动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

基于Copula的金融资产相关结构建模

分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论.     

Refraction of light in media

The roles of the magnetic field and electric field of the light are investigated when the light is refracted in the medium. The model of the electron cloud conductor is presented. Electron cloud in a molecule is treated as a conductor and the Faraday’s Law is applied to this conductor that is in the alternating magnetic field of the light. dB _M/dt of the light gives rise to an alternating induced current on the electron cloud conductor, and the light exchanges energy, i.e. the refractive energy, with the electron cloud conductor. Formulas of refractive index, which is the ratio of light speed in vacuum to that in the medium, are derived with this model. These formulas are tested with several mediums and Langevin’s diamagnetic susceptibility of helium gas, and the results are in good agreement with the measured data. The anisotropy and the nonlinearity of the refractive index are explained with the theory described in this work. Supported by Beijing Science and Technology New Star Program (Grant No. 952870400), the Beijing Municipal Commission of Education and the Excellent Young Teachers Program of Ministry of Education of China     

管理人因素对风险项目期权估值的影响

本基于对风险项目及其“孪生证券”风险和收益特性的分析，认为真正的“孪生证券”实际中很难存在，进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征，利用无风险套利分析确定项目实物期权价值的方法。但考虑到管理人因素造成的实物期权内部风险特征的不可复制性，本进一步提出利用“确定性等值”将内部风险价值V1具体化，从而实现对“近似孪生证券”方法进行修正。     

多媒体教育资源库层次索引模型

依据多媒体教育资源各层次特征及其关系,通过定义资源媒体特征空间,构建了教育资源库层次索引模型,各层次特征间的映射规则将资源的高层语义特征映射到低层媒体特征,达到了扩充描述语义的目的,提高了查全率;结合学科本体,规范了资源标注内容和用户查询条件的描述,减少了人为因素对查询项和索引项匹配相似度计算的影响,提高了查准率.     

四阶微分方程奇异边值问题的正解

本文利用锥上的不动点指数理论,在更一般的边界条件下讨论了一类四阶奇异边值问题正解的存在性并给出了应用．     

负折射指数物质中金属线对电磁波的影响

构造两种结构负折射指数物质(NRM)，利用数值模拟计算两种结构的S参数.由于这种结构尺度比波长小，为精确利用有限积分技术(FIT)进行模拟.通过对这两种结构中金属线位置变化对金属谐振频率影响进行模拟，最后得出由于金属线与谐振环耦合，金属线对称破缺影响谐振环谐振频率和通带，并对等效负折射指数为负的频带产生影响. 关键词： 负折射率 左手物质 通带 金属线对称破缺     

SPR棱镜传感器测量液体折射率的原理

推导了消失波函数的表达式,介绍了衰减全反射现象及SPR传感器测量液体折射率的原理,并利用SPR传感器测量了牛奶样品的反射系数及折射率与脂肪等主要成分含量的关系曲线.     

短波通滤光片膜系设计

详细介绍用等效折射率概念设计短波通滤光片的原理和计算方法。根据原理和方法，选择二氧化钛（TiO2）作为高折射率材料、二氧化硅（SiO2）作为低折射率材料。首先从理论上计算出用这2种材料设计的波长λ=950～1150nm的短波通滤光片所需要的周期数，然后给出短波通滤光片的主膜系和光谱曲线。由于据此周期数设计出的膜系光谱曲线在750～810nm处的透过率不符合要求，因此对该膜系进行了改进。依照改进的设计进行多次制备，最终制备出了符合要求的短波通滤光片，找到了最佳制备工艺和方法。最后，对制备出来的短波通滤光片薄膜进行了各种环境实验。实验结果表明，膜层的各项指标符合设计要求。     

Converged properties of clean metal surfaces by all-electron first-principles calculations

All-electron full-potential linearized augmented plane-wave calculations of the surface energy, work function, and interlayer spacings of close-packed metal surfaces are presented, in particular, for the free-electron-like metal surfaces, Mg(0 0 0 1) and Al(1 1 1), and for the transition metal surfaces, Ti(0 0 0 1), Cu(1 1 1), Pd(1 1 1), and Pt(1 1 1). We investigate the convergence of the surface energy as a function of the number of layers in the slab, using the Cu(1 1 1) surface as an example. The results show that the surface energy, as obtained using total energies of the slab and bulk from separate calculations, converges well with respect to the number of layers in the slab. Obviously, it is necessary that bulk and surface calculations are performed with the same high accuracy. Furthermore, we discuss the performance of the local-density and generalized gradient approximations for the exchange-correlation functional in describing the various surface properties.