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1金融financeuncertaintyintertemporallyallocationRobinsonCrusoeriskproject/stochasticoptimalcontrolMerton1996continuous-timefinanceFridayMerton’sproblem22centralgovernment19561979208010%10%20%30%40%50%60%70%80%197019751979198019811982198319841985198619871988198919901197019902balancesheetclaimlangeO20301939publicgoods3GDP=C+IGDP|/22金融学investmentcorporatefinancefinancialengineeringfinancialmarketfinancialeconomicsmoneybankingandeconomicsinternationalfinancepublicfinancemathematicalfinanceeconometricsfinancialinnovations52capitalmarketmoneymarketderivatives34/microstructurecapitalstructure/profile/exchangeratediversification12exoticproductsErichberger&Harper1997LeRoy&Werner2001Obstfeld1992fractalgeometrychaostheory5MicrofinanceMacrofinance&Dow&JonesBachelierL.MarkovitzD.ArrowDebreuTobinJ.SharpeW.SamulesonP.BlackF.ScholesM.MertonRC.HarrisonD.KrepsDuffieDHuangC.H.1870MarginSchoolMarshall.Anewclassicaleconomics2030KeynsianrevolutionMicrofinanceBasuetal2000RossS.A.1992NewPalgraveMelicher&Weshans1992institutiondescriptionrulesofthumb1992capitalidea199019976microeconomicsmacroeconomics1951Wicksell2050assetpricingRichardD.HumeD.MarxK.217//11/IS-LM/↓IS-LM-BP↓M-M58FisherI.1911PigouA.C1917;MarshallA.1923dichotomyHumeD1752CasselG.1914LMIS-LM-Modell-Fleming1981permanentincomelifecircle19851999Obstfeld&Rogoff1996Turnovsky20009333微观金融学10GabrielCrammer1728DanielBernouli17381870Wicksell20FisherI1906Hicks1934KenyesJ.M.1936Marschak19381938-Ramsey1927/-vonNeumann-Morgenstern194725MarkovitzD.1952investmentportfolioSharpeLintnerMossincapitalassetspricingmodelCAPM2070——Arrow1953DebreuL.19593marketefficiency111900BachelierLspeculationtheoryWallstreetDow&JonesHamiltontechnicalanalysis70SavegeKaruzenga196560BrownianmotionItoK.ItointegralLevyWeinerNMertonR.C.19711973Breeden1979Bellman/ICAPMCCAPMcontinuous-timefinanceMerton1990BlackF.ScholesM.1973Europeanoptionself-financingClowesrandomwalk910Dunbar2000196919711985a1985b1987diffusionprocess1997199512-contingentclaimanalysisrealoptionnoarbitrageCox1976riskneutralHarrisonD.Paliska1979Kreps19811938DoobmartingaleRadner19721985statesoftheworld212KeynesJ.M.-M-M6Cochrane2001xix20moppingup2behavioralfinanceexperimentaleconomicsBarberis&Thaler2002132180019001827172817381900190519061934193819001964192319381951-19471952195819631953M-M19591965197519651969197119731979197319751975196619761985MonteCarloBoyle19771976&Pliska19791981Vasicek197719771985/&1989aKaratzas&Lehoczky&Shreve1987Ho&Lee1986Heath&Jarrow&Morton1992&1985inventingmoneyDunbarSundaresan2000142000LTCM4112/12/266334underlyingderivatives3445544Kochrane2001insight154164金融数学HullJ.C.1993measuretheory——12/171Newton16481729Leibniz16461716MarxK.Taylor16851731Langrange17361813Cauchy17891857Cayley1828189521617Laplace1933Kolmogorov19031987Borel18781956Lebesgue18751941203——stochasticprocessBrownmotionIto1944DoobmartingaleHuntDynkinstoppingtime2090MarkowitzSethi1997Hicks1939Samuleson1947-Kuhn-TucherDantzigBellman1902Cantor1845-1918Jordan1838-192218/NeftciS.NHullJ.C.199378——91011577891011115--Neftci199619MBArocketscience//Let’sbravethenewworld1900MarkoviatzSethi19901990
本文标题:微观金融学及其数学基础2
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