speed may produce more surface micro-cracks, but the relative increase of grinding speed is beneficial to ground surface quality.

关键词： ceramics Cr 20 3 coating grinding surface quality

Optimization of the Traction Resistance of Hydraulic Mortars Based on Togo Sands

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Open Journal of Applied Sciences 2021年第7期11卷 807-817页

作者： Kossi Bolanigni Amey ecole nationale supérieure des Ingénieurs (ENSI) de l’université de Lomé (UL) Lomé Togo Structure de Recherche et devéloppement (ERDF) de l’Institut FORMATEC Lomé Togo

The purpose of this study is to analyze the behavior of mortars from the sands of Togo in order to optimize their traction resistance. 3660 4 cm × 4 cm × 16 cm test tubes of mortars are prepared from the sands of 20 extraction sites in Togo with variations in water and cement while keeping the water-cement ratio constant (E/C = 0.5). It emerges a quadratically increasing evolution of resistance in flexural at 28 days of age (σf) for cement-sand (C/S) and water-sand (E/S) ratios varying respectively by the interval [0.0370, 0.3580] to [0.1977, 0.5120] and [0.0185, 0.1792] to [0.0988, 0.2605]. The resistances become stationary beyond these values (σf ≈ 3.4750 MPa to 7.9010 MPa). For structures whose resistance in traction is desired, three formulas of sand mortars from Togo are therefore defined: rich mortars (C/S > 0.5120 and E/S > 0.2605), lean (C/S E/S C/S E/S < 0.2605).

关键词： Sand Togo Mortar Resistance Flexural

Balance control during gait initiation: State-of-the-art and research perspectives

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World Journal of Orthopedics 2017年第11期8卷 815-828页

作者： Eric Yiou Teddy Caderby Arnaud delafontaine Paul Fourcade Jean-Louis Honeine Laboratoire CIAMS Université Paris-Sud Université Paris-Saclay Laboratoire CIAMS Université d’Orléans Laboratoire IRISSE UFR des Sciences de l’Homme et de l’Environnement Université de la Réunion ecole nationale de Kinésithérapie et Rééducation department of Public Health Experimental and Forensic Medicine University of Pavia

It is well known that balance control is affected by aging, neurological and orthopedic conditions. Poor balance control during gait and postural maintenance are associated with disability, falls and increased mortality. Gait initiation-the transient period between the quiet standing posture and steady state walking-is a functional task that is classically used in the literature to investigate how the central nervous system(CNS) controls balance during a whole-body movement involving change in the base of support dimensions and center of mass progression. Understanding how the CNS in able-bodied subjects exerts this control during such a challenging task is a prerequisite to identifying motor disorders in populations with specific impairments of the postural system. It may also provide clinicians with objective measures to assess the efficiency of rehabilitation programs and better target interventions according to individual impairments. The present review thus proposes a state-of-the-art analysis on:(1) the balance control mechanisms in play during gait initiation in able bodied subjects and in the case of some frail populations; and(2) the biomechanical parameters used in the literature to quantify dynamic stability during gait initiation. Balance control mechanisms reviewed in this article included anticipatory postural adjustments, stance leg stiffness, foot placement, lateral ankle strategy, swing foot strike pattern and vertical center of mass braking. Based on this review, the following viewpoints were put forward:(1) dynamic stability during gait initiation may share a principle of homeostatic regulation similar to most physiological variables, where separate mechanisms need to be coordinated to ensure stabilization of vital variables, and consequently; and(2) rehabilitation interventions which focus on separate or isolated components of posture, balance, or gait may limit the effectiveness of current clinical practices.

关键词： Balance control Anticipatory postural adjustments Leg stiffness Foot placement Lateral ankle strategy Foot strike pattern Vertical center of mass braking Dynamic stability Gait initiation Biomechanics

High temperature tribological behaviour of PVD coated tool steel and aluminium under dry and lubricated conditions

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Friction 2021年第4期9卷 802-821页

作者： Justine deCROZANT-TRIQUENAUX Leonardo PELCASTRE Cedric COURBON Braham PRAKASH Jens HARdeLL Division of Machine Elements Lulea University of TechnologySE-97187Sweden universite de Lyon CNRSEcole Nationale d'lngenieurs de Saint-EtienneLTDS UMR5513F-42023France department of Mechanical Engineering Tsinghua UniversityBeijing100084 China

Aluminium alloys are commonly used as lightweight materials in the automotive *** non-ferrous family of metallic alloys offers a high versatility of properties and *** reduce weight and improve safety,high strength-to-weight ratio alloys(e.g.6XXX and 7XXX),are increasingly implemented in ***,these alloys exhibit low formability and experience considerable springback during cold forming,and are therefore hot *** forming,severe adhesion(***)of aluminium onto the die surface takes *** phenomenon has a detrimental effect on the surface properties,geometrical tolerances of the formed parts and maintenance of the *** effect of surface engineering as well as lubricant chemistry on galling has not been sufficiently ***-like carbon(DLC)and CrN physical vapour deposition(PVD)coated steel have been studied to reduce aluminium ***,the interaction between lubricants and PVD coatings during hot forming of aluminium alloys is not yet fully *** present study thus aims to characterise the high temperature tribological behaviour of selected PVD coatings and lubricants during sliding against aluminium *** objectives are to first select promising lubricant-coating combinations and then to study their tribological response in a high-temperature reciprocating friction and wear *** and lubricated tests were carried out at 300℃ using a commercial polymer *** using DLC,CrN,CrTiN,and CrAIN coated tool steel were compared to uncoated tool steel reference *** initial and worn test specimen surfaces were analysed with a 3-dimensional(3D)optical profiler,scanning electron microscope(SEM)and energy dispersive X-ray spectroscope(EDS)as to understand the wear *** results showed formation of tribolayers in the contact zone,reducing both friction and *** stability of these layers highly depends on both the coatings'roughness and chemical affinity towards

