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

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

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Estimates on the amplitude of the first Dirichlet eigenvector in discrete frameworks

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Science China Mathematics 2016年第2期59卷 205-226页

作者： DIACONIS Persi MICLO Laurent department of Mathematics Stanford University California 94305 USA Institut de Matheatiques de toulouse Universite de Toulouse and CNRS UMR 5219 France

Consider a finite absorbing Markov generator, irreducible on the non-absorbing states. PerronFrobenius theory ensures the existence of a corresponding positive eigenvector ψ. The goal of the paper is to give bounds on the amplitude max ψ/ min ψ. Two approaches are proposed: One using a path method and the other one, restricted to the reversible situation, based on spectral estimates. The latter approach is extended to denumerable birth and death processes absorbing at 0 for which infinity is an entrance boundary. The interest of estimating the ratio is the reduction of the quantitative study of convergence to quasi-stationarity to the convergence to equilibrium of related ergodic processes, as seen by Diaconis and Miclo(2014).

关键词： finite absorbing Markov process first Dirichlet eigenvector path method spectral estimates denumerable absorbing birth and death process entrance boundary

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Can earthen architectural heritage save us?

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Built Heritage 2021年第3期5卷 99-109页

作者： Sebastien Moriset Bakonirina Rakotomamonjy David Gandreau Centre international de la construction en terre Ecole Nationale Supérieure d’architecture de GrenobleCRAterreCS 12636‑38036 GRENOBLECedex 2France

Contemporary architecture seems to turn its back on the past in terms of the raw materials taken from the environ‑ment,their transformation into building components and the way they are assembled to create *** global challenge of preserving the environment forces us to rethink the way we produce architecture *** this challenge,the past shows us possible ways to fll the gap between tradition and ***,we need to understand what motivates people to abandon ancestral materials and knowledge for materials that they cannot manufacture or use *** this transformation to industrial materials and forms irreversible?Is there nothing we can learn from our rich past?How can we revive endogenous knowledge to produce environmentally wise archi‑tecture?These are the questions that the authors,who have been working on the revival of earthen heritage for over 20 years,wish to answer.

关键词： Learning from the past Endogenous knowledge Earthen architecture Sustainable architecture

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Interleukin 7 regulates switch transcription in developing B cells

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Cellular & Molecular Immunology 2021年第3期18卷 776-778页

作者： Audrey Dauba Fatima-Zohra Braikia Chloe Oudinet Ahmed Amine Kham lichi Mnstitut de Pharmacologie et de Biologie Structurale IPBSUniversite de ToulouseCNRSUniversity Paul Sabatier31077 ToulouseFrance

Class switch recombination(CSR)enables activated mature B cells to change immunoglobulin(Ig)isotype expression from IgM to IgG,IgE,or *** process requires activation-induced cytidine deaminase(AID)expression and transcription of the target sequences at the Ig heavy chain(IgH)constant locus,which is composed of multiple constant(C_(H))genes,each specifying an Ig isotype.

关键词： Interleukin enable IgH

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MsFEM à la Crouzeix-Raviart for Highly Oscillatory Elliptic Problems

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Chinese Annals of Mathematics,Series B 2013年第1期34卷 113-138页

作者： Claude LE BRIS Frédéric LEGOLL Alexei LOZINSKI cole nationale des Ponts et Chaussées 6 et 8 avenue Blaise Pascal INRIA Rocquencourt MICMAC project-team Institut de Mathématiques de toulouse Université Paul Sabatier Laboratoire de Mathématiques CNRS UMR 6623 Université de Franche-Comté

We introduce and analyze a multiscale finite element type method (MsFEM) in the vein of the classical Crouzeix-Raviart finite element method that is specifically adapted for highly oscillatory elliptic problems. We il... 详细信息

关键词： Homogenization Finite elements Galerkin methods Highly oscillatoryPde

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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

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Dust pollen distribution on a continental scale and its relation to present-day vegetation along north-south transects in east China

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Science China Earth Sciences 2007年第2期50卷 236-246页

作者： P. COUR D. DUZER G. ROBERT M. CALLEJA C. BEAUDOUIN ecole nationale Supérieure Agronomique de Montpellier 34000 Montpellier France UMR CNRS 5554 ISEM Université Montpellier 2 34000 Montpellier France department of Earth Sciences Sun Yat-sen University

A series of dust pollen samples was collected along N-S transects in east China (18°N to 53°N latitudes). Sample sites extend from the cold-temperate zone in the north to the tropical region in the south. Pollen taxa characterize each region and reflect the natural and devastated vegetation as well as corre- sponding climatic zones. The quantitative pollen data can be used to estimate the spatial distribution of planted and introduced species. Valuable information of human disturbance of the natural forest is evaluated by quantitative comparison between dust pollen and in-situ pollen of protected forest. In addition, percentages of grass pollen vary regularly from north to south that is consistent with spatial distribution of net primary productivity in east China. Among all grasses, Artemisia and the Gramineae carry the clearest signal: their ratio increases northwards and therefore represent a suitable and con- venient tool for palaeoclimate reconstructions.

关键词： dust pollen vegetation east China human impact climate zones

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Numerical Analysis of the Behavior of A New Aeronautical Alloy (Ti555-03) Under the Effect of A High-Speed Water Jet

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China Ocean Engineering 2019年第1期33卷 114-126页

作者： I.Ben Belgacem L.Cheikh E.M.Barhoumi W.Khan W.Ben Salem Laboratoire de Génie Mécanique Ecole Nationale d’Ingénieurs de MonastirUniversité de Monastir Institut Préparatoire aux Etudes d’Ingénieur de Monastir Université de Monastir department of Electrical and Computer Engineering College of EngineeringDhofar University University of Waterloo Institut Supérieur des Arts et Métiers de Mahdia Université de Monastir

In this paper, we present a numerical simulation of a water jet impacting a new aeronautical material Ti555-03 *** Computational Fluid Dynamics(CFD) behavior of the jet is investigated using a FV(Finite Volume) *** Fluid–Structure Interaction(FSI) is studied using a coupled SPH(Smoothed Particle Hydrodynamics)-FE(Finite Element) method. The jets hit the metal sheet with an initial velocity 500 m/s. Two configurations which differ from each other by the position(angle of inclination) of the plate relatively to the axis of revolution of the jet inlet are investigated in this study. The objective of this study is to predict the impact of the fluid produced at high pressure and high speed especially at the first moment of impact. Numerical simulations are carried out under ABAQUS. We have shown in this study that the inclination of the titanium alloy plate by 45° stimulates the phenomenon of recirculation of water. This affects the velocity profile, turbulence and boundary layers in the impact zone. The stagnation zone and the phenomenon of water recirculation are strongly influenced by the slope of the plate which gives a pressure gradient and displacement very important between the two configurations. Fluctuations of physical variables(displacement and pressure) prove the need for a noise and vibratory study. These predictions will subsequently be used for the modeling of the problem of an orthogonal cut in a high-speed machining process assisted by high-pressure water jet.

关键词： Titanium alloy(Ti555-03) CFD turbulence ABAQUS Smoothed Particle Hydrodynamics(SPH) Fluid Structure Interaction(FSI)

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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.

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3D random Voronoi grain-based models for simulation of brittle rock damage and fabric-guided micro-fracturing

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Journal of Rock Mechanics and Geotechnical Engineering 2014年第6期6卷 506-521页

作者： E.Ghazvinian M.S.Diederichs R.Quey Geo Engineering Centre Queen's UniversityKingston ON Canada ecole nationale Supérieure des Mines de Saint-Etienne CNRS UMR 5307 France

A grain-based distinct element model featuring three-dimensional （3D） Voronoi tessellations （randompoly-crystals） is proposed for simulation of crack damage development in brittle rocks. The grainboundaries in poly-crystal structure produced by Voronoi tessellations can represent flaws in intact rockand allow for numerical replication of crack damage progression through initiation and propagation ofmicro-fractures along grain boundaries. The Voronoi modelling scheme has been used widely in the pastfor brittle fracture simulation of rock materials. However the difficulty of generating 3D Voronoi modelshas limited its application to two-dimensional （2D） codes. The proposed approach is implemented inNeper, an open-source engine for generation of 3D Voronoi grains, to generate block geometry files thatcan be read directly into 3deC. A series of Unconfined Compressive Strength （UCS） tests are simulated in3deC to verify the proposed methodology for 3D simulation of brittle fractures and to investigate therelationship between each micro-parameter and the model＇s macro-response. The possibility of numericalreplication of the classical U-shape strength curve for anisotropic rocks is also investigated innumerical UCS tests by using complex-shaped （elongated） grains that are cemented to one another alongtheir adjoining sides. A micro-parameter calibration procedure is established for 3D Voronoi models foraccurate replication of the mechanical behaviour of isotropic and anisotropic （containing a fabric） rocks. 2014 Institute of Rock and Soil Mechanics, Chinese Academy of Sciences. Production and hosting byElsevier B.V. All rights reserved.

关键词： Numerical modelling 3D Voronoi tessellation Discrete element method Grain-based model Crack damage thresholds Fabric-guided micro-fracturing Anisotropy

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