The pricing of permanent American options and Game options in the presence of event risk

本文主要是利用H假设,Snell-包络的内在性质,给出了带有事件风险的永久美式期权和Game期权的定价;在一个给定的合适的等价鞅测度下,给出了带有事件风险的永久美式期权的最优停时.进一步,推导了带有事件风险的永久美式期权的上界和下界及上界套期保值和下界套期保值.In this paper, we mainly use the properties of (H)hypothesis and snell envelope to study the valuation of permanent American options and Game options in the presence of non-hedgeable event risk ;for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved. As a main result, no-arbitrage bounds for permanent American option values in presence o...学位：理学硕士院系专业：数学科学学院数学系_概率论与数理统计学号：20032303

略论中国家族企业制度创新

家族企业历史悠久,至今依然是国内外最广泛的企业组织形式。本文以中国的家族企业制度为对象,客观分析在中国特定的条件下,家族企业制度存在的合理性及效率,研究家族企业制度创新的需求诱致与供给制约,进而探讨家族企业制度创新的路径选择与环境改进

Credit risk of the foreign stock option with the stochastic exchange rate

在结构化模型下,考虑标的资产价格与该资产所属企业的企业价值以及汇率均为随机的情况,对一类外国股票期权分别用内币执行价和外币执行价进行了信用风险分析,并采用鞅方法得到了不确定汇率下的该类外国股票期权的信用风险定价.On the hypothesis of underlying asset price,enterprise value and exchange rate were stochastic,we re-searched the method of how to analyze the credit risk of the foreign stock option by the strike price with foreign cur-rency and inland currency.By applying the method of structural approach,we derived the pricing formulas of default option with stochastic exchange rate.国家自然科学基金(11001142); 福建省教育厅科学研究项目(JB11173;JB12171); 莆田学院教育教学改革项目(JG201112

带有事件风险的永久美式期权的定价

主要研究带有事件风险的永久美式期权的定价及其最优停时问题.当事件发生时,期权就停止,期权的卖方就要付给期权执有者一定的打折后的支付.因此,事件风险的存在会影响期权执有者的执行策略.本文在一个合适的等价鞅测度下,给出了带有事件风险的永久美式期权的定价及其最优停时.进一步地推导了带有事件风险的永久美式期权的上界和下界

带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法

我们首先提出了一个带ARMA(1,1)条件异方差相关的随机波动模型,它是基本的随机波动模型的一个自然的推广.进一步,对于这一新模型,我们给出了一个马尔可夫链蒙特卡罗(M CM C)算法.最后,利用该模型的模拟数据,展示了M CM C算法在这种模型中的应用

Adaptive Knot Placement in Non-uniform B-spline Surface Fitting

针对非均匀b样条的节点设置问题,提出一种利用非均匀b样条曲面拟合离散数据的迭代算法,通过优化节点分布来改进拟合曲面的质量.该算法以带参数化的三角网格曲面为输入,在首次迭代中根据输入曲面的几何特征将其对应的参数域划分成若干个子区域,并使得每个子区域上累积的几何特征信息量近似相等,子区域的重心坐标将取为首次迭代的节点;在随后的迭代中,保证前次迭代生成的重心位置固定不变,并根据前次迭代得到的曲面拟合误差再次将区域划分成累积误差接近相等的子区域,新增加的子区域重心的坐标选为拟加入的节点.文中算法自适应地在曲面形状复杂或拟合误差大的区域引入更多的控制顶点,使得拟合曲面的质量得以逐步改进.实验结果表明,该算法快速有效,在拟合具有明显几何特征的输入数据时具有优势.Knot placement of non-uniform B-spline is studied, and an iterative surface fitting scheme is proposed by exploring the degrees of freedom of knots to improve the fitting surface's quality.Our algorithm takes as input triangular meshes with parameterization.In the first iteration, the parametric domain is partitioned into several sub-regions with equally accumulated surface geometric information, and the coordinates of the centroids are chosen as the candidates of knots; in the following iteration steps, we partition the regions according to the fitting errors analogously while the centroids generated by previous steps remain unchanged.The fitting surface's quality is progressively improved as more control points are adaptively introduced into the region of the surface with more features or larger fitting error.Several experiments demonstrate the efficacy of our method in fitting surface with distinct geometric features.国家自然科学基金(61100105;61100107;61170324;61272300); 福建省自然科学基金(2011J05007;2012J01291

Anti-resonance features of destructive quantum interference in single-molecule thiophene junctions achieved by electrochemical gating

基于单个有机分子来构筑电子器件为电子器件微型化提供潜在技术方案。本研究发展了可集成电化学门控的单分子电子器件测试芯片技术和科学仪器方法，在实验和理论两个层面对具有相消量子干涉效应的噻吩衍生物分子器件的电输运过程进行了电化学调控研究，从而首次在室温下实现了对单分子电子器件中量子干涉效应的反共振现象的直接观测和调控，为制备基于量子干涉效应的新型分子材料和器件提供了全新的设计思路和策略。该研究充分展示了电化学调控技术在信息材料和器件领域的重要应用潜力，也体现了我校固体表面物理化学国家重点实验室在电化学研究和科学仪器研发领域的技术积累，以及面向科学前沿开展交叉学科探索的研究特色。 该研究工作是在洪文晶教授、上海电力大学陈文博教授、英国兰卡斯特大学Colin Lambert教授指导下完成的。化学化工学院博士生白杰和李晓慧为论文的共同第一作者，刘俊扬副研究员、师佳副教授、研究生唐永翔、刘帅、黄晓娟、谭志冰和萨本栋微纳研究院的杨杨副教授等也参与了研究工作。田中群教授和毛秉伟教授为该工作提供了重要指导。【Abstract】Controlling the electrical conductance and in particular the occurrence of quantum interference in single-molecule junctions through gating effects, has potential for the realization of high-performance functional molecular devices. In this work, we used an electrochemically-gated, mechanically-controllable break junction technique to tune the electronic behaviour of thiophene-based molecular junctions that show destructive quantum interference (DQI) features. By varying the voltage applied to the electrochemical gate at room temperature, we reached a conductance minimum that provides direct evidence of charge transport controlled by an anti-resonance arising from DQI. Our molecular system enables conductance tuning close to two orders of magnitude within the non-faradaic potential region, which is significantly higher than that achieved with molecules not showing DQI. Our experimental results, interpreted using quantum transport theory, demonstrate that electrochemical gating is a promising strategy for obtaining improved in-situ control over the electrical performance of interference-based molecular devices.This research was supported by the National Key R&D Program of China (2017YFA0204902), National Natural Science Foundation of China (21722305, 21673195, 21503179, 21703188), the Program for Professor of Special Appointment (Eastern Scholar) at Shanghai Institutions of Higher Learning, Natural Science Foundation of Shanghai (17ZR1447100), Science and Technology Commission of Shanghai Municipality (14DZ2261000), China Postdoctoral Science Foundation (2017M622060) for funding work in Xiamen. It was also supported by EU Horizon 2020 project QuIET under grant agreement no. 767187EC FP7 ITN ‘MOLESCO’ project no. 606728 and UK EPSRC grants EP/N017188/1 and EP/M014452/1 and Leverhulme Trust (Leverhulme Early Career Fellowships no. ECF-2017-186 and ECF-2018-375) for funding instrumentation used in Lancaster. It was also supported by Hungarian and Czech Academies of Sciences (P2015-107) and Hungarian Research Foundation (OTKA 112034) for funding instrumentation used in Hungary. The authors thank Z.-Q. Tian and B.-W. Mao, Xiamen University, for useful discussions. 该工作获得科技部国家重点研发计划课题（2017YFA0204902），国家自然科学基金委优秀青年科学基金等项目（21722305、21673195、21703188、21503179）以及中国博士后科学基金（2017M622060）等项目的资助，也得到了固体表面物理化学国家重点实验室、能源材料化学协同创新中心的支持