关键词： high temperature tribology aluminium lubrication physical vapour deposition(PVD)coatings material transfer adhesion

Extreme Temperature Trends in the Beninese Niger River Basin (Benin)

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American Journal of Climate Change 2021年第4期10卷 371-385页

作者： Yarou Halissou Alamou Adéchina Eric Obada Ezéchiel Biao Ibukun Eliézer Chaire Internationale de Physique Mathématique et Application (CIPMA—CHAIRE UNESCO) Université d’Abomey-Calavi (UAC) Cotonou Benin Laboratoire de Géoscience de l’Environnement et Application (LaGEA/UNSTIM) Abomey Benin ecole nationale supérieure des Travaux Publics (ENSTP) Université Nationale des Sciences Technologies Ingénierie et Mathématiques (UNSTIM) Abomey Benin ecole nationale supérieure de Génie Mathématique et Modélisation Université Nationale des Sciences Technologies Ingénierie et Mathématiques (UNSTIM) Abomey Benin

In the context of climate change, the study of the variability of the climatic extremes in several regions of the world is of capital importance. This study has as main objective to analyze the variability of extreme temperature events in the Beninese basin of the Niger River for the recent and the near future. To achieve this objective, seven (07) extreme temperature indices based on historical daily temperature observations (1976 to 2019) and REMO RCM simulation outputs of RCP4.5 and RCP8.5 scenarios (2021-2050) were calculated. The obtained results were represented by calculating the means for each index and analyzing the trends and their significance by the Mann-Kendall method. The results show that the indices of extreme temperature intensity (TNn, TXx, and DTR), and those related to the frequency of warm sequences (WSDI, TN90p and TX90p) have experienced a significant increase in the past. This increase will continue until 2050. In contrast, the cold sequence frequency index (CSDI) decrease over the historical period as well as over the future period. These indices show much more change with the RCP8.5 scenario than with the RCP4.5 of the REMO climate model. Only the TXx and CSDI indices show statistically significant changes at all stations.

关键词： Temperatures Extreme Climatic Variations Beninese Niger River Basin

Dynamic airspace configuration by genetic algorithm

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Journal of Traffic and Transportation Engineering(English Edition) 2017年第3期4卷 300-314页

作者： Marina Sergeeva Daniel delahaye Catherine Mancel Andrija Vidosavljevic Laboratory in Applied Mathematics Computer Science and Automatics for Air Transport Ecole Nationale de L'Aviation Civile Toulouse 31055 France

With the continuous air traffic growth and limits of resources, there is a need for reducing the congestion of the airspace systems. Nowadays, several projects are launched, aimed at modernizing the global air transportation system and air traffic management. In recent years, special interest has been paid to the solution of the dynamic airspace configuration problem. Airspace sector configurations need to be dynamically adjusted to provide maximum efficiency and flexibility in response to changing weather and traffic conditions. The main objective of this work is to automatically adapt the airspace configurations ac- cording to the evolution of traffic. In order to reach this objective, the airspace is considered to be divided into predefined 3D airspace blocks which have to be grouped or ungrouped depending on the traffic situation. The airspace structure is represented as a graph and each airspace configuration is created using a graph partitioning technique. We optimize airspace configurations using a genetic algorithm. The developed algorithm generates a sequence of sector configurations for one day of operation with the minimized controller workload. The overall methodology is implemented and successfully tested with air traffic data taken for one day and for several different airspace control areas of Europe.

关键词： Dynamic airspace configuration Genetic algorithm Sectorization Graph partitioning

A Novel Active Learning Method Using SVM for Text Classification

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International Journal of Automation and computing 2018年第3期15卷 290-298页

作者： Mohamed Goudjil Mouloud Koudil Mouldi Bedda Noureddine Ghoggali ecole nationale superieure d'Informatique(ESI) Oued SmarAlgiersAlgeria AL Jouf university SakakaKingdom of Saudi Arabia LAAAS laboratory Faculte de TechnologieUniversite Batna 2FesdisAlgeria

support vector machines（SVMs） are a popular class of supervised learning algorithms, and are particularly applicable to large and high-dimensional classification problems. Like most machine learning methods for data classification and information retrieval, they require manually labeled data samples in the training stage. However, manual labeling is a time consuming and errorprone task. One possible solution to this issue is to exploit the large number of unlabeled samples that are easily accessible via the internet. This paper presents a novel active learning method for text categorization. The main objective of active learning is to reduce the labeling effort, without compromising the accuracy of classification, by intelligently selecting which samples should be *** proposed method selects a batch of informative samples using the posterior probabilities provided by a set of multi-class SVM classifiers, and these samples are then manually labeled by an expert. Experimental results indicate that the proposed active learning method significantly reduces the labeling effort, while simultaneously enhancing the classification accuracy.

关键词： Text categorization active learning support vector machine (SVM) pool-based active learning pairwise coupling.