Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model

To study the approximation of foreign currency option prices when the underlying assets＇ price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform （FFT） algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.     

Theoretical Explanation of Return Predictability Based on Stock Price Formulation

To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM （capital asset pricing model） beta; it is concluded that the firm-specific biases and the scale biases potentiaUy induce return predictabih＇ty. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French.     

Mean-Variance Hedging for General Claims in an Incomplete Market： Numeraire Method

This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-vari-ance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.     

Executive Stock Option, Mediation of Agency Costs and Allocation of Power in Levered Firms

The relationship between options and agency costs in levered firms is studied by modeling the effect of executive stock options on the manager‘s investment strategy in levered firms. Stock options do not necessarily aggravate agency costs in levered finns. The corporate governance affects agency costs greatly. If debt-holders were entitled to design executive stock options together with stockholders, by allocating power properly between stockholders and debt-holders, firm value could be enhanced greatly. The following way of allocating power between the two parties is proposed: the exercise price should be the weighted average of the stockholders‘ and debtholders‘ suggested exercise prices. The weight allocated to debt-holders is positively related to the amount of debts that debt-holders lend to stockholders.     

Evaluation Model for Scientific Quality Based on Rough Sets and Its Empirical Study

By analyzing the questionnaires recollected from 74 different government departments in Chengdu, China, an evaluation model for scientific quality of civil servants was developed with the rough set theory. In the empirical study, a series of important rules were given to help to check and forecast the degree of the scientific quality of civil servants by using the reduction algorithm, and the total accuracy of prediction was 93.2%.     

A New Traffic Model for Mobile Wireless Networks

A new traffic model for mobile wireless networks was given and analysed. In the model, it is considered of traffic characteristic for two special periods of time. A pre-emptive priority scheme combined with channel borrowing strategy according to the speciality was proposed. All the channels can be used by non-real-time services, and real-time services are given higher priority for they are allowed to pre-empt channels used by non-real-time services. Either real-time handoff requests or non-real-time handoff requests can be queued in queues when there is no channel can be used. Some channels are reserved for real-time handoff requests, which can also be used by non-real-time service when they are idle. Simulation results are also given. It is seen that our scheme performs better than other schemes when the arrival rate of real-time services is much higher than non-real-time services.     

Network of tRNA gene sequences

A network of 3719 tRNA gene sequences was constructed using simplest alignment. Its topology, degree distribution and clustering coefficient were studied. The behaviors of the network shift from fluctuated distribution to scale-free distribution when the similarity degree of the tRNA gene sequences increases. The tRNA gene sequences with the same anticodon identity are more self-organized than those with different anticodon identities and form local clusters in the network. Some vertices of the local cluster have a high connection with other local clusters, and the probable reason was given. Moreover, a network constructed by the same number of random tRNA sequences was used to make comparisons. The relationships between the properties of the tRNA similarity network and the characters of tRNA evolutionary history were discussed.     

Towards a Formalized Ontology-Based Requirements Model

The goal of this paper is to take a further step towards an ontological approach for representing requirements information. The motivation for ontologies was discussed. The definitions of ontology and requirements ontology were given. Then, it presented a collection of informal terms, including four subject areas. It also discussed the formalization process of ontology. The underlying meta-ontology was determined, and the formalized requirements ontology was analyzed. This formal ontology is built to serve as a basis for requirements model. Finally, the implementation of software system was given.     

An Intelligent Response Surface Methodology for Modeling of Domain Level Constraints

An effective modeling method of domain level constraints in the constraint network for concurrent engineering （CE） was developed. The domain level constraints were analyzed and the framework of modeling of domain level constraints based on simulation and approximate technology was given. An intelligent response surface methodology （IRSM） was proposed, in which artificial intelligence technologies are introduced into the optimization process. The design of crank and connecting rod in the V6 engine as example was given to show the validity of the modeling method.     

