理论模型

Based on modern option pricing theories,Black-Scholes and Merton option pricing model are used to study the pricing of the structured products,and its design,characteristics and risk are studied respectively.Based on Black-Scholes and Merton option pricing models,I also use the checking method to estimate the parameters of the model following real prices data,And calculate the theoretical price.Then,I compare the real and theoretical prices of the two pricing models.The results show that the effects of the Merton option pricing model are superior to the Black-Scholes option pricing model.Moreover,It shows that Hong Kong stock prices are also affected by the instant messages,and the jump phenomenon may exist in Hong Kong stock market.

本文以香港衍生品市场上三种主要结构性产品结构性票据、牛熊证和衍生权证为例，探讨了结构性产品的设计、特点、风险和定价，以现代期权定价理论为基础，以B-S和Merton两种期权定价为基础，根据市场价格经过校验得出模型隐含的参数，编程计算出两种定价模型下的理论价格，并将其实际价格和理论价格进行了比较，结果显示：Merton定价模型的效果要优于Black-scholes定价模型，说明香港市场的股票价格也可能受即时信息的影响，存在跳跃现象。

First of all, the valuation errors in TXO of the BS-IV model are the smallest among all volatility models. In the whole, the BS-IVmodel underprices the market value, BS-HV, BS-EV（EGARCH（1,1））and Ad hoc BS model overprice the market value respectively. Next, there exist the linear relationships between the valuation errors and moneyness in TXO mostly. At last, in view of hedging errors, the other thing being equal, the shorter is the maturity, the smaller is the hedging error.

本文的实证发现，在评价误差方面，整体而言，隐含波动性模型对买权及卖权的评价误差最小，隐含波动性模型之理论价格低估了市场价格；而历史波动性模型、EGARCH（1，1）模型及平滑后的历史波动性模型之理论价格则大多高估了市场价格；接著，在评价误差与金融特性关系方面，各波动性模型之评价误差与价内价外程度、股价指数报酬率、股价指数波动性、距到期日及无风险利率等因素，大多具有显著的线性关系。

Then, it studies the supply chain management system as a complex system to confirm the state existing during operating of the system. After that, it conducts a probability analysis on the state which the system located by applying supplement variable method, and establishes the model of distributed parameter system in a form of partial differential equations. Combining C0 ? semigroup theory in the functional analysis, it conducts a dynamic analysis on the established mathematical model. Using this method, it obtains the mathematical expression of the dynamic solution and the steady state solution, and proves the uniqueness, non-negativity and the asymptotic stability of the system solution. This dissertation applies the Matlab tool and uses two-step, three-step Simpson integral equation to imitate the condition of system solution. Then, it adds possible mode of failure and the optimization adjustment state to the system, based on which it has established the distributed parameter system model which is described by partial differential system of equations. Combining the functional analysis C0 ? semigroup theory, it studies the established mathematical model, and obtains the mathematical expression of the dynamic solution system and the steady state solution. It has proven the existing of uniqueness of the system solution, the asymptotic stability of system solution and the system solution. In addition, it has lying the theory rationale for further analysis and the research on the optimization of system.

本文首先简要综述了供应链理论、可靠性研究、鲁棒性研究以及供应链鲁棒性研究的现状；然后，将供应链系统作为一个复杂系统来分析，确定了系统运行过程中所经历的状态，通过引入补充变量的方法，建立了用偏微分方程组描述的分布参数系统模型，用泛函分析中的C_0 -半群理论得到了系统动态解和稳态解的数学表达式，证明了系统解存在的唯一性、非负性和指数阶渐近稳定性；并借助Matlab工具，利用二阶、三阶辛普森积分方程模拟系统解的性态，并给出系统动态解的仿真图；本文又对上述系统增加了系统可能失效状态和优化调整状态，并在此基础上建立了用偏微分方程组描述的分布参数系统模型，同样用泛函分析中的C_0 -半群理论对所建立的数学模型进行了研究，得到系统动态解和稳态解的数学表达式，证明了系统动态解存在的唯一性、非负性及渐近稳定性，为进一步分析和研究供应链优化奠定了理论基础。

About the theory of the model errors, there are many theoretical problems to be solved, and many disscusional fields to be expanded and perfected.

但是测量平差中的模型误差的理论还有许多问题有待完善、扩展、深入，如函数模型可扩展到附有条件模型、概括函数模型、非线性模型；随机模型可扩展到相关、秩亏等情况；误差理论可扩展到线性近似误差。

From point of view of the model requirement in the design process of VP, the characteristics of an integrated VP model are given. Based on the Analyzable Product Model theory developed by Tamburini and Engineering Data Model theory developed by Eastman, the formal description of integrated model of VP is developed, and the application wrapper and the interface components are also designed.

