金融工程学的发展趋势探析ΞΞΞ

164199911JOURNALOFENGINEERINGMATHEMATICSVol.14No.4Nov.1999XXX(,710049),,,,AMS(1991)90A09,90A10;CCLO29,TB11,F830(FinancialEngineering)208090,,[1],:,,,,,80,,[2,3],11.150,FinancialEngineering,,,,,()7080,XXX,199967©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.õ(JohnFinnerty,1988):[4],[5]:(1),(2),(3),,,,1991(InternationalAssociationofFinancialEngineers2IAFE),:,(),()(),,,,1.2õ,:,()();,,;,(AmericanAssociationofFinancialEngineers2AAFE)õõ(JohnFMarshall,1992),:(),,,,,,,,(Frederick(Fengming)Song,1997)8916©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,[6]:;,ö;,,,,ö;;,,,,[7],,,,,,:()()2,(,),:,,,,,[1],,80[810],2.12050,2050,,2.2205070,,50õ(HarryMarkowitz,1952,1956,1959),,,,,60,õ(LelandJohnson,1960)õ(JeroseStein,1961),;õ(WilliamSharpe,1961)õ(JohnLintner,1965)õ(JanMossin,1966),,994:©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,19641965,(CAPM2CapitalAssetPricingModel)CAPM,,(Mayers,1972)õ(RobertMerton,1973)(EltonandGruber,1978),,;õõ(FisherBlackandMyronScholes,1971)(RossSA,1976),CAPM,,(1971,-)(APT2ArbitragePricingTheory),õ(RobertMerton),,,2.32080,80,,80,,,(Engle,1982)P(ARCH(p))Ft-1t-1,Ytt-1t,mt,ht:mt=E(YtöFt-1),ht=Var(YtöFt-1)Et=Yt-mt(Et)ARCH(p):ht=X+pi=1AiE2t-i:X0,Ai0,(Bollerslev,1986)ARCH(p)(GARCH(p,q)-M):ht=X+pi=1AiE2t-i+qi=1Biht-i:X0,Ai0,Bi0GARCH(1,1),,,,EGARCH(ExponentialGARCH)AGARCH(AsymmetricGARCH),,(pricekernel)õ(DarrellDuffie),00116©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,80,,õ(HayneLeland)õ(MarkRubinstein)1988õ90(1998)1991(IAFE),õõ(JohnMarshallandVipulBansal,1992)õ(LawranceGalitz,1994)33.11990,:,,,,(1997)(1998),1998,,,,,19977,,,,19961997,,7,,,,,,1996199973.2,,,,,,,1014:©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,3.3,,,,,,()(),,,()3.4,CAD,Financial2CADforExcel,FinancialCADforVisualBasicandC,,,,1..,1997;7:152.:.,1996;14(4):28343..,1998;1:7104JohnDFinnerty.Financialengineeringincorporatefinance:AnOverview.FinancialManagement,Winter1998;14335JohnFMarshall,VipulKBensal.Financialengineering-acompleteguidetofinancialinnovation.AllynBanconInc,19926..,19977PeterTufano.Howfinancialengineeringcanadvancecorporatestrategy.HarvardBusinessReview,Jan2Feb,19968..,1996-02-179..,1996;210.:.,1998;3:141711HarryMarkowitz.Portfolioselection.JournalofFinance.7,March,1952;779112LawranceGalitz.Financialengineeringtoolsandtechniquestomanagefinancialrisk.London:PitmanPublishing,199413JohnsonLL.Thetheoryofhedgingandspeculationincommodityfutures.ReviewofEconomicStudies,1960;27(3):13915114SteinJ.TheSimultaneousdeterminationofspotandfuturesprices.AmericanEconomicReview,1961;51(5):22323515SharpeWF.CapitalAssetPrices:Atheoryofmarketequilibriumunderconditionsofrisk.JournalofFinance,1964;42544216LintnerJ.Thevaluationofriskassetsandselectionofriskyinvestmentsinstockportfoliosandcapitalbudgets.ReviewofEconomicsandStatistics,196517MossinJ.Equilibriuminacapitalassetmarket.Econometrica,1966;768783(90)20116©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,(1)[3]1..,1960;4(1):152BaileyFN.TheapplicationofLyapunovpssecondmethodtointerconnectedsystems.JSIAMcontrolSerA,1965;3(3):4434623..,1975;18(2),64..,1996;35.n.(),1998;66.5,5,19707.y.,1959;9(4):48,,..((É)),19799.dxsdt=ni=1faj(xj),s=1,,n(É).,1964;14(3):5TheAsymptoticStabilityofNon-linearTime-dependentSystemYuJin(ChinaAstronauticsStandardizationlnstitute)AbstractInthispaper,weestabilishthesufficientconditionsthatcanguaranteetheasymptoticstabilityoftrivialsolutionfornon2lineartