Classical indifference valuation,a widely studied approach in incomplete markets,uses critically the a priori knowledge of the characteristics(arrival,maturity,payoff structure)of the projects in consideration.This as...Classical indifference valuation,a widely studied approach in incomplete markets,uses critically the a priori knowledge of the characteristics(arrival,maturity,payoff structure)of the projects in consideration.This assumption,however,may not accommodate realistic scenarios in which projects,not initially anticipated,arrive at later times.To accommodate this,we employ forward indifference valuation criteria,which by construction are flexible enough to adapt to such"non-anticipated"cases while yielding time-consistent indifference prices.We consider and analyze in detail two representative cases:valuation adjustments due to incoming non-anticipated project and the relative forward indifference valuation of new projects in relation to existing ones.展开更多
A new dynamic subgrid-scale (SGS) model, which is proved to satisfy the principle of asymptotic material frame indifference (AMFI) for rotating turbulence, is proposed based on physical and mathematical analysis. Comp...A new dynamic subgrid-scale (SGS) model, which is proved to satisfy the principle of asymptotic material frame indifference (AMFI) for rotating turbulence, is proposed based on physical and mathematical analysis. Comparison with direct numerical simulation (DNS) results verifies that the new SGS model is effective for large eddy simulation (LES) on rotating turbulent flow. The SGS model is then applied to the LES of the spanwise rotating turbulent channel flow to investigate the rotation effect on turbulence characteristics, budget terms in the transport equations of resolved Reynolds stresses, and flow structures near the wall regions of the rotating channel.展开更多
A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a mul...A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a multi-rating bond and obtain closed formulae in a three-rating case. Based on the pricing formulae, the impacts of the parameters on the indifference price are analyzed and some reasonable financial explanations are provided as well.展开更多
文摘Classical indifference valuation,a widely studied approach in incomplete markets,uses critically the a priori knowledge of the characteristics(arrival,maturity,payoff structure)of the projects in consideration.This assumption,however,may not accommodate realistic scenarios in which projects,not initially anticipated,arrive at later times.To accommodate this,we employ forward indifference valuation criteria,which by construction are flexible enough to adapt to such"non-anticipated"cases while yielding time-consistent indifference prices.We consider and analyze in detail two representative cases:valuation adjustments due to incoming non-anticipated project and the relative forward indifference valuation of new projects in relation to existing ones.
基金supported by the National Natural Science Foundation of China(Grant Nos.10302028 and 10125210)the China NKBRSF Project(Grant No.2001CB409600)the Hundred Talents Programme of the Chinese Academy of Sciences,and Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.20020358013).
文摘A new dynamic subgrid-scale (SGS) model, which is proved to satisfy the principle of asymptotic material frame indifference (AMFI) for rotating turbulence, is proposed based on physical and mathematical analysis. Comparison with direct numerical simulation (DNS) results verifies that the new SGS model is effective for large eddy simulation (LES) on rotating turbulent flow. The SGS model is then applied to the LES of the spanwise rotating turbulent channel flow to investigate the rotation effect on turbulence characteristics, budget terms in the transport equations of resolved Reynolds stresses, and flow structures near the wall regions of the rotating channel.
基金Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11271287）.
文摘A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a multi-rating bond and obtain closed formulae in a three-rating case. Based on the pricing formulae, the impacts of the parameters on the indifference price are analyzed and some reasonable financial explanations are provided as well.
