本文選題：風險中性測度　切入點：市場風險　出處：《南京理工大學》2017年碩士論文　論文類型：學位論文

【摘要】：金融風險的估值問題一直是金融學研究領(lǐng)域中的熱點和難點問題之一。對于金融風險的刻畫問題,尤其是金融風險的測度問題,通�；诮鹑谑袌鍪峭陚涞募僭O(shè)條件。眾所周知,現(xiàn)實的金融市場常常無法理想化為完備的金融市場。本文正是基于這一考量,引進不完全信息集下的Nelson導數(shù),定義一個新的風險測度,進而研究不完全信息下的金融市場內(nèi)蘊風險的估值問題。第二章,作為預(yù)備知識,主要介紹了風險中性測度下股價的表現(xiàn)形式,以及資產(chǎn)組合過程的價值表示公式;本文第三章,研究了單一資產(chǎn)金融市場的內(nèi)蘊風險。首先,引入基于不完全信息集下的Nelson導數(shù),定義一個新的風險測度(稱為主觀風險測度);其次,基于完全信息集下金融市場的內(nèi)蘊風險研究,以及利用過去信息集和未來信息集給出內(nèi)蘊風險的度量,建立了基于主觀風險測度的資產(chǎn)定價的方程,并在不完全信息集下給出了內(nèi)蘊風險的估值;本文第四章,研究了多資產(chǎn)金融市場的內(nèi)蘊風險。類比于單一資產(chǎn)的情形并結(jié)合資產(chǎn)間相關(guān)性處理技巧,將單資產(chǎn)模型推廣到多資產(chǎn)模型,建立了基于不完全信息集下之主觀風險測度的資產(chǎn)定價方程,進而給出在不完全信息集下金融市場內(nèi)蘊風險的表示公式。
[Abstract]:The valuation of financial risk has always been one of the hot and difficult problems in the field of finance. As we all know, the real financial market can not be idealized into a complete financial market. Based on this consideration, this paper introduces the Nelson derivative under incomplete information set. This paper defines a new risk measure, and then studies the valuation of the intrinsic risk in the financial market under incomplete information. Chapter two, as a preparatory knowledge, mainly introduces the expression of the stock price under the risk-neutral measure. In the third chapter, we study the intrinsic risk of a single asset financial market. Firstly, we introduce the Nelson derivative based on incomplete information set. This paper defines a new risk measure (called subjective risk measure), secondly, based on the study of the intrinsic risk of financial market under the complete information set, and gives the measurement of the intrinsic risk by using the past information set and the future information set. The equation of asset pricing based on subjective risk measure is established, and the valuation of intrinsic risk is given under incomplete information set. This paper studies the intrinsic risk of multi-asset financial market, compares with the case of single asset and combines the skill of dealing with the correlation between assets, and generalizes the single-asset model to the multi-asset model. The asset pricing equation based on subjective risk measurement under incomplete information set is established, and the expression formula of intrinsic risk in financial market under incomplete information set is given.
【學位授予單位】：南京理工大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F830.91

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本文編號：1645774