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  • 1
    Electronic Resource
    Electronic Resource
    Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs (2003)
    350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . : Blackwell Publishers, Inc.
    Mathematical finance 13 (2003), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of computing hedging portfolios for options that may have discontinuous payoffs, in the framework of diffusion models in which the number of factors may be larger than the number of Brownian motions driving the model. Extending the work of Fournié et al. (1999), as well as Ma and Zhang (2000), using integration by parts of Malliavin calculus, we find two representations of the hedging portfolio in terms of expected values of random variables that do not involve differentiating the payoff function. Once this has been accomplished, the hedging portfolio can be computed by simple Monte Carlo. We find the theoretical bound for the error of the two methods. We also perform numerical experiments in order to compare these methods to two existing methods, and find that no method is clearly superior to others.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00010
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  • 2
    Electronic Resource
    Electronic Resource
    Wavefield extrapolation and prestack depth migration in anelastic inhomogeneous media (2002)
    Oxford, UK : Blackwell Science Ltd
    Geophysical prospecting 50 (2002), S. 0 
    Details
    ISSN: 1365-2478
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geosciences , Physics
    Notes: Wavefield depth extrapolation and prestack depth migration in complex anelastic media are studied. Kjartansson's frequency-independent Q law is used to describe the absorption of seismic energy. The macromodel used is analogous to the macromodel used for current migration schemes except that an additional frequency-independent Q macromodel needs to be provided. Absorption in the forward one-way propagator is introduced by assuming a complex phase velocity, and the inverse one-way propagator is obtained using the reciprocity theorem for one-way wavefields in dissipative media. The stability of the inverse propagator is achieved by limiting the angle of propagation of wavefields. A table-driven explicit operator scheme for imaging complex 2D anelastic media is presented. High-accuracy, short convolution operators are designed by the weighted least-squares method, and two kinds of imaging conditions are proposed. Numerical examples of depth extrapolation in laterally varying media, the migration of a spatial impulse with dispersion as well as shot record depth migration demonstrate the potential of the proposed explicit forward operator, the explicit inverse operator and the prestack depth migration scheme, respectively.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1046/j.1365-2478.2002.00342.x
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  • 3
    Electronic Resource
    Electronic Resource
    Depth migration of shot records in heterogeneous, transversely isotropic media using optimum explicit operators (2001)
    Oxford, UK : Blackwell Science Ltd
    Geophysical prospecting 49 (2001), S. 0 
    Details
    ISSN: 1365-2478
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geosciences , Physics
    Notes: A space–frequency domain 2D depth-migration scheme is generalized for imaging in the presence of anisotropy. The anisotropy model used is that of a transversely isotropic (TI) medium with a symmetry axis that can be either vertical or tilted. In the proposed scheme the anisotropy is described in terms of Thomsen parameters; however, the scheme can accommodate a wide range of anisotropy rather than only weak anisotropy. Short spatial convolution operators are used to extrapolate the wavefields recursively in the space–frequency domain for both qP- and qSV-waves. The weighted least-squares method for designing isotropic optimum operators is extended to asymmetric optimum explicit extrapolation operators in the presence of TI media with a tilted symmetry axis. Additionally, an efficient weighted quadratic-programming design method is developed. The short spatial length of the derived operators makes it possible for the proposed scheme to handle lateral inhomogeneities. The performance of the operators, designed by combining the weighted least-squares and weighted quadratic-programming methods, is demonstrated by migration impulse responses of qP and qSV propagation modes for the weak and strong TI models with both vertical and tilted symmetry axes. Finally, a table-driven shot-record depth-migration scheme is proposed, which is illustrated for finite-difference modelled shot records in TI media.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1046/j.1365-2478.2001.00255.x
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  • 4
    Electronic Resource
    Electronic Resource
    Performances of Switching Window of Ultrafast Nonlinear Interferometer (UNI) Demultiplexer (2000)
    Springer
    International journal of infrared and millimeter waves 21 (2000), S. 1503-1516 
    Details
    ISSN: 1572-9559
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract In this paper, the theoretical model of the UNI is proposed in detail, which counts on the ultrafast nonlinearities and longitudinal effects of semiconductor optical amplifier (SOA). The transfer function of UNI is also obtained. The switching window, which is a key parameter for demultiplexer, is then analyzed. It's shown that the switching window properties are determined by the length of SOA, the length of the birefringence fiber (BRF), and the parameters of control pulses such as control pulse energy, pulsewidth, power.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1026469326906
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  • 5
    Electronic Resource
    Electronic Resource
    Irradiation influence on the resistivity behavior of carbon-black loaded polyethylene composites (1999)
    Springer
    Journal of materials science 18 (1999), S. 1213-1215 
    Details
    ISSN: 1573-4811
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1006650219356
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  • 6
    Electronic Resource
    Electronic Resource
    Classification of cubic Kolmogorov type system and its application (1996)
    Springer
    Acta mathematicae applicatae sinica 12 (1996), S. 28-39 
    Details
    ISSN: 1618-3932
    Keywords: Simulataneous classification ; Cubic Kolmogorov type system
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract In this paper we use the theory of symmetric covariant tensor space and simultaneous classification method to successively classify the so-called cubic Kolmogorov type system. As an application of the result obtained, we characterize the local phase portrait of the isolated critical points at infinity for a class of that system, and give some necessary and sufficient conditions for all its trajectories to be bounded.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02009558
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    Paper (German National Licenses)
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  • 7
    Electronic Resource
    Electronic Resource
    A three-dimensional simulation of a steady approach flow past a circular cylinder at low Reynolds number (1998)
    Chichester : Wiley-Blackwell
    International Journal for Numerical Methods in Fluids 26 (1998), S. 1003-1022 
    Details
    ISSN: 0271-2091
    Keywords: steady approach flow ; low Reynolds numbers ; 3D simulation ; Engineering ; Numerical Methods and Modeling
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics
    Notes: The three-dimensional (3D) unsteady viscous wake of a circular cylinder exposed to a steady approach flow is calculated using a fractional-step finite-difference/spectral-element method. The calculated flow fields at Reynolds numbers of 100 (2D) and 200 (3D) are examined in detail. The flow field at Re = 100 is 2D as expected, while the flow field at Re = 200 has distinct 3D features, with spanwise wavelengths of about 3.75 cylinder diameters. The calculated results produce drag and lift coefficients and Strouhal numbers that agree extremely well with the experimental values. These 3D values at Re = 200 are in better agreement with experimental values than the results of a 2D calculation at Re = 200, which is expected. © 1998 John Wiley & Sons, Ltd.
    Additional Material: 19 Ill.
    Type of Medium: Electronic Resource
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