In the first part of this article, we discuss the time and the probability for the barrier option to become effective, and then employ the risk neutral assumption to derive the pricing formula of the barrier option. Our pricing formula is a closed form solution, and we may calculate the price of the barrier option without considering the Binomial tree of the underlying asset. We also calculate the traditional option price by our pricing formula, and compare the result to the value that is calculated by Binomial pricing formula. Both of them give the same value about the tradition option, and thus we may regard the tradition option as the special case of the barrier option. In the second part of this article, we employ the pricing formula of the barrier to derive the value of the National Finance Stabilization Fund, and then analyze the impact of the NFSF to the market. Our results reveal that when the benchmark market is not shifted by the bad news, then the NFSF may advance and stabilize the stock price index. In fact, many new style derivatives have the characteristics like barrier option, for example, a convertible bond with forced convert clause, which is a up-and-out call. Other course like bankruptcy costs, agency problems, and contingent liabilities etc, which can all be solved by the pricing formula in our discussion. We hope that results and the process in this article are helpful in solving above questions.

With the rapid increase in the usage of barrier options on the OTC markets, pricing and especially hedging of these exotic instruments became an important field of research. This paper aims to explain, apply and compare current methods used for pricing and hedging barrier options with a simulation approach. An overview of most popular methods for pricing and hedging is presented in the first part, followed by application of these pricing methods and comparing the performances of different dynamic and static hedging techniques in Black-Scholes environment by simulation in the second part. In the third part different models such as ARCH type and Stochastic Volatility are used with different jump terms to relax the assumptions of the Black-Scholes and examine the effects of these incomplete models on both pricing and performance of different hedging techniques. In the fourth part diffusion models such as Constant Variance Elasticity, Heston Stochastic Volatility and Merton Jump Diffusion are used to complete the picture.

No description available.

The failure mechanisms of the tantalum-based nitride diffusion barrier using between copper metal and the SiGe/Si layers grown with UHV/CVD have been studied. The TaN and Cu films were deposited with RF sputtering technique. The structure of these films was analyzed by X-ray diffraction. The stoichiometry of TaN was characterized by XPS (X-ray photoelectron spectroscopy). The morphology of the films was examined with SEM and the microstructure of the interface between several layers was observed with TEM. With comparing the XRD patterns of the samples which were annealed in the different temperatures, the failure temperature of the TaN barrier layer can be identified and the failure mechanism of this barrier layer cab be elucidated with TEM observation. The results revealed that the deposited TaN film with low sputtering power had better performance for preventing the Cu atoms diffusing into the SiGe layer. The high composition of Ge in the SiGe alloy degraded the blocking ability of the TaN barrier layer due to the released the existed strain between the SiGe and Si. When the failure temperature was reached, The Cu3Si phase was formed first in the interface of the TaN/SiGe and inside the TaN film. If the annealed temperature went higher, the TaSi2 phase also was formed. Compared with SiGe/Si and Si substrate, the TaN diffusion barrier layer has a higher failure temperature in Si than those in SiGe layer.

As integrated circuits (ICs) are scaled down to deep submicron regime, interconnect delay becomes increasingly dominant over intrinsic gate delay. To solve the issue, two realistic methods are accepted popularly. On the one hand we use copper as the conductor for multilevel interconnects to decrease the resistance part of the RC delay. On the other hand we should reduce the coupling capacitance between the metal lines and this requires a low dielectric constant material. However, some difficulties come up in integrating low-k material with copper wires, including dielectric integrity and high diffusivity of copper ions. In order to prevent copper from penetrating into dielectric material under high electric fields and operation temperature, barrier dielectric have been developed to enhance resistance against copper drift. Silicon carbide (SixCy) with lower dielectric constant (k=4~5) is a promising barrier dielectric material to replace typically used silicon nitride (SixNy), (k~8). In this thesis, we will discuss the basic material properties of silicon carbide and the issues which will meet in process integration and actual working such as thermal cycles and operating under an electric field and a high temperature environment simultaneously. We investigated the conduction mechanism of the leakage current and tried to extract the physical parameters among it. In addition, the electrical properties of Silicon carbide at low temperature were also an important part of our research. Finally, we proposed some reasonable models to demonstrate the phenomenon and results we observed.

An experimental investigation exploring the use of wire mesh/hollow glass microsphere combination for use as thermal insulation was conducted with the aim to conclude whether or not it represents a superior insulation technology to those on the market. Three primary variables, including number of wire mesh layers, filler material, and temperature dependence were studied using an apparatus that was part of L.I.C.H.E.N (LabVIEW Integrated Conduction Heat Experiment Network), a setup whose basic components allow three vertically stacked samples to be thermally and mechanically controlled. Knowing the temperature profile in the upper and lower samples allows for determination of thermal conductivity of the middle material through the use of Fourier?s law. The numbers of layers investigated were two, four, six, and eight, with each separated by a metallic liner. The filler materials included air, s15, s35 and s60HS 3MTM hollow glass microspheres. The experiments were conducted at four temperatures of 300, 330, 366, and 400K with an interface pressure of 20 Psi. The experimental results indicated the ?number of layers? used was the primary factor in determining the effective thermal conductivity value. The addition of hollow glass microspheres as filler material resulted in statistically insignificant changes in effective thermal conductivity. Increasing the number of wire mesh layers resulted in a corresponding increase in effective thermal conductivity of the insulation. Changes in temperature had little to no effect on thermal conductivity. The effective thermal conductivity values for the proposed insulation structure ranged from 0.22 to 0.65 W/m-K, the lowest of which came from the two layer case having air as filler material. The uncertainties associated with the experimental results fell between 10 to 20 percent in all but a few cases. In the best performing cases, when compared with existing insulation technologies, thermal conductivity was approximately 3 to 10 times higher than these methods of insulation. Thus, the proposed insulation scheme with hollow glass-sphere filler material does not represent superior technology, and would be deemed uncompetitive with those readily available in the insulation market.

<p>Railway track and ground vibrations are considered, with anemphasis on methods of mitigation ("countermeasures"), forapplication to wayside disturbance problems.</p><p>Original field measurements from two sites in Sweden, aswell as borrowed measurements from Norway, provide vibrationresults at many points on the track, on and underneath theground surface, for a variety of trains, both with and withoutcountermeasures in-place.</p><p>Infinite periodic system theory is the basis of track-onlyand track-ground interaction models presented. The repeatingelement includes the sleeper, pad-fastener, rail, and either alocally-reacting ballast or a continuous ballast-soilwaveguide. The track-only model is even refined for nonlinearand high-frequency cases. The models are suitable for studyingcountermeasures in the track, or in the foundation(soil-stabilization). This latter countermeasure is shown to beeffective at low frequencies (of geotechnical interest), butsometimes counterproductive at audible frequencies (disturbanceproblems).</p><p>An analytical model for hard seismic screens is alsopresented, to complement the treatment of ground vibrationcountermeasures; this is based on physical approximations whichare favored by "high" (i.e, audible)frequencies and softsoils. Notably, experimentally observed resonant behavior isexplained.</p><p><b>Keywords:</b>ground vibration, vibration screen, trackvibration, railway vibration</p>

No description available.

Thesis--PlanB (M.S.)--University of Wisconsin--Stout, 2002. / Includes bibliographical references.

Thesis (Ph. D.)--Mississippi State University. Department of Electrical and Computer Engineering. / Title from title screen. Includes bibliographical references.