Asymmetric Migration of Human Keratinocytes under Mechanical Stretch and Cocultured Fibroblasts in a Wound Repair Model

Keratinocyte migration during re-epithelization is crucial in wound healing under biochemical and biomechanical microenvironment. However, little is known about the underlying mechanisms whereby mechanical tension and cocultured fibroblasts or keratinocytes modulate the migration of keratinocytes or fibroblasts. Here we applied a tensile device together with a modified transwell assay to determine the lateral and transmembrane migration dynamics of human HaCaT keratinocytes or HF fibroblasts. A novel pattern of asymmetric migration was observed for keratinocytes when they were cocultured with non-contact fibroblasts, i.e., the accumulative distance of HaCaT cells was significantly higher when moving away from HF cells or migrating from down to up cross the membrane than that when moving close to HF cells or when migrating from up to down, whereas HF migration was symmetric. This asymmetric migration was mainly regulated by EGF derived from fibroblasts, but not transforming growth factor alpha or beta_1 production. Mechanical stretch subjected to fibroblasts fostered keratinocyte asymmetric migration by increasing EGF secretion, while no role of mechanical stretch was found for EGF secretion by keratinocytes. These results provided a new insight into understanding the regulating mechanisms of two or three-dimensional migration of keratinocytes or fibroblasts along or across dermis and epidermis under biomechanical microenvironment

Study on the Composition and Equilibrium Constant of Metallophthalocyanine/Fullerene Charge TransFer Complexes

报道锌酞菁（znPC）和C60在特殊的有机溶剂体系中可形成电荷迁移络合物（CTC），应用紫外可见、荧光、激光拉曼等光谱对CTC进行表征.在不同溶剂中CTC的组成为znPC∶C60＝2∶1和1∶1两种，分别测得它们的生成平衡常数（k），CTC显著地增强znPC的光电转移性能.Two types of ZnPc/C 60 charge transFer complexes in special mixed organic solvents are characterized by UV Vis, Fluorescence and laser Raman spectra.The mole ratios of ZnPc/C 60 For CTC are 2∶1 and 1∶1 in diFFerent solvents.The Formation equilibrium constants ( K ) are calculated.The ZnPc C 60 CTC shows the good photoelectrochemistry properties.国家及福建省自然科学基

Feature-Preserving Method for Mosaic Image Generation

马赛克图像是一种非真实感的渲染效果,主要通过组合不同形状、颜色的嵌片合成目标图像.基于测地距离度量下的VOrOnOI图结构,提出一种保特征的自适应马赛克图像生成方法.首先利用特征算子自动提取出源图像中的特征线,并根据这些特征线定义测地度量,从而保证在测地度量下生成的VOrOnOI图的边和图像特征边重合;然后通过距离变换计算每个像素到图像特征线的最近距离,并利用该距离场定义马赛克图像的密度函数;最后结合重心VOrOnOI图理论,采用llOyd迭代算法优化嵌片的形状,得到最终的马赛克图像.实验结果表明,该方法得到的马赛克效果图有效地保持了源图像特征,疏密程度自适应、连续过渡,嵌片形状规则、排列整齐.Mosaic is a non-photorealistic rendering method,which synthesizes a large image by packing a collection of small colored tiles.This paper presents a novel feature-preserving method for mosaic image generation,which is based on Voronoi diagram under a non-Euclidean metric.Each Voronoi cell is taken as a tile in the mosaic image.The feature edges are first extracted from the input image automatically.Then a metric matrix is defined such that the edges of the Voronoi diagram under the new metric align with the feature edges.The sizes of the Voronoi cells are controlled by a density function derived from a distance transformation.Finally,the shapes of the Voronoi cells are further optimized by Lloyd's method.Experimental results show that,our algorithm keeps the features of the input image faithfully.The tiles in the generated mosaic image are well shaped and arranged,and vary in size according to the density function.国家自然科学基金(61100107;61100105); 福建省自然科学基金(2011J05007;2012J01291