使用跳跃扩散模型的咖啡价格期权定价（英文）

这篇文章旨在构建一个期权定价模型以减少与埃塞俄比亚咖啡价格波动相关的风险。我们使用从埃塞俄比亚商品交易所(ECX)获得的2011年5月31日至2018年3月30日期间记录的埃塞俄比亚每日(WSDA3)咖啡价格来分析其咖啡价格的波动。本文使用跳跃扩散模型对咖啡价格进行建模和期权定价,应用最大似然法估计模型参数,使用均方根误差(RMSE)来对模型进行验证。结果表明Merton和双指数跳跃扩散模型的RMSE值分别为0.1093和0.0783,模型模拟结果与实际数据非常吻合,说明采用蒙特卡罗技术得到的WSDA3价格来对期权定价时,双指数跳跃扩散模型比Merton模型更为有效。     

基坑降水中的渗出面

对基坑降水中渗出面产生的机理、影响渗出面高度的因素、渗出面高度的计算、渗出面对基坑工程的危害及采取的措施等进行了详细的论述。工程实践证明,基坑降水工程中渗出面的研究对解决基坑降水中遇到的相关工程问题提供了理论依据。     

Recognition of cyclic steps in sandy and gravelly turbidite sequences,and consequences for the Bouma facies model

Preservation of cyclic steps contrasts markedly with that of subcritical‐flow bedforms, because cyclic steps migrate upslope eroding their lee face and preserving their stoss side. Such bedforms have not been described from turbidite outcrops and cores as yet. A conceptual block diagram for recognition of cyclic steps in outcrop has been constructed and is tested by outcrop studies of deep water submarine fan deposits of the Tabernas Basin in south‐eastern Spain. Experimental data indicate that depositional processes on the stoss side of a cyclic step are controlled by a hydraulic jump, which decelerates the flow and by subsequent waxing of the flow up to supercritical conditions once more. The hydraulic jump produces a large scour with soft‐sediment deformation (flames) preserved in coarse‐tail normal‐graded structureless deposits (Bouma Ta), while near‐horizontal, massive to stratified top‐cut‐out turbidite beds are found further down the stoss side of the bedform. The architecture of cyclic steps can best be described as large, up to hundreds of metres, lens‐shaped bodies that are truncated by erosive surfaces representing the set boundaries and that consist of nearly horizontal lying stacks of top‐cut‐out turbidite beds. The facies that characterize these bedforms have traditionally been described as turbidite units in idealized vertical sequences of high‐density turbidity currents, but have not yet been interpreted to represent bedforms produced by supercritical flow. Their large size, which is in the order of 20 m for gravelly and up to hundreds of metres for sandy steps, is likely to have hindered their recognition in outcrop so far.     

东喜马拉雅构造结陆内变形过程的研究

在东喜马拉雅构造结识别出“南向挤出”与“北向楔入”两大构造。前者包括倾向北、头朝南的一条正断层和两条分别被称为上部和下部的逆冲断层。南迦巴瓦和派乡杂岩借助这些断层从北部的冈底斯构造单元之下向南折返至地表附近。后者包括一个北东走向的推覆体和两个北北东走向、南倾的低角度推覆体,将东久、南迦巴、派乡等杂岩又北(东)向楔入冈底斯构造单元之中。独居石TIMSU-Th-Pb测年表明“南向挤出”构造中的正断层和下部逆冲断层可能分别在7.9Ma、10.7Ma时活动。锆石SHRIMP与金云母K-Ar测年结果限定上部逆冲断层活动时限介于6.2±0.2Ma和5.5±0.2Ma之间,即“南向挤出"中的上、下两条逆冲断层为逆序的逆冲断层。锆石SHRIMP和角闪石Ar-Ar测年还表明东喜马拉雅构造结核心部位的“北向楔入”很可能发生于3.0Ma和1.5Ma之间。     

全球、中国及云南近百年气温变化的层次结构和突变特征

用文献［１］建立的自适应多分辨数据波滤器进行了全球、中国及云南近百年气温变化的层次结构和突变特征分析。结果表明：（１）全球近百年来的气温变化对于较大时间尺度的演化来说主要特征是变暖,并为３个层次：即１９１９年以前的偏冷期;１９２０－１９７８年偏暖期和１９７９年以后的更暖期。对应于这种较大时间尺度的层次演变,全球的气温变化表现出十分明显的突变特征,两上最明显增暖的突变点分别发生在１９２０年和１９７９     

Widespread overspill from a saline density‐current channel and its interaction with topography on the south‐west Black Sea shelf

