An Application of Malliavin Calculus to Hedging Exotic Barrier Options

The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to the composition of a Generalized Function and a Stochastic Variable which makes it applicable to the discontinuous payoffs encountered with Barrier Structures. The thesis makes a mathematical contribution by providing an elementary calculus for the composition of a Generalized function with a Stochastic Variable in the presence of a conditional expectation

Research and practice on training mode of applied talents for electrical engineering majors in universities

The training of applied talents focuses on students’ innovation ability and engineering practice ability, which requires electrical engineering teachers to fully embody the integration of theoretical knowledge and engineering practice in their teaching. In the teaching reform work, teachers should pay attention to optimize the teaching Settings, starting from two aspects of theory and practice, to promote students to obtain more knowledge of electricity, eff ectively develop students’ application level of electric electronic technology, and help students develop comprehensively. Colleges and universities should pay more attention to the training of application-oriented talents and train more qualifi ed talents for the development of social production. Based on this, this paper analyzes the practical strategies for the training mode of applied talents for electrical engineering majors in colleges and universities, in order to provide references for educators

Integration of the Forced-Choice Questionnaire and the Likert Scale: A Simulation Study

The Thurstonian item response theory (IRT) model allows estimating the latent trait scores of respondents directly through their responses in forced-choice questionnaires. It solves a part of problems brought by the traditional scoring methods of this kind of questionnaires. However, the forced-choice designs may still have their own limitations: The model may encounter underidentification and non-convergence and the test may show low test reliability in simple test designs (e.g., test designs with only a small number of traits measured or short length). To overcome these weaknesses, the present study applied the Thurstonian IRT model and the Graded Response Model to a different test format that comprises both forced-choice blocks and Likert-type items. And the Likert items should have low social desirability. A Monte Carlo simulation study is used to investigate how the mixed response format performs under various conditions. Four factors are considered: the number of traits, test length, the percentage of Likert items, and the proportion of pairs composed of items keyed in opposite directions. Results reveal that the mixed response format can be superior to the forced-choice format, especially in simple designs where the latter performs poorly. Besides the number of Likert items needed is small. One point to note is that researchers need to choose Likert items cautiously as Likert items may bring other response biases to the test. Discussion and suggestions are given to construct personality tests that can resist faking as much as possible and have acceptable reliability

Comparison of Different LGM-Based Methods with MAR and MNAR Dropout Data

The missing not at random (MNAR) mechanism may bias parameter estimates and even distort study results. This study compared the maximum likelihood (ML) selection model based on missing at random (MAR) mechanism and the Diggle–Kenward selection model based on MNAR mechanism for handling missing data through a Monte Carlo simulation study. Four factors were considered, including the missingness mechanism, the dropout rate, the distribution shape (i.e., skewness and kurtosis), and the sample size. The results indicated that: (1) Under the MAR mechanism, the Diggle–Kenward selection model yielded similar estimation results with the ML approach; Under the MNAR mechanism, the results of ML approach were underestimated, especially for the intercept mean and intercept slope (μi and μs). (2) Under the MAR mechanism, the 95% CP of the Diggle–Kenward selection model was lower than that of the ML method; Under the MNAR mechanism, the 95% CP for the two methods were both under the desired level of 95%, but the Diggle–Kenward selection model yielded much higher coverage probabilities than the ML method. (3) The Diggle–Kenward selection model was easier to be influenced by the non-normal degree of target variable's distribution than the ML approach. The level of dropout rate was the major factor affecting the parameter estimation precision, and the dropout rate-induced difference of two methods can be ignored only when the dropout rate falls below 10%

