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.     

海外铁路信号市场特征与铁路信号“走出去”策略建议

伴随我国铁路制造业"走出去"战略实施,我国承建的海外铁路项目逐年增加,但由于不同地区既有信号制式、规范以及业主既有运营维护习惯等诸多方面的差异,使我国铁路信号设备走出国门面临巨大挑战。结合部分国家的实际情况,对铁路信号海外市场的特征进行分析,并对我国铁路信号设备制造企业、海外铁路项目承包企业及整个信号行业的应对策略提出相关建议。     

面向虚拟编组的列控技术研究

虚拟编组(Virtual Coupling)是近年来欧洲铁路部门提出的一个新理念,它使用无线通信代替机械联挂,实现不同型号列车的虚拟编组。列车虚拟编组后,行车间隔极大缩短,能够进一步提高线路的运输能力。介绍虚拟编组的研究背景和基本理念,分析既有欧洲列控系统(ETCS)在应用该技术时面临的问题,旨在提出面向虚拟编组的列控技术实现方案。根据列车间隔控制是否由列控系统进行防护,提出两种方案,并描述它们的基本原理和既有ETCS规范需要变动的内容。在基于列控系统防护的方案中,引入相对制动距离的概念,并提出一种基于相对制动距离的限速曲线计算方法,为下一代列控系统的研究提供参考。     

Swimming for survival: A role of phytoplankton motility in a stratified turbulent environment

We investigate a role for vertical migration in stratified coastal water, where the swimming speed is generally significantly less than the typical turbulent fluctuations in a tidally-mixed bottom layer. In our modelling approach we use a k- turbulence model to describe the physical forcing, a Lagrangian random walk model to describe the vertical displacement of individual cells in response to turbulence and due to cell motility, and a phytoplankton growth model to direct the swimming behaviour of the phytoplankton according to their light and nutrient requirements. The model results show how the cells form a stable subsurface chlorophyll maximum (SCM) at the base of the thermocline where episodic tidal turbulence causes erosion of part of the SCM biomass into the bottom mixed layer (BML). We then focus on the question of whether an ability to swim (weakly, compared to typical bottom layer turbulent intensities) provides any advantage by allowing return to the SCM. Our results show that tidal turbulence in the BML helps both motile and neutrally-buoyant cells by periodically pushing them into the base of the thermocline. Motile cells then have the advantage that they can swim further into the thermocline towards higher light which also reduces the likelihood of being re-mixed back into the BML.     

欧盟可持续交通系统研究综述

对过去15年欧盟进行的交通系统可持续性研究进行了回顾,明确了不足之处并详细阐述了未来的发展方向。介绍了可持续发展和可持续交通系统的概念,指出研究重点要实现影响因素指标的量化,使可持续交通系统评估具有可操作性。探讨了评估可持续交通系统的绝对尺度和相对尺度,利用实例对二者的评估作用进行了对比。通过回顾欧盟在可持续交通方面进行的第4次、第5次和第6次框架计划研究,指出未来的研究方向是以绩效指标为基础,改进现有评估系统或发展创新性的评估系统,以检测欧盟交通系统的可持续性。     

全球卫星导航系统的构成及其比较

介绍了全球卫星定位系统、格洛纳斯卫星定位系统、伽利略卫星定位系统和北斗卫星定位系统的构成、优势等基础上,论述了各系统在技术上的比较。     

基于欧洲标准的城市轨道交通车辆制动系统动态型式试验

介绍了基于欧洲标准的城市轨道交通车辆制动系统的动态型式试验内容,对制动系统动态型式试验内容进行了分析。参考城市轨道交通BS EN 13452-2:2003及BS EN 15595:2009等标准提出了车辆整车制动系统动态型式试验的评价标准及所需要进行的相关试验。     

Seasonal upwelling underneath the Tsushima Warm Current along the Japanese shelf slope

Seasonal upwelling variations are examined in the eastward coastal boundary branches of the Tsushima Warm Current (TWC). The climatological pattern and the fundamental hydrographic structure of the seasonal appearance of cold water are revealed by analyzing the temperature profile data around the Japanese shelf area. Seasonal maps of temperature at the intermediate layer around 200 m depth show the rise of the main pycnocline along the Japanese coast due to seasonal subsurface cooling from May to September. The cold water areas appear around the strong curvature in the continental shelf break. These areas are confined to the south of the TWC thermal front, i.e., to the coastal boundary region. The seasonal appearance of the localized cooling areas implies that the seasonal upwelling is induced by horizontal variations in shelf topography and the intensifying TWC from May to September.     

欧盟机动车准入管理制度特点及发展趋势

梳理了欧盟型式批准框架指令的发展历程,阐述了各个主管部门的职责和准入管理的基本流程,重点介绍了以欧盟指令为依据的欧盟机动车型式批准制度,总结归纳了欧盟机动车准入管理制度具有强制性、公开透明、重视安全环保以及一致性监管严格等主要特点.结合近两年发布的政策法规要求,总结出欧盟机动车准入管理要求不断加严、新技术促进标准体系更...     

Optimal interpolation of sea surface temperature for the North Sea and Baltic Sea

Sea surface temperature fields of the North Sea and Baltic Sea have been constructed for the year 2001 using a multiplatform Optimal Interpolation scheme. The analyzed fields are constructed every 12 h on a 10 km spatial grid. The product is based upon observations from the three NOAA satellites 12, 14 and 16 together with a large amount of in situ observations. Space dependent covariance functions are estimated from the satellite observations and account for spatial and temporal lags. Several independent methods have been used to assess the error on the sea surface temperature product. Compared against independent in situ observations, the mean RMS difference for the year 2001 is 0.78 °C. The spatial distribution of the errors reveals that the Baltic Sea in general show higher errors than the North Sea. The error statistics throughout the year show a temporal variation of the errors with maximum during summer and winter. Tests with a varying number of satellite observations show that the accuracy of the satellite observations is the most important parameter in terms of reducing the errors on the interpolated sea surface temperature product.