有限維向量空間中線性定價(jià)函數(shù)的特征及應(yīng)用.doc
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有限維向量空間中線性定價(jià)函數(shù)的特征及應(yīng)用,19000多字 摘要 通過(guò)構(gòu)建金融學(xué)中未定權(quán)益空間與線性空間間的對(duì)應(yīng)關(guān)系,利用線性空間的性質(zhì)特征等研究滿(mǎn)足一價(jià)定律的金融市場(chǎng)等價(jià)于線性定價(jià)法則之事實(shí),研究有價(jià)證券(債券、股票等)的無(wú)套利資產(chǎn)定價(jià)問(wèn)題。 考慮到現(xiàn)有的線性定價(jià)法則大都較為抽象,難以為初學(xué)者理解和應(yīng)用,正是基于這一問(wèn)題...
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有限維向量空間中線性定價(jià)函數(shù)的特征及應(yīng)用
19000多字
摘要 通過(guò)構(gòu)建金融學(xué)中未定權(quán)益空間與線性空間間的對(duì)應(yīng)關(guān)系,利用線性空間的性質(zhì)特征等研究滿(mǎn)足一價(jià)定律的金融市場(chǎng)等價(jià)于線性定價(jià)法則之事實(shí),研究有價(jià)證券(債券、股票等)的無(wú)套利資產(chǎn)定價(jià)問(wèn)題。
考慮到現(xiàn)有的線性定價(jià)法則大都較為抽象,難以為初學(xué)者理解和應(yīng)用,正是基于這一問(wèn)題的考量,本文擬透過(guò)探究有限維向量空間上線性定價(jià)函數(shù)的基本特征,提出并研究了基于黃金分割法下的線性定價(jià)函數(shù),同時(shí)給出了其相應(yīng)的應(yīng)用研究。
首先,由金融學(xué)中的線性定價(jià)法則及數(shù)學(xué)中的黃金分割率給出了黃金分割線性定價(jià)法的定義;其次,簡(jiǎn)單介紹其一些性質(zhì);最后,給出了基于黃金分割法的國(guó)債及股票的實(shí)證分析。
實(shí)證結(jié)果表明:本文給出的黃金分割線性定價(jià)法對(duì)于債券、股票等有價(jià)證券買(mǎi)賣(mài)時(shí)點(diǎn)選擇的研究結(jié)論是有效、合理的,具有一定的理論和實(shí)際意義。
關(guān)鍵詞: 未定權(quán)益空間 線性定價(jià)函數(shù) 黃金分割線性定價(jià)法
Characteristics and application of linear pricing functions in finite dimensional vector space
Abstract By building in finance contingent claim corresponding relationship between space and linear space, by using the properties of linear space characteristics research meet the law of one price the fact of the financial markets is equivalent to the linear pricing law, the securities (bonds, stocks, etc.) no arbitrage asset pricing problem.
Considering the existing linear pricing rules are rather abstract, difficult to understand for beginners and applications, it is based on the consideration of the problem, this paper intends to explore the finite dimensional vector space through on the basic characteristics of the linear pricing function, put forward and studied based on the linear pricing function under the golden section method, and presents the corresponding application research.
First of all, by the finance of the golden ratio in linear pricing principle and mathematical definition of golden mean linear pricing is presented; Secondly, the simple introduction to some of its properties; Finally, based on the golden section method is given and the empirical analysis of the stock of public debt.
The empirical results show that: in this paper the golden linear pricing for bonds, stocks and other securities trading point selected research conclusion is reasonable and effective, has a certain theoretical and practical significance.
Keywords Contingent claims space The linear pricing function The golden section linear pricing
目 次
1 引言 1
1.1 選題的背景 1
1.2 研究現(xiàn)狀 1
1.3 本文的創(chuàng)新點(diǎn) 2
2 金融學(xué)中的基本數(shù)學(xué)知識(shí) 4
2.1 有限維線性空間 4
2.2 有限維未定權(quán)益空間的完全市場(chǎng)和不完全市場(chǎng) 6
2.3 有限維未定權(quán)益空間上的線性定價(jià)法 9
2.4 線性定價(jià)函數(shù)的特征 15
3 有限維向量空間上黃金分割線性定價(jià)函數(shù)及其應(yīng)用 17
3.1 定價(jià)之黃金分割法 17
3.2 黃金分割線性定價(jià)法則應(yīng)用 18
3.2.1 黃金分割線性定價(jià)之國(guó)債買(mǎi)賣(mài)選擇時(shí)點(diǎn)計(jì)量 18
3.2.2 黃金分割線性定價(jià)法之股票買(mǎi)賣(mài)時(shí)點(diǎn)計(jì)量 21
4 上證指數(shù)(深證成指)與股票相關(guān)性分析 31
結(jié) 論 33
課題展望及不足之處 34
——本課題的展望 34
——本文的不足之處 34
致 謝 35
參 考 文 獻(xiàn) 36
19000多字
摘要 通過(guò)構(gòu)建金融學(xué)中未定權(quán)益空間與線性空間間的對(duì)應(yīng)關(guān)系,利用線性空間的性質(zhì)特征等研究滿(mǎn)足一價(jià)定律的金融市場(chǎng)等價(jià)于線性定價(jià)法則之事實(shí),研究有價(jià)證券(債券、股票等)的無(wú)套利資產(chǎn)定價(jià)問(wèn)題。
考慮到現(xiàn)有的線性定價(jià)法則大都較為抽象,難以為初學(xué)者理解和應(yīng)用,正是基于這一問(wèn)題的考量,本文擬透過(guò)探究有限維向量空間上線性定價(jià)函數(shù)的基本特征,提出并研究了基于黃金分割法下的線性定價(jià)函數(shù),同時(shí)給出了其相應(yīng)的應(yīng)用研究。
首先,由金融學(xué)中的線性定價(jià)法則及數(shù)學(xué)中的黃金分割率給出了黃金分割線性定價(jià)法的定義;其次,簡(jiǎn)單介紹其一些性質(zhì);最后,給出了基于黃金分割法的國(guó)債及股票的實(shí)證分析。
實(shí)證結(jié)果表明:本文給出的黃金分割線性定價(jià)法對(duì)于債券、股票等有價(jià)證券買(mǎi)賣(mài)時(shí)點(diǎn)選擇的研究結(jié)論是有效、合理的,具有一定的理論和實(shí)際意義。
關(guān)鍵詞: 未定權(quán)益空間 線性定價(jià)函數(shù) 黃金分割線性定價(jià)法
Characteristics and application of linear pricing functions in finite dimensional vector space
Abstract By building in finance contingent claim corresponding relationship between space and linear space, by using the properties of linear space characteristics research meet the law of one price the fact of the financial markets is equivalent to the linear pricing law, the securities (bonds, stocks, etc.) no arbitrage asset pricing problem.
Considering the existing linear pricing rules are rather abstract, difficult to understand for beginners and applications, it is based on the consideration of the problem, this paper intends to explore the finite dimensional vector space through on the basic characteristics of the linear pricing function, put forward and studied based on the linear pricing function under the golden section method, and presents the corresponding application research.
First of all, by the finance of the golden ratio in linear pricing principle and mathematical definition of golden mean linear pricing is presented; Secondly, the simple introduction to some of its properties; Finally, based on the golden section method is given and the empirical analysis of the stock of public debt.
The empirical results show that: in this paper the golden linear pricing for bonds, stocks and other securities trading point selected research conclusion is reasonable and effective, has a certain theoretical and practical significance.
Keywords Contingent claims space The linear pricing function The golden section linear pricing
目 次
1 引言 1
1.1 選題的背景 1
1.2 研究現(xiàn)狀 1
1.3 本文的創(chuàng)新點(diǎn) 2
2 金融學(xué)中的基本數(shù)學(xué)知識(shí) 4
2.1 有限維線性空間 4
2.2 有限維未定權(quán)益空間的完全市場(chǎng)和不完全市場(chǎng) 6
2.3 有限維未定權(quán)益空間上的線性定價(jià)法 9
2.4 線性定價(jià)函數(shù)的特征 15
3 有限維向量空間上黃金分割線性定價(jià)函數(shù)及其應(yīng)用 17
3.1 定價(jià)之黃金分割法 17
3.2 黃金分割線性定價(jià)法則應(yīng)用 18
3.2.1 黃金分割線性定價(jià)之國(guó)債買(mǎi)賣(mài)選擇時(shí)點(diǎn)計(jì)量 18
3.2.2 黃金分割線性定價(jià)法之股票買(mǎi)賣(mài)時(shí)點(diǎn)計(jì)量 21
4 上證指數(shù)(深證成指)與股票相關(guān)性分析 31
結(jié) 論 33
課題展望及不足之處 34
——本課題的展望 34
——本文的不足之處 34
致 謝 35
參 考 文 獻(xiàn) 36
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