An Optimization Approach for Pricing of Sherpa Target Redemption Notes

Based on the one-factor CIR interest rate model, the pricing of Sherpa Target Redemption Notes (STARN) with early-excise features is investigated in this paper. Firstly, the characteristics of Sherpa target redemption notes were described and the partial differential equation was proposed. Secondly, both non-arbitrage jump conditions on the coupon date and early-excise policy on the redemption date were provided; furthermore, the boundary conditions of partial differential equations were also discussed. Thirdly, a numerical method for solving the partial differential equation was obtained based on the control volume in the theory of finite volume by making use of the upwind weighting scheme to avoid the numerical oscillation phenomenon. Finally, the sensitivity of the model parameters was analyzed. The results show that the STARN value decreases rapidly with the increase in short-term interest rates, furthermore, when short-term interest rates reached a turning point the rate of decline slowed. As volatility increases, the value of the Notes is increased; increasingly as the proportion redeemed is large, STARN value increases

Leader-following coordination of multi-agent systems with coupling time delays

In this paper, we consider a leader-following consensus problem of a group of autonomous agents with time-varying coupling delays. Two different cases of coupling topologies are investigated. At first, a necessary and sufficient condition is proved in the case when the interconnection topology is fixed and directed. Then a sufficient condition is proposed in the case when the coupling topology is switched and balanced. Numerical examples are also given to illustrate our results.Comment: 16 pages,5 figure

Bis(1,3,4-thia­diazol-2-yl) disulfide

The title compound, C4H2N4S4, lies about a twofold rotation axis situated at the mid-point of the central S—S bond. Each of two thia­diazole rings is essentially planar, with an rms deviation for the unique thia­diazole ring plane of 0.0019 (7) Å. C—H⋯N hydrogen bonds link adjacent mol­ecules, forming zigzag chains along the c axis. In addition, these chains are connected by inter­molecular S⋯S inter­actions [S⋯S = 3.5153 (11) Å] , forming corrugated sheets, and further fabricate a three-dimensional supra­molecular structure by inter­molecular N⋯S contacts [S⋯N = 3.1941 (17) Å]

A Lévy Option Pricing model of FFT-Based High-order Multinomial Tree

This paper studies the method of constructing high order recombined multinomial tree based on fast Fourier transform (FFT), and applies multinomial tree option pricing under the Lévy process. First, the Lévy option pricing model and Fourier transform are introduced. Then, the network model based on FFT (Markov chain) is presented. After that, a method of constructing a recombined multinomial tree based on FFT is given. It is proved that the discrete random variables corresponding to the multinomial tree converge to the Lévy distributed continuous random variable. Next, we obtain the European option pricing formula of FFT multinomial tree pricing, and apply the reverse iteration method to the American option pricing. Finally, under the Jump-diffuse process, the difference between the computational accuracy and computational efficiency of the Semi-analytical solution of European Option and Merton European Call Option which are priced under FFT is compared. The results show that the method of constructing a high-order recombined multinomial tree based on FFT has very high calculation precision and calculation speed, which can solve the problem of traditional risk-neutral multinomial tree construction and it is a promising pricing method for derivative products

A hybrid Si@FeSiy/SiOx anode structure for high performance lithium-ion batteries via ammonia-assisted one-pot synthesis

Synthesised via planetary ball-milling of Si and Fe powders in an ammonia (NH3) environment, a hybrid Si@FeSiy/SiOx structure shows exceptional electrochemical properties for lithium-ion battery anodes, exhibiting a high initial capacity of 1150 mA h g−1 and a retention capacity of 880 mA h g−1 after 150 cycles at 100 mA g−1; and a capacity of 560 mA h g−1 at 4000 mA g−1. These are considerably high for carbon-free micro-/submicro-Si-based anodes. NH3 gradually turns into N2 and H2 during the synthesis, which facilitates the formation of highly conductive FeSiy (y = 1, 2) phases, whereas such phases were not formed in an Ar atmosphere. Milling for 20–40 h leads to partial decomposition of NH3 in the atmosphere, and a hybrid structure of a Si core of mixed nanocrystalline and amorphous Si domains, shelled by a relatively thick SiOx layer with embedded FeSi nanocrystallites. Milling for 60–100 h results in full decomposition of NH3 and a hybrid structure of a much-refined Si-rich core surrounded by a mantle of a relatively low level of SiOx and a higher level of FeSi2. The formation mechanisms of the SiOx and FeSiy phases are explored. The latter structure offers an optimum combination of the high capacity of a nanostructural Si core, relatively high electric conductivity of the FeSiy phase and high structural stability of a SiOx shell accommodating the volume change for high performance electrodes. The synthesis method is new and indispensable for the large-scale production of high-performance Si-based anode materials

Experimental study of THGEM detector with mini-rim

The gas gain and energy resolution of single and double THGEM detectors (5{\times}5cm2 effective area) with mini-rims (rim is less than 10{\mu}m) were studied. The maximum gain can reach 5{\times}103 and 2{\times}105 for single and double THGEM respectively, while the energy resolution of 5.9 keV X-ray varied from 18% to 28% for both single and double THGEM detectors of different hole sizes and thicknesses.All the experiments were investigated in mixture of noble gases(argon,neon) and small content of other gases(iso-butane,methane) at atmospheric pressure.Comment: 4pages,6figures, it has been submitted to Chinese Physics