Seaward of the Bosphorus Strait, the south‐west Black Sea shelf is dominated by the world's largest channel network maintained by a quasi‐continuous saline (ca 35 → 31 psu) underflow. Calculations indicate that >85% of the initial discharge of ca 10⁴ m³s^?1 spills overbank before the shelf edge. This paper documents interaction of the overspill with sea bed topography using multibeam bathymetry, echo‐sounder images of the water column, conductivity–temperature–depth profiles and sediment cores. Overbank spill is widespread, particularly through crevasse channels and on the middle shelf where confinement by channel banks is negligible. Towards the outer shelf, the wind‐driven Rim Current advects mud along the shelf, contributing to levée successions and deposition on stoss sides of elongate transverse ridges. Echo‐sounder profiles reveal metre‐scale eddies over megaflutes, and breaking lee waves and internal hydraulic jumps over ridges. Megaflutes reach 600 m long and 7 m deep, yet form where the underflow, outside the flute, is no thicker than ca 2 to 5 m. Two types of elongate seaward‐facing ridges are recognized. Type 1 ridges, 2 to 5 m high, consist of bivalve‐rich muddy sand in low‐angle (3·5° to 6°) cross‐sets created by the underflow. Type 2 ridges, ca 5 m high, have crests up to 2 km long and a buried wedge‐shaped foundation (the ‘ridge‐core’) comprised of facies similar to Type 1 ridges. These ridge‐cores are blanketed on the landward side by stratified muds, and are capped by obliquely oriented ribs supporting a diverse benthic community. This facies distribution is interpreted to result from stoss‐side and lee‐side velocity and turbulence fluctuations induced by internal hydraulic jumps and breaking lee waves in overspilling portions of the underflow. Experimental results published by W.H. Snyder and co‐workers effectively explain ridge evolution and flow across the ridges, and therefore can be applied with confidence to less easily studied deep‐marine settings swept by turbidity currents.     

JGS-1B智能测井仪应用中遇到的问题及解决方法

JGS-1B智能测井仪广泛应用于煤田、水文、金属矿、非金属矿及工程地质勘探.本文对该仪器在测井过程产生的深度误差、测井曲线出现跳点、测井曲线异常等问题提出了解决方法,具有示范意义.     

Bayesian uncertainty quantification for flows in heterogeneous porous media using reversible jump Markov chain Monte Carlo methods

In this paper, we study the uncertainty quantification in inverse problems for flows in heterogeneous porous media. Reversible jump Markov chain Monte Carlo algorithms (MCMC) are used for hierarchical modeling of channelized permeability fields. Within each channel, the permeability is assumed to have a log-normal distribution. Uncertainty quantification in history matching is carried out hierarchically by constructing geologic facies boundaries as well as permeability fields within each facies using dynamic data such as production data. The search with Metropolis–Hastings algorithm results in very low acceptance rate, and consequently, the computations are CPU demanding. To speed-up the computations, we use a two-stage MCMC that utilizes upscaled models to screen the proposals. In our numerical results, we assume that the channels intersect the wells and the intersection locations are known. Our results show that the proposed algorithms are capable of capturing the channel boundaries and describe the permeability variations within the channels using dynamic production history at the wells.     

Submerged hydraulic jump with sediment-laden flow

In this experimental study,the effect of suspended sediment concentration on the characteristics of a submerged hydraulic jump in a rectangular channel has been investigated,based on the sediment conce...     

Stochastic particle based models for suspended particle movement in surface flows

Modeling of suspended sediment particle movement in surface water can be achieved by stochastic particle tracking model approaches.In this paper,different mathematical forms of particle tracking models are introduced to describe particle movement under various flow conditions,i.e.,the stochastic diffusion process,stochastic jump process,and stochastic jump diffusion process.While the stochastic diffusion process can be used to represent the stochastic movement of suspended particles in turbulent flows,the stochastic jump and the stochastic jump diffusion processes can be used to describe suspended particle movement in the occurrences of a sequence of extreme flows.An extreme flow herein is defined as a hydrologic flow event or a hydrodynamic flow phenomenon with a low probability of occurrence and a high impact on its ambient flow environment.In this paper,the suspended sediment particle is assumed to immediately follow the extreme flows in the jump process（i.e.the time lag between the flow particle and the sediment particle in extreme flows is considered negligible）.In the proposed particle tracking models,a random term mainly caused by fluid eddy motions is modeled as a Wiener process,while the random occurrences of a sequence of extreme flows can be modeled as a Poisson process.The frequency of occurrence of the extreme flows in the proposed particle tracking model can be explicitly accounted for by the Poisson process when evaluating particle movement.The ensemble mean and variance of particle trajectory can be obtained from the proposed stochastic models via simulations.The ensemble mean and variance of particle velocity are verified with available data.Applicability of the proposed stochastic particle tracking models for sediment transport modeling is also discussed.