Soft Roof Failure Mechanism and Supporting Method for Gob-Side Entry Retaining

To study the soft roof failure mechanism and the supporting method for a gateway in a gently inclined coal seam with a dip angle of 16° kept for gob-side entry retaining, and through the methodology of field investigation and numerical and analytical modeling, this paper analyzed the stress evolution law of roof strata at the working face end and determined that the sharp horizontal stress unloading phenomenon along the coal wall side did not appear after the working face advanced. Conversely, the horizontal stress along the gob side instantly decreased and the tensile stress produced, and the vertical stress in the central part of the roof had a higher reduction magnitude as well. An in-depth study indicates that the soft roof of the working face end subsided and seriously separated due to the effect of the front abutment pressure and the roof hanging length above the gob line, as well as certain other factors, including the rapid unloading of the lateral stress, tension and shear on the lower roof rock layer and dynamic disturbance. Those influencing factors also led to rapid crack propagation on a large scale and serious fracturing in the soft roof of the working face end. However, in the gob stress stabilized zone, the soft roof in the gob-side entry retaining has a shearing failure along the filling wall inside affected by the overburden pressure, rock bulking pressure, and roof gravity. To maintain the roof integrity, decrease the roof deformation, and enable the control of the working face end soft roof and the stabilization of the gob-side entry retaining roof, this study suggests that the preferred bolt installation angle for the soft roof situation is 70° based on the rock bolt extrusion strengthening theory

Saturation Flow Rate and Start-up Lost Time of Dual-left Lanes at Signalized Intersection in Rainy Weather Condition

AbstractThis study aims at finding out the difference of saturation flow rate and start-up lost time at dual left lanes between normal and rainy weather. It is based on the investigation of a signalized intersection in Shanghai. The result shows that compared to clear weather, saturation flow in rainy weather decreases by 3-7 percent and each lane's start-up lost time rises by 21-31 percent. However, comparing light-medium rainy weather to clear weather, the statistical difference of each of these two parameters is not significant

Assessing the Relevancy of National Culture in Predicting the Efficacy of Constraints in the Information Systems Consulting Domain

Opportunism is present in professional services and, as a result, organizations adopt mechanisms to constrain it. Despite the work on constraining opportunistic consultants, researchers have generally ignored the potential impact of national culture on the efficacy of constraint mechanisms. Using the theory of relationship constraints (TRC), this study examines the effectiveness of different constraint mechanisms for information systems (IS) consultants in the United States and China based on different levels of information asymmetry, tacit and explicit knowledge. While we found support in both cultures for the salience of these dimensions, we also found important distinctions for the effectiveness of different constraints between the cultures. Legal constraints are more effective in China while social constraints are more effective in the United States. While TRC is relevant in both cultures, national culture moderates the effectiveness of various constraint mechanisms and highlights the need for additional study

Personalized Estimate of Chemotherapy-Induced Nausea and Vomiting: Development and External Validation of a Nomogram in Cancer Patients Receiving Highly/Moderately Emetogenic Chemotherapy.

Chemotherapy-induced nausea and vomiting (CINV) is presented in over 30% of cancer patients receiving highly/moderately emetogenic chemotherapy (HEC/MEC). The currently recommended antiemetic therapy is merely based on the emetogenic level of chemotherapy, regardless of patient's individual risk factors. It is, therefore, critical to develop an approach for personalized management of CINV in the era of precision medicine.A number of variables were involved in the development of CINV. In the present study, we pooled the data from 2 multi-institutional investigations of CINV due to HEC/MEC treatment in Asian countries. Demographic and clinical variables of 881 patients were prospectively collected as defined previously, and 862 of them had full documentation of variables of interest. The data of 548 patients from Chinese institutions were used to identify variables associated with CINV using multivariate logistic regression model, and then construct a personalized prediction model of nomogram; while the remaining 314 patients out of China (Singapore, South Korea, and Taiwan) entered the external validation set. C-index was used to measure the discrimination ability of the model.The predictors in the final model included sex, age, alcohol consumption, history of vomiting pregnancy, history of motion sickness, body surface area, emetogenicity of chemotherapy, and antiemetic regimens. The C-index was 0.67 (95% CI, 0.62-0.72) for the training set and 0.65 (95% CI, 0.58-0.72) for the validation set. The C-index was higher than that of any single predictor, including the emetogenic level of chemotherapy according to current antiemetic guidelines. Calibration curves showed good agreement between prediction and actual occurrence of CINV.This easy-to-use prediction model was based on chemotherapeutic regimens as well as patient's individual risk factors. The prediction accuracy of CINV occurrence in this nomogram was well validated by an independent data set. It could facilitate the assessment of individual risk, and thus improve the personalized management of CINV

Molecular and Celluar Mechanism Studies on Anticancer Effects of Chinese Medicines

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