摘要
在连续时间金融市场模型的研究中，随机理论和方法已成为重要的研究手段之一.以现代金融学的发展为背景，阐述了近年来金融数学的研究现状，尤其对最优消费投资、期权定价、动态风险测度等作了较详尽的描述，其中结合了我们近年来在这几个方向上的研究工作.所利用的数学工具是随机微分方程、随机控制、鞅论、随机对策等现代随机理论.最后简单介绍金融数学的其它主要研究分支.
In the study of continuous time finance market modeling, the theory and methods of stochastics have been one of important research tools. With of moden finance development as background, we explain the situation of financial mathematics study. Particularly, together with our- study in optimal consumption/investment, option pricing, dynamic risk measures etc., we discuss the related concepts and results. The new stochastic theory on S.D.E., stochastic control, martingale and stochastic games etc. is applied. Finally, ramifications of other study are simply introduced.
出处
《安徽机电学院学报》
2001年第2期1-6,共6页
Journal of Anhui Institute of Mechanical and Electrical Engineering
基金
国家自然科学基金资助项目!(70071016)
安徽省教育厅科研基金资助项目!(2000jw049)
