本文通过引入博弈理论分析可转债条款之间相互作用对发行人与投资者行为的影响。在此基础上,本文考虑了可转债的路径依赖性及美式期权特性,采用最小二乘蒙特卡罗模拟(Least Square Monte Carlo Simulation,LSM)方法来为可转债进行定价...本文通过引入博弈理论分析可转债条款之间相互作用对发行人与投资者行为的影响。在此基础上,本文考虑了可转债的路径依赖性及美式期权特性,采用最小二乘蒙特卡罗模拟(Least Square Monte Carlo Simulation,LSM)方法来为可转债进行定价。本文以截止2011年3月11日中国可转债市场上流通的16只可转债为例对该模型的定价效率进行验证,实证结果表明LSM模型对可转债的定价具有比较高的准确度,模型定价误差小于可允许的5%的误差范围。展开更多
Surface soil moisture has great impact on both meso-and microscale atmospheric processes,especially on severe local convection processes and on the dynamics of short-lived torrential rains.To promote the performance o...Surface soil moisture has great impact on both meso-and microscale atmospheric processes,especially on severe local convection processes and on the dynamics of short-lived torrential rains.To promote the performance of the land surface model (LSM) in surface soil moisture simulations,a hybrid hydrologic runoff parameterization scheme based upon the essential modeling theories of the Xin'anjiang model and Topography based hydrological Model (TOPMODEL) was developed in preference to the simple water balance model (SWB) in the Noah LSM.Using a strategy for coupling and integrating this modified Noah LSM to the Global/Regional Assimilation and Prediction System (GRAPES) analogous to that used with the standard Noah LSM,a simulation of atmosphere-land surface interactions for a torrential event during 2007 in Shandong was attempted.The results suggested that the surface,10-cm depth soil moisture simulated by GRAPES using the modified hydrologic approach agrees well with the observations.Improvements from the simulated results were found,especially over eastern Shandong.The simulated results,compared with the products of the Advanced Microwave Scanning Radiometer-Earth Observing System (AMSR-E) soil moisture datasets,indicated a consistent spatial pattern over all of China.The temporal variation of surface soil moisture was validated with the data at an observation station,also demonstrated that GRAPES with modified Noah LSM exhibits a more reasonable response to precipitation events,even though biases and systematic trends may still exist.展开更多
文摘本文通过引入博弈理论分析可转债条款之间相互作用对发行人与投资者行为的影响。在此基础上,本文考虑了可转债的路径依赖性及美式期权特性,采用最小二乘蒙特卡罗模拟(Least Square Monte Carlo Simulation,LSM)方法来为可转债进行定价。本文以截止2011年3月11日中国可转债市场上流通的16只可转债为例对该模型的定价效率进行验证,实证结果表明LSM模型对可转债的定价具有比较高的准确度,模型定价误差小于可允许的5%的误差范围。
基金funded by the National BasicResearch Program of China (Grant No. 2010CB951404)the National Natural Science Foundation of China (Grant No. 40971024)CMA Special Meteorology Project (Grant No.GYHY200706001)
文摘Surface soil moisture has great impact on both meso-and microscale atmospheric processes,especially on severe local convection processes and on the dynamics of short-lived torrential rains.To promote the performance of the land surface model (LSM) in surface soil moisture simulations,a hybrid hydrologic runoff parameterization scheme based upon the essential modeling theories of the Xin'anjiang model and Topography based hydrological Model (TOPMODEL) was developed in preference to the simple water balance model (SWB) in the Noah LSM.Using a strategy for coupling and integrating this modified Noah LSM to the Global/Regional Assimilation and Prediction System (GRAPES) analogous to that used with the standard Noah LSM,a simulation of atmosphere-land surface interactions for a torrential event during 2007 in Shandong was attempted.The results suggested that the surface,10-cm depth soil moisture simulated by GRAPES using the modified hydrologic approach agrees well with the observations.Improvements from the simulated results were found,especially over eastern Shandong.The simulated results,compared with the products of the Advanced Microwave Scanning Radiometer-Earth Observing System (AMSR-E) soil moisture datasets,indicated a consistent spatial pattern over all of China.The temporal variation of surface soil moisture was validated with the data at an observation station,also demonstrated that GRAPES with modified Noah LSM exhibits a more reasonable response to precipitation events,even though biases and systematic trends may still exist.