Aerodynamic characteristics of airship Zhiyuan-1

An airship named ＂Zhiyuan-l＂ was designed/fabricated/flied as a technical demonstration for stratospheric airship during 2007--2009 by Shanghai Jiaotong University. The calculation method and procedure of aerodynamic parameters were introduced, and the optimized configuration of the hull and the aerodynamic layout were given in this paper. Wind tunnel tests with different configurations, different pitch angles and different yaw angles were performed to study the wind load characteristics of the rigid model of the airship ＂Zhiyuan-1＂ in the φ3.2 m wind tunnel at China Aerodynamics Research ＆ Development Center. Also the numerical calculation about the test model was carried out to investigate the aerodynamic behavior. According to the results of wind test and numerical calculation, the excellent hull configuration of the airship ＂Zhiyuan-1＂ with lower drag characteristic was confirmed, which is based on optimism of the Michel transition law. And the phenomena of pressure coefficient distribution were discussed according to the results of wind tunnel test and numerical calculation at different flight attitudes.     

Critical Conditions for Left-Turn Lane’s Stop Line Backwards Setting Under Exclusive Left-Turn Phase

Aiming at the problem that the vehicles always turn left in advance which causes heavy conflicts in the intersection and effected traffic efficiency,the solution of the left-turn lane’s stop line backwards setting was proposed,and the critical conditions on the stop line’s setting were studied.Firstly,we studied the characteristics of trajectories distribution in the release process of turning left in advance vehicles.Based on that,we proposed to move the stop line backwards to solve the problem of turning left in advance.Considering the intersection’s geometric features and the vehicle operation features,the geometric critical condition was given for setting the position of left-turn lane’s stop line.And then the model of left-turn vehicles’queuing length was established based on queuing theory and traffic wave theory.By using queuing length model,the flow restrictions of stop line backwards could be found.Assuming left-turn vehicles’arrival rate is stable in a certain period of time,the minimum green time and the maximum red time of left-turn phase were given after the stop line was set up.According to the changes of the vehicles’turning paths,the shortest yellow setting recommendation was given.Finally,the application of the critical limits used in stop line backwards setting was demonstrated.The research result could provide a theoretical basis for traffic signs and markings’setting and perfect the relevant laws and regulations.     

Dynamic Analysis of Micro-machined Diamagnetic Stable Permanent Magnet Levitation System

A novel micro-machined diamagnetic stable levitation system (MDSLS) which is composed of a free permanent magnetic rotor, a ring lifting permanent magnet and two diamagnetic stabilizers was presented. The static and dynamic stable characters of MDSLS were analyzed. The coupled non-linear differential equations were used to describe six-degree-of-freedom motion of the levitated rotor, and the equivalent surface current and combined diamagnetic image current method were utilized to model the interaction forces and torques between the lifting permanent magnet and rotor permanent magnet and also between the rotor permanent magnet and diamagnetic substrates. Because of difficulty to get analytical solution, the numerical calculation based on Runge-Kutta method was used to solve the dynamic model. The vibration frequencies were identified by fast Fourier transform (FFT) analysis. According to their resonance characteristics and parameters, the translational and angular dynamic stiffness were also calculated. The results show that the levitation of the rotor in MDSLS is stable, and the MDSLS is potential for the application in levitation inertial sensor.     

Comparison Between Two Solutions Based on the Relationship of Load—deflection Character of a Large Deflection Rubber Circular Plate

The rubber circular plate is considered as a kind of membrane. Based on the character that there exists no bending-moment inside a membrane, the geometric behavior of the rubber circular plate in expanding state was described with the aid of a group of mathematic method. The relationship between deflection and load was attained by means of calculating stress and strain inside the curved-surface of rubber plate. Meantime, based on Hencky method, the relationship between deflection and load was attained and considered as the Hencky solution. The dif-ferent results given rise by the two different resolving methods were compared. The deviation results from the Hencky method was discussed, and a kind of correcting method was put forward.     

Investigating the Interaction Between Gluconobacter Oxydans and Bacillus M egaterium for 2-keto-L-gulonic Acid Biosynthesis in the Two-Step Vitamin C Fermentation

In the two-step vitamin C fermentation process, its precursor 2-keto-L-gulonic acid was synthesized from L-sorbose by mixed culture of Gluconobacter oxydans and Bacillus megaterium. The interaction between Gluconobacter oxydans and Bacillus megaterium remains unclear and it is a challenge to mathematically model the mixed growth of these two strains. The Monod-type equations were previously proposed to describe the coupled growth of Gluconobacter oxydans and Bacillus megaterium. However, in this study, we modeled the interaction of these two strains in a macroscopic view by introducing the population theory. Taking account of the fact that the density or concentration of Gluconobacter oxydans or Bacillus megaterium was hardly to measure accurately in the mixed culture broth, the data of concentrations of the substrate and product were used to indirectly investigate the relation between these two strains. Three batch experiments were used to validate our model. And according to the values of identified parameters, the type of interaction between Gluconobacter oxydans and Bacillus megaterium was concluded to be predation, where Gluconobacter oxydans was predator, and Bacillus megaterium was prey.     