本章中从虚拟样机设计过程中对模型的需求出发，提出虚拟样机一体化模型应该具有的功能特点；在Tamburini的可分析产品模型理论和Eastman的工程数据模型理论的基础上，提出虚拟样机一体化模型的形式化描述体系；接着对一体化模型的应用包装器和接口组建进行设计。

In this paper, a kernel quantification theory IV is proposed through organical combining kernel function theory and quantification theory IV. The algorithm framework for the new model with large scale-sampling data is established on the basis of Lanczos algorithm which is an iterative method for finding the eigenpairs of a square matrix.

把核函数理论与数量化理论IV模型有机结合，提出了核数量化理论IV模型，并以高阶对称矩阵端部特征对求解的Lanczos算法为基础设计了大样本核数量化理论IV模型的算法框架。

With complex system and behavioural finance theory, a multi-agent trade market model is primarily built. Furthermore a relevant information auto- retrieval platform based on Internet, a background-based distributed computing platform for apperceiving agent and a simulated real-time trade system are primarily realized. Both experimental results and theoretical analyse show that effective market hypothesis as support for capital market and capital asset pricing theory (Nobel Prize in economics in 1990) are defective. These results also verify the feature of GARCH model (Nobel Prize in economics in 2003). Moreover, a quantitative analytic way to behavioural capital asset pricing theory (Nobel Prize in economics in 2002) in behavioural finance is presented.

结合复杂系统理论和行为金融学理论，初步建立了一个主体交易市场模型，一个基于互联网的信息自动获取平台、一个基于后台分布式主体感知计算平台和一个模拟实时交易的原型系统，在此基础上，通过大量的数据计算、实验和理论分析，指出了资本市场的理论支柱之一的有效市场假设理论和资本资产定价理论（1990年诺贝尔经济学奖）存在的缺陷，验证了GARCH模型（2003年诺贝尔经济学奖）的特征，提供了行为金融学中行为资产定价理论（2002年诺贝尔经济学奖）的初步量化分析结果。

Originated from Maxwells theory and Drude model, we discussed the physical modelof surface plasmon wave and surface plasmon resonance under different conditions.Specially of metal thin-film structure, we study the propagation characteristic of SPWintensively, and carry out theoretical simulations according to ideal model and practicalmodel respectively under different thickness of the film and the wavelength of probe beam.

在理论上，首先从电磁场理论和Drude模型出发，讨论了在各种不同情况下的表面等离子体波的物理模型，并且进一步深入研究了表面等离子体波共振现象，特别针对金属薄膜结构下的表面等离子体波的传播特性进行讨论，对不同的膜厚和入射波长的情况对理想模型和有损模型分别进行了理论的模拟。

A mathematical model of airlift-loop reactor was developed with the two-fluid model and the theory of two-phase flow.

采用双流体模型和气液二相流体动力学理论建立了气升式环流反应器流体流动的数学模型，在此模型的基础上利用溶质渗透理论和各向同性湍流理论建立了局部液相体积传质系数数学模型。

Based on the modeling theory of the equivalent probability density error model(marked as "Tepdem") and the numerical algorithm,this paper provides an approach on how to ascertain a point location with the highest coordinates precision between both of the adjacent characteristic points on a generic curve accurately by use of the theory of function extremum as well as the iterative algorithm,and it also provides the method on how to obtain the least width of "Tepdem" exactly,from which,the explanation of geom...

基于等概率密度误差模型建模原理和数值算法，运用函数极值理论和迭代方法来求解平面一般曲线上两相邻特征点间位置精度最高的点，以精确确定误差模型的最小带宽，从理论上给出等概率密度误差模型的几何特征，从而进一步完善矢量GIS的位置不确定性理论。通过实例计算与可视化分析，验证了理论推导的正确性。

Breath, muscle contraction of the buttocks; arch body, as far as possible to hold his head, right leg straight towards the ceiling (peg-leg knee in order to avoid muscle tension).

呼气，收缩臀部肌肉；拱起身体，尽量抬起头来，右腿伸直朝向天花板（膝微屈，以避免肌肉紧张）。

The cost of moving grain food products was unchanged from May, but year over year are up 8%.

粮食产品的运输费用与5月份相比没有变化，但却比去年同期高8％。