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1、CHAPTER46MODELS∗EmanuelDermanThisarticleanalyzesthemethodologyofmodelinginthephysicalsciencesandinfinance.Whereashobbyists’modelsaimforrealisticresemblancetotheobjectofthemodel,physicsmodelsaimforaccuratedivination.Financialmodels,thearticleargues,canatbestaimtoe
2、xtrapolateorinterpolatefromtheknownpricesofliquidsecuritiestotheunknownvaluesofilliquidones.Financialmodelsarethereforebestregardedasacollectionofmathematicallyconsistent,parallel“thoughtuniverses,”eachofwhichwillalwaysbefartoosimpletoresembletherealfinancialworl
3、d,butwhoseexplorationasawholecanneverthelessprovidevaluableinsight.MODELAIRPLANESWhenIwasingradeschool,weusedtobuildmodelairplanesfromkits.Theframewasmadeofprecutpiecesofbalsawood,eachhavingbeencarefullypinned,accordingtotheplans,alongapreprintedarctoobtaintheap
4、propriatecurvatureandthencemented,piecetopiece,withairplaneglue.Thefuselage,madeoftissuepaper,wasgluedtothebalsaframe,trimmed,dampenedwithwatertoshrinkittaut,and,finally,whendry,lacqueredandpaintedtomakeitstiffandrealistic.Theenginewasjustalongrubberbandthatranth
5、einternallengthofthefuselage,frompropellerblockatthenosetothetail,woundupbyrotatingthepropellermanytimesandthenletloosetounwindforaflightofperhaps10secondsatbest.Anespeciallyambitiousmodelbuilderwouldfollowtheinstructionsverycarefully—sandingoff,forexample,anyexc
6、essglueontheframesoastoleavenoimperfectionswhatsoever.Whatwas“model”aboutmodelairplanes?TheZippymodelairplanethatIrememberbuildingwassmallerthanarealZippy(IassumedthatanactualZippyairplaneexistedsome-whereintheworldofrealairplanes).Itwaslighterthanarealairplanea
7、ndmadeofdifferentmaterials.ButitdidcapturetwoessentialfeaturesoftheputativelyrealZippy:appearanceandflight.Themodellookedalotlikeanairplane,anditcouldfly,ifonlybriefly.∗ReprintedfromtheFinancialAnalystsJournal(January/February2009):28–33.681CH046.indd6818/28/108:50
8、:05PM682PartIII:ManagingRiskNonfinancialRiskNevertheless,themodelwasnotthethingitself.ItwasamodelZippy.Itlackedseats,ailerons,andproperwindowsanddoors,amongmanyotherre