A data model applied to the knowledge-based ICAS

Image-guided computer aided surgery system (ICAS) contributes to safeness and success of surgery operations by means of displaying anatomical structures and showing correlative information to surgeons in the process of operation. Based on analysis of requirements for ICAS, a new concept of clinical knowledge-based ICAS was proposed. Designing a reasonable data structure model is essential for realizing this new concept. The traditional data structure is limited in expressing and reusing the clinical knowledge such as locating an anatomical object, topological relations of anatomical objects and correlative clinical attributes. A data structure model called mixed adjacency lists by octree-path-chain (MALOC) was outlined, which can combine patient's images with clinical knowledge, as well as efficiently locate the instrument and search the objects' information. The efficiency of data structures was analyzed and experimental results were given in comparison to other traditional data structures. The result of the nasal surgery experiment proves that MALOC is a proper model for clinical knowledge-based ICAS that has advantages in not only locating the operative instrument precisely but also proving surgeons with real-time operation-correlative information. It is shown that the clinical knowledge-based ICAS with MALOC model has advantages in terms of safety and success of surgical operations, and help in accurately locating the operative instrument and providing operation-correlative knowledge and information to surgeons in the process of operations.     

The Optimal Nash Equilibrium Strategies Under Competition

This paper presented a game theoretic model to study the competition for a single investment oppertunity under uncertainty. It models the hazard rate of investment as a function of competitors‘ trigger level. Under uncertainty and different information structure, the option and game theory was applied to researching the optimal Nash equilibrium strategies of one or more firm. By means of Matlab software, the paper simulates a real estate developing project example and illustrates how parameter affects investment strategies. The paper‘s work will contribute to the present investment practice in China.     

Technology Spillover and Licensing Strategy of Patentee

The optimal license proportions with and without technology spillover are analyzed with a game-theoretical approach when a patent-holding firm licensed non-drastic process innovation to his incumbent rivals by means of a first price sealed bid auction. The optimal strategy is obtained through solving the game by backward induction. It is found that the range of optimal license proportion is narrower when there is spillover compared to the no spillover case.     

Dynamic Analysis of the Biped Ice-skater Robot of Passive Wheel Type

A new passive wheel type of biped ice-skater robot （BISR） subjected to nonholonomic constraints was presented on the basis of ice-skating principle. Its motion principle and construction were discussed. After the model was simplified and the coordinate systems were established, the motion differential equations of the robot were obtained with the generalized Lagrange-Maggi equation when the nonholonomic constraints existed. Actual examples were given and the result was simulated on computer.     

Building and Researching the Bidding Model Based on the Cost of Power Plant

A bidding model of neural network was presented to pursue the largest benefit according to the policy of separating power plants from network and bidding transaction. This model bases on the cost of power plant and its research object is a power plant in the market. The market clearing price (MCP) can be predicted and an optimized load curve can be decided in this model. The model may provide technical support for the power plant.     

Development and Theoretic Validation of Model of Drum Level Sloshing

In order to develop a feasible model of drum level sloshing, the mechanism of drum level sloshing was analyzed, and the model of drum level sloshing was developed on the Easy5 software flat. The thermodynamic property of the model was validated by using the reference model, which was set up by using the method of lump parameter. The results indicate that the model can precisely reflect the phenomena of thermodynamic property inside drum, and the numeric error is within 1%. And the hydraulic property of the model was validated by the analytical theory of liquid sloshing, and the results indicate that the hydraulic property inside drum can also be correctly reflected by the model, and the sloshing period error is within 5%. The important work was done for exploring modeling for drum level sloshing, research of drum level sloshing and precision controlling of drum level.