OPTION PRICING UNDER JUMP-DIFFUSION MODEL WITH Q PROCESS VOLATILITY

In this paper, a financial market model is presented, where the underlying asset price is given by the combination of a two state Q process volatility and a compound Poisson process. The formula of European call option price under this model is derived. It generalizes the results of Hull and White (1987). At last an empirical examination on the Shanghai Stock Exchange Index is done to prove that the volatility described by two states Q process satisfies the features of fat tails and volatility clustering of financial data. And the numerical simulation results show that the option price is related to the volatility of initial time. Key words: European option, jump-diffusion model, compound Poisson process, finite state Q proces

Empirical Analysis on the International Competitiveness Of Shannxi Agricultural Product

On the foundation of reviewing the trade status of Shannxi agricultural product, adopting Trade Competitive Index, Revealed Comparative Advantage Index and Competitive Advantage Index, this paper calculates and evaluates the international competitiveness of Shannxi agricultural product from 1997 to 2004. It is found that from TC and CA indexes, Shannxi agriculture product is in an advantage position of international competition, while from the RCA index, it doesn’t have a very strong international advantage. In actual application, according to the trade situation of Shannxi agriculture product, we should consider synthetically the calculation results of these three indexes and develop the competitive advantage on the basis of comparative advantage. The conclusion supplies actual mentalities for promoting the international competitiveness of Shannxi agricultural product. Key words: Empirical analysis, International competitiveness, Shannxi agricultural product Résumé: Sur la base de la rétrospection du statut commercial du produit agricole du Shannxi et en adoptant l’Index compétitif du commerce, l’Index de l’avantage comparatif révélé et l’Index de l’avantage compétitif, cet essai calcule et évalue la compétitivité internaionale du produit agricole du Shannxi de 1997 à 2004. On trouve que, selon le premier et le troisième indexs, le produit agricole du Shannxi occupe une position avantageuse dans la compétition internationale, alors que d’après le deuxième index, il ne possède pas un avantage international très solide. Dans l’application actuelle, conformément à la situation du commerce du produit agricole du Shannxi, on doit considérer synthétiquement les résultats de calculation des trois index et développer l’avantage compétitif sur la base de l’avantage comparatif. La conclusion justifie les mentalités actuelles qui insistent à promouvoir la compétitivité internationale du produit agricole du Shannxi. Mots-Clés: analyse empirique, compétitivité internationale, produit agricole du Shannx

On the stability of the stretched Euler-Bernoulli beam on a star-shaped graph

We deal with the as yet unresolved exponential stability problem for a stretched Euler-Bernoulli beam on a star-shaped geometric graph with three identical edges. The edges are hinged with respect to the boundary vertices. The inner vertex is capable of both translation and rotation, the latter of which is subject to a combination of elastic and frictional effects. We present detailed results on the asymptotic location and structure of the spectrum of the linear operator associated with the spectral problem in Hilbert space. Within this framework it is shown that the eigenvectors have the property of forming an unconditional or Riesz basis, which makes it possible to directly deduce the exponential stability of the corresponding $C_0$-semigroup. As an aside it is shown that the particular choice of connectivity conditions ensures the exponential stability even when the elasticity acting on the slopes of the edges is absent.Comment: abstract changed; typos corrected; references added; calculations revise

Electronic Transport in Few-Layer Black Phosphorus

Subjected to an adequately high magnetic field, Landau levels (LLs) form to alter the electronic transport behavior of a semiconductor. Especially in two-dimensional (2D) limit, quantum Hall effect sheds light on a variety of intrinsic properties of 2D electronic systems. With the raising quality of field effect transistors (FET) based on few-layer black phosphorus (BP), electronic transport in quantum limit (quantum transport) has been extensively studied in literatures. This chapter investigates the electronic transport in few-layer BP, especially in quantum limit. At the beginning of this chapter, a brief introduction to the background of LL, edge state, and quantum Hall effect will be delivered. We then examine the fabrication of high-quality FET based on BP and their electronic performances followed by exploring the magnetoresistances of these high-quality devices which reveal Shubnikov-de Haas (SdH) oscillations and quantum Hall effect in BP. Intrinsic parameters like effective mass, Landé g-factor, and so on are discussed based on quantum transport