基于不完全信息集下金融市场内蕴风险的估值

发布时间：2018-03-21 22:11

本文选题：风险中性测度　切入点：市场风险　出处：《南京理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：金融风险的估值问题一直是金融学研究领域中的热点和难点问题之一。对于金融风险的刻画问题,尤其是金融风险的测度问题,通常基于金融市场是完备的假设条件。众所周知,现实的金融市场常常无法理想化为完备的金融市场。本文正是基于这一考量,引进不完全信息集下的Nelson导数,定义一个新的风险测度,进而研究不完全信息下的金融市场内蕴风险的估值问题。第二章,作为预备知识,主要介绍了风险中性测度下股价的表现形式,以及资产组合过程的价值表示公式;本文第三章,研究了单一资产金融市场的内蕴风险。首先,引入基于不完全信息集下的Nelson导数,定义一个新的风险测度(称为主观风险测度);其次,基于完全信息集下金融市场的内蕴风险研究,以及利用过去信息集和未来信息集给出内蕴风险的度量,建立了基于主观风险测度的资产定价的方程,并在不完全信息集下给出了内蕴风险的估值;本文第四章,研究了多资产金融市场的内蕴风险。类比于单一资产的情形并结合资产间相关性处理技巧,将单资产模型推广到多资产模型,建立了基于不完全信息集下之主观风险测度的资产定价方程,进而给出在不完全信息集下金融市场内蕴风险的表示公式。
[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.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F830.91

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