金融市场中的随机波动率模型-应用数学专业论文.docxVIP

⑨ ⑨ 硕士孝位论文 MASTER‘S 1‘HESIS Abstract The modem financial theory is growing up constantly by the development of the financial market,its prominent characteristic is introducing theory and method of mathematics and physiCS in financial economics constantly to study taking precautions against and control fiancial risk,uperationg ofcapital marketing,structure and pricing of the capital assets witll them．From the investigation ofthe quantity process ofthe modem finance．it is found that a key question ofthe fmancial theory lands on fluctuation all the time，which is the background ofthe studied。 11le fluctuation is not only the important index assessing the market．but also the importance that people ca玎y on investment decision,assets assessment,option fixing the price at the time of risk management．Therefore,how to accurate and predicte the fluctuation ofmarket has been always the focus ofpractice circle and the circle oftheory all the time for many years．11他development ofmodem econometrics methodology,has analyzed and offered the solid methodology foundation for the dynamic modeling of the fluctuation，have initiated unusually brilliant various theories and methods about fluctuation modeling later on．With the deepening of the study,under the nlnnel-Ons efforts ofscholars and expats，fluctuation model makes a prominent progress．Especially analyzing the development of studying offers the mol-e effective mathematics tool for financial market at random．In the text，based∞the B—S model background，it is studied the function ofsetting up random differential equation in financial market offluctuating。 It is introduced and analyzed financial quantity progress and various fluctuation rate model ofresearch partially,the characteristic ofthe fluctuating rate offinancial market in the part I ofthe text· In the part II，B—S model is presented providing the price formula under fixed value fix offluctuation option,and analyzing the real example ofthe bid index ofthe ClliIl岱e stock of 2004