Fractional Order Stochastic Differential Equation with Application in European Option Pricing

Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets. In recent years, fractional order ordinary differential equation is used as an effective instrument for describing the memory effect in complex systems. In this paper, we establish a fractional order stochastic differential equation (FSDE) model to describe the effect of trend memory in financial pricing. We, then, derive a European option pricing formula based on the FSDE model and prove the existence of the trend memory (i.e., the mean value function) in the option pricing formula when the Hurst index is between 0.5 and 1. In addition, we make a comparison analysis between our proposed model, the classic Black-Scholes model, and the stochastic model with fractional Brownian motion. Numerical results suggest that our model leads to more accurate and lower standard deviation in the empirical study

The characteristics of local government debt governance: evidence from qualitative and social network analysis of Chinese policy texts

This paper takes 66 local government debt governance policy texts from 2009 to 2019 as sample, and constructs an analysis framework of ‘target debt - management measures - mechanism guarantee’, derives up with identifying the characteristics of determining local government debt governance in China. The results show as follow: (i) It attaches more importance to the policy design of ‘borrowing’, ‘repayment’ and ‘management’ on local government debt instead of the ‘usage’ in China. (ii) The evidence supports the relatively average coding distribution of each policy, but the content is quite different. (iii) It manifests the new development value of ‘people-oriented’ and the concept of collaborative governance in the policy design. (iv) It has formed a ‘centreedge’ model for the governance of the local government debt. This paper provides a new perspective for the study of the problems of local government debt governance, and puts forward policy recommendations for improving the governance of the local government debt

Effect of Bone Morphogenetic Protein-2 on Proliferation and Apoptosis of Gastric Cancer Cells

Objective: To investigate the effects of bone morphogenetic protein-2 (BMP-2) on the proliferation, differentiation and apoptosis of normal human gastric mucosal cells and gastric cancer cells

Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

Many researchers have established various hedge models to get the optimal hedge ratio. However, most of the hedge models only discuss the discrete-time processes. In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation. At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio. In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test

Precursors and Pathways Leading to Enhanced Secondary Organic Aerosol Formation during Severe Haze Episodes

Publisher Copyright: © 2021 American Chemical SocietyMolecular analyses help to investigate the key precursors and chemical processes of secondary organic aerosol (SOA) formation. We obtained the sources and molecular compositions of organic aerosol in PM2.5in winter in Beijing by online and offline mass spectrometer measurements. Photochemical and aqueous processing were both involved in producing SOA during the haze events. Aromatics, isoprene, long-chain alkanes or alkenes, and carbonyls such as glyoxal and methylglyoxal were all important precursors. The enhanced SOA formation during the severe haze event was predominantly contributed by aqueous processing that was promoted by elevated amounts of aerosol water for which multifunctional organic nitrates contributed the most followed by organic compounds having four oxygen atoms in their formulae. The latter included dicarboxylic acids and various oxidation products from isoprene and aromatics as well as products or oligomers from methylglyoxal aqueous uptake. Nitrated phenols, organosulfates, and methanesulfonic acid were also important SOA products but their contributions to the elevated SOA mass during the severe haze event were minor. Our results highlight the importance of reducing nitrogen oxides and nitrate for future SOA control. Additionally, the formation of highly oxygenated long-chain molecules with a low degree of unsaturation in polluted urban environments requires further research.Peer reviewe

A diazirine-based photoaffinity probe for facile and efficient aptamer-protein covalent conjugation

National Basic Research Program of China [2010CB732402, 2013CB933703]; National Science Foundation of China [91313302, 21205100, 21275122, 21075104]; Fundamental Research Funds for the Central Universities [2012121025]; National Science Foundation for Distinguished Young Scholars of China [21325522]A photo-reactive functional labelling reagent, diazirine phosphoramidite, was designed and synthesized for easy and flexible sitespecific labelling of oligonucleotides with the diazirine moiety. The new reagent allows facile photo-crosslinking of oligonucleotide with its interacting partner for a variety of applications, including tertiary structure determination, molecular interaction study and biomarker discovery