最优增长投资组合与等价鞅测度之间的关系

本文研究了当基本价格过程为一类连续半鞅过程时log最优的自融资投资组合的财富过程与等价鞅测度之间的对应关系。结果显示在连续过程框架下，最小鞅测度就是相对熵最小的等价鞅测度。     

中国B股市场指数长程参数的估计及其应用

本通过对中国B股市场指数2001年2年前后历史数据的处理，给出了指数维数的R/S估计。所得结果显示HURST维数是用来反映时常波动的合理的数理指标，但通常所用的数学模型不足以研究国内市场指数运行规律。     

低温储罐抽真空工艺试验研究

文中研究了低温储罐的两种抽真空工艺,并比较了它们的抽真空时间、日漏放气率、冷态真空度以及日蒸发率等。试验结果表明,CO2置换抽真空工艺可以有效的降低储罐日漏放气率、提高储罐冷态真空度以及降低储罐的日蒸发率。     

基于下界VaR对沪深股市市场风险的实证研究

本文应用Luciano和Marena提出的计算资产组合VaR的上下界的方法,对沪深股市的市场风险做了实证研究,并与传统的正态VaR做了比较。实证分析表明,沪深股市的市场风险确实存在“厚尾”和“波动聚集”现象。本文对国内市场的波动聚集现象进行了详细分析．并讨论了风险控制模型的相关检验,下界VaR通过了两次模型检验。     

Thrust generation and wake structure of wiggling hydrofoil

Marine animals and micro-machines often use wiggling motion to generate thrust. The wiggling motion can be modeled by a progressive wave where its wavelength describes the flexibility of wiggling animals. In the present study, an immersed boundary method is used to simulate the flows around the wiggling hydrofoil NACA 65-010 at low Reynolds numbers. One can find from the numerical simulations that the thrust generation is largely determined by the wavelength. The thrust coefficients decrease with the increasing wavelength while the propulsive efficiency reaches a maximum at a certain wavelength due to the viscous effects. The thrust generation is associated with two different flow patterns in the wake： the well-known reversed Karman vortex streets and the vortex dipoles. Both are jet-type flows where the thrust coefficients associated with the reversed Karman vortex streets are larger than the ones associated with the vortex diploes.     

低温管路预冷过程的实验研究

搭建了低温管路预冷过程实验台,并对不同管长和不同入口压力下低温管路预冷过程中压力和温度的变化情况进行了实验研究。结果表明,管路较长时,不稳定现象表现得更加剧烈,管路预冷时间变长,并会产生更大的压力峰值。     

多氨基多醚基亚甲基膦酸的合成及其阻垢机理的MD模拟

以端氨基聚醚、亚磷酸、甲醛、浓盐酸等为原料合成了新型水处理剂多氨基多醚基亚甲基膦酸(PAPEMP), 并通过红外、核磁等手段对产品进行了表征. 采用分子动力学(MD)模拟退火方法, 研究了周期性边界条件下PAPEMP与方解石晶体的相互作用, 探讨了该相互作用的本质, 并初步阐释了PAPEMP的阻垢机理. 结果发现, PAPEMP分子(n＝1～8)与方解石 晶面的结合能强弱排序依次为(按聚合度) 5＞6＞4＞3＞8＞2＞7＞1. 对体系各种相互作用以及对关联函数g(r)的分析表明, 超分子体系的结合能主要由库仑作用(包括离子键)提供, 并含少量氢键成分; van der Waals作用为正值, 不利于结合体系的形成. 能量分析表明, 与方解石晶面结合的PAPEMP (n＝1～8)分子均发生了明显的扭曲变形.     

随机利率下亚式期权的定价模型

§1Introduction Asianoptionpayoffdependsontheaverageofassetpricesoverthelifeofoptions.Theirpopularityistoavoidthepossiblepricemanipulationatthematuritydatefor ordinaryoptions.ItturnsouttobedifficulttoderiveBlack-Scholes-likeclosed-form formulaforAsianoptionsbecausethedistributionofarithmetic-averageassetpricesdoes nothavestandardexpression.AlotofworkhasbeendoneonpricingAsianoptionssince KemmaandVorst(1990).Manytreatmentsdealwiththecaseofgeometricaverageforthe firststepeitherasanapproximatio…     

Surface Morphology of GaAs/In0.3Ga0.7As in an Elastic Field of Static Point Defects

The surface morphology InGaAs layers with In composition of 0.3 on GaAs （001） substrates are simulated by the phase field method. We investigate the influence of the strain field induced by static point defects on surface morphology of the InGaAs thin film. Our simulation demonstrates that the rms roughness of the thin film surface is strongly dependent on the density and magnitude of the randomly distributed point defects. Point defects near the thin film surface can produce a relatively large change of the surface morphology. The influences of thin film thickness on the surface morphology with different defect distributions are illustrated in the simulations. Additionally, a combination of experiment and theory is used to examine the influence of the defect density and magnitude on the surface morphology and roughness.     

阳光转债的投资价值分析

本文通过对核准制下发行的第一只转债-阳光转债的投资价值的实证分析,简要介绍了可转换债券及其性质以及常见的投资价值分析的方法;并详细的讨论了影响可转债价格的其它因素.