金融市場中的隨機波動率模型.pdf

1、華中師范大學碩士學位論文金融市場中的隨機波動率模型姓名：孫旭東申請學位級別：碩士專業(yè)：應用數(shù)學指導教師：何穗20070501⑨碩士孝位論文MASTER‘S1‘HESISAbstractThemodemfinancialtheoryisgrowingupconstantlybythedevelopmentofthefinancialmarketitsprominentcharacteristicisintroducingtheoryand

2、methodofmathematicsandphysiCSinfinancialeconomicsconstantlytostudytakingprecautionsagainstandcontrolfiancialriskuperationgofcapitalmarketingstructureandpricingofthecapitalassetswitllthemFromtheinvestigationofthequantityp

3、rocessofthemodemfinanceitisfoundthatakeyquestionofthefmancialtheorylandsonfluctuationallthetime，whichisthebackgroundofthestudied。11lefluctuationisnotonlytheimportantindexassessingthemarketbutalsotheimportancethatpeopleca

4、玎yoninvestmentdecisionassetsassessmentoptionfixingthepriceatthetimeofriskmanagementThereforehowtoaccurateandpredictethefluctuationofmarkethasbeenalwaysthefocusofpracticecircleandthecircleoftheoryallthetimeformanyyears11他

5、developmentofmodemeconometricsmethodologyhasanalyzedandofferedthesolidmethodologyfoundationforthedynamicmodelingofthefluctuation，haveinitiatedunusuallybrilliantvarioustheoriesandmethodsaboutfluctuationmodelinglateronWith

6、thedeepeningofthestudyunderthenlnnelOnseffortsofscholarsandexpats，fluctuationmodelmakesaprominentprogressEspeciallyanalyzingthedevelopmentofstudyingoffersthemoleeffectivemathematicstoolforfinancialmarketatrandomInthetext

7、，based∞theB—Smodelbackground，itisstudiedthefunctionofsettinguprandomdifferentialequationinfinancialmarketoffluctuating。Itisintroducedandanalyzedfinancialquantityprogressandvariousfluctuationratemodelofresearchpartiallyth

8、echaracteristicofthefluctuatingrateoffinancialmarketinthepartIofthetextInthepartII，B—SmodelispresentedprovidingthepriceformulaunderfixedvaluefixoffluctuationoptionandanalyzingtherealexampleofthebidindexoftheClliIl岱estock

9、of2004，2005，relativelyfindingthebetterchangewithin2004and2005oftwomarketsbythedescriptionofgeometireBmwnianmovementwiththerealdata。Inthethirdpart，popularizingB—Smodel，settinguppricingmodelinrandomofthefluctulationrateass