 全文文献 工具书 数字 学术定义 翻译助手 学术趋势 更多   风险中性测度 的翻译结果: 查询用时：0.785秒 在分类学科中查询 所有学科 数学 宏观经济管理与可持续发展 投资 金融 证券 保险 更多类别查询 历史查询  风险中性测度  “风险中性测度”译为未确定词的双语例句
 In addition,the relationship between the forward measure and the real probability measure is established. 与此同时,得到了远期测度与实际测度之间的关系,此关系不依赖于风险中性测度。 短句来源 By the use of risk neutrality measure, martingale law, Girsanov theorem and multidimensional normal distribution, this article discusses the pricing of options with constant interest rate or stochastic and the pricing of foreign exchange reset options under jump-diffusion models. Finally, this article demonstrates the simulation under jump-diffusion models using the finite difference method and obtains some valuable results. 本文通过定义跳跃—扩散模型下的风险中性测度,利用鞅方法、Girsanov定理和多维正态分布着重讨论了利率为常数、利率随机情况下的期权定价以及外汇重置期权的定价问题,最后利用有限差分方法给出了跳跃—扩散模型下期权定价的数值模拟,得到了一些有价值的结果。 短句来源 Firstly, we establish the money market model under jump-diffusion models, risk neutrality measure, equivalent martingale, then get the pricing formula using Girsanov theorem. 我们首先建立跳跃—扩散模型下的金融市场模型,建立风险中性测度以及等价鞅测度,然后利用Girsanov定理非常巧妙的得到了期权定价公式。 短句来源 Through the martingale pricing method, we can get the risky loan's default probability, expected loss, credit spread and other indexes. Numerical examples are provided to demonstrate the character of the default probability and credit spread for various parameter values. 在还款来源和抵押品价值均符合几何布朗运动的假设下，我们构建了符合房地产开发贷款特征的违约对冲期权，计算了实际概率测度下的理论违约距离，并利用鞅定价的方法求出了风险中性测度下的违约风险、贷款价格、平价抵押率及信用价差。 短句来源 Through calculating the cost and income fund flows under the risk neutral measures,a framework of a "break-even" pricing model is established,and a mathematic formula of pricing a credit loan is deduced. 通过在风险中性测度下计算贷款成本支出和收入的现金流,建立了盈亏平衡下定价模型的框架,数学推导出了定价公式. 短句来源 更多 相似匹配句对
 Nonparametric Estimation of the Risk-Neutral Process 风险中性过程的非参数估计 短句来源 Risk-Neutral Pricing Method for Credit Risk and Empirical Evidences from China 信用风险中性定价方法及实证研究 Risks exist impersonally. 风险是客观存在的。 短句来源 If you do nothing,the risk will come 无为的风险 短句来源 Neutral doctrism 中性主义 短句来源 查询“风险中性测度”译词为用户自定义的双语例句

我想查看译文中含有：的双语例句  risk neutral measure
 This choice may be dependent by agents' preferences and it is related to some risk neutral measure. There are several methods that exploit the representation of the price as the expected payoff under the risk neutral measure. These methods exploit the representation of the price as the expected pay-off under the risk neutral measure. These are defined in Section 2 for both the reference probability measure P and a risk neutral measure Q. The expectation is taken with respect to the so cded risk neutral measure. 更多 risk-neutral measure
 A bubble is defined to be a price process which, when discounted, is a local martingale under the risk-neutral measure but not a martingale. We consider a model for interest rates where the short rate is given under the risk-neutral measure by a time-homogeneous one-dimensional affine process in the sense of Duffie, Filipovi?, and Schachermayer. We prove necessary and sufficient conditions in terms of parameters for the existence of an equivalent risk-neutral measure, i.e., a measure under which each asset return has zero expected value. The typical approach used by the industry, which involves simulating interest rates under the risk-neutral measure and applying a physically measured prepayment function, is subject to the problem of internal inconsistency. A time-dependent drift is applied to the credit quality process in order to change to a risk-neutral measure. 更多 Based on analyzing the main characters of the credit loan and reduced form models,in the case of the interest rate process being correlated with the default process,the modeling idea on pricing the credit loan is presented by applying the reduced form models.Through calculating the cost and income fund flows under the risk neutral measures,a framework of a "break-even" pricing model is established,and a mathematic formula of pricing a credit loan is deduced.The conclusion conditioned on "break-even" point is... Based on analyzing the main characters of the credit loan and reduced form models,in the case of the interest rate process being correlated with the default process,the modeling idea on pricing the credit loan is presented by applying the reduced form models.Through calculating the cost and income fund flows under the risk neutral measures,a framework of a "break-even" pricing model is established,and a mathematic formula of pricing a credit loan is deduced.The conclusion conditioned on "break-even" point is that the risk premium of the interest rate in a credit loan is not related to the maximum authorized amount and the drawdown amount under some conditions,but is only rested with credit rank and loan term of a borrower,as well as the interest rate of default-free bond. 在分析信用贷款和简化模型主要特征的基础上,针对利率过程与违约过程相关的情况,提出了应用简化模型解决银行信用贷款定价问题的建模思想.通过在风险中性测度下计算贷款成本支出和收入的现金流,建立了盈亏平衡下定价模型的框架,数学推导出了定价公式.得出了盈亏平衡条件下信用贷款利率的风险升水取决于贷款客户的信用等级、贷款期限,以及无违约债券利率的结论,并在一定假设条件下,与银行授信额度,客户实际使用额度情况无关. Considering the difficulty in valuating the fixed - income derivatives with the risk - neutral probability measure, this paper presents a new change -of- measure technique--forward - neutral probability measure.can used to construct the martingale process to valuate the fixed - income derivatives. It also helps to mark out the pricing formulas of call option in terms of zero - coupon bond and interest - rate caps. 基于风险中性测度在一些衍生证券定价中的复杂性,提出一种新的测度变换方法——远期中性概率测度。在该测度基础上,构造鞅过程可以对一些固定收益衍生品定价,进一步给出零息债券的欧式期权、利率上限期权的定价公式。 This paper develops a continuous time model by means of the BSDE methodology,in order to price risky assets in terms of the real probability measure.In following such a pricing approach,the risk-free rate does not need to be known.In addition,the relationship between the forward measure and the real probability measure is established. 本文利用倒向随机微分方程研究了连续时间下基于可交易证券的风险资产定价模型。解决了如何在实际测度及不知无风险利率的情况下对一般(可能不可交易)资产进行定价的问题。与此同时,得到了远期测度与实际测度之间的关系,此关系不依赖于风险中性测度。 << 更多相关文摘 相关查询

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