5,164 research outputs found

    Option Pricing Using the Martingale Approach with Polynomial Interpolation

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    [[abstract]]This study shows that in particular cases, the minimal martingale measure coincides with the Esscher martingale measure. Using the martingale approach can produce an exact solution for the price of a European call option on an asset modeled as an exponential Levy process when a closed-form expression exists for the Levy measure under some integrability conditions. If the jump component vanishes, the solution reduces to the BlackScholes formula. To compute the option price accurately and quickly, this study uses polynomial interpolation with divided differences. A numerical analysis compares the accuracy and CPU time of the latter method with those of three Fourier-based formulas described by Lewis (2001). (c) 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:469-491, 2013[[note]]SSC

    HMSIW Cavity Filters Employing Various Complementary Split-Ring Resonators for Microwave Remote Sensing Applications

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    In this work, bandpass filters employing half-mode substrate integrated waveguide (HMSIW) cavities and various modified complementary split-ring resonators (CSRRs) are presented. The two modified CSRRs, which are called as Type-I and Type-II CSRRs, can exhibit larger effective inductance and capacitance, and eventually to contribute to the size miniaturization of the resonators. Thereafter, as the two CSRRs are independently loaded into HMSIW cavities, the newly- formed HMSIW-CSRR cavity resonators can achieve more size reduction as compared with the HMSIW cavity with the conventional CSRR. To demonstrate the proposed concept, two HMSIW cavity bandpass filters independently loaded with the proposed Type-I and Type-II CSRRs are implemented. Experimental results shows that measurements of the proposed filters agree with their corresponding simulations well. Meanwhile, as compared with some similar works, the two proposed filters achieve size reduction of 76.8% and 78.6%, respectively, as well as good selectivity, illustrating their suitability for the system integration application in microwave remote sensing and radar systems

    2 (北京理工大 学 软件学院,北 京 100081) Smooth Schedule of Large-Scale Terrain Visualization from External Memory

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    Li LJ, Li FX, Huang TY. Smooth schedule of large-scale terrain visualization from external memory. Journa

    Validating the CHARMM36m Protein Force Field with LJ-PME Reveals Altered Hydrogen Bonding Dynamics under Elevated Pressures

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    The pressure-temperature phase diagram is important to our understanding of the physics of biomolecules. Compared to studies on temperature effects, studies of the pressure dependence of protein dynamic are rather limited. Molecular dynamics (MD) simulations with fine-tuned force fields (FFs) offer a powerful tool to explore the influence of thermodynamic conditions on proteins. Here we evaluate the transferability of the CHARMM36m (C36m) protein force field at varied pressures compared with NMR data using ubiquitin as a model protein. The pressure dependences of J couplings for hydrogen bonds and order parameters for internal motion are in good agreement with experiment. We demonstrate that the C36m FF combined with the LJ-PME method is suitable for simulations in a wide range of temperature and pressure. As the ubiquitin remains stable up to 2500 bar, we identify the mobility and stability of different hydrogen bonds in response to pressure. Based on those results, C36m is expected to be applied to more proteins in the future to further investigate protein dynamics under elevated pressures.</p
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