| 金融与随机分析评述 |
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| 引用本文： | 徐东,杨招军,黄立宏.金融与随机分析评述[J].系统工程,2003,21(3):18-23. |
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| 作者姓名： | 徐东 杨招军 黄立宏 |
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| 作者单位： | 湖南大学,数学与计量经济学院,湖南,长沙,410082 |
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| 基金项目： | 湖南省教育厅资助科研项目 (0 1B0 31) |
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| 摘 要： | 试图从金融与数学的角度，通过对数理金融学中连续交易模型下的未定权益与投资消费问题的部分简单介绍，从一个侧面展示随机分析与金融学的辨证关系：一方面，随机分析是金融学研究的强有力工具；另一方面，来自金融学中的问题已成为随机分析理论新发展的巨大动力和源泉。
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| 关 键 词： | 金融理论 随机分析 金融学 未定权益 金融市场 定价 保值 |
| 文章编号： | 1001-4098(2003)03-0018-06 |
A Simple Review of the Relations between Stochastic Analysis and Finance |
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| XU Dong,YANG Zhao-jun,HUANG Li-hong.A Simple Review of the Relations between Stochastic Analysis and Finance[J].Systems Engineering,2003,21(3):18-23. |
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| Authors: | XU Dong YANG Zhao-jun HUANG Li-hong |
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| Abstract: | From both financial and mathematical points of view, this paper has partially surveyed continuous-time methods on contingent claims and investment and consumption.By this way,the paper attempts to show the dialectical relations in a degree between Stochastic Analysis and Finance: On the one hand, Stochastic Analysis is a powerful tool for the studies of Finance. On the other hand, problems arising from Finance have become significant impetuses and sources of new developments in Stochastic Analysis. |
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| Keywords: | Stochastic Analysis Martingale Contingent Claim Valuation and Hedging Investment and Consumption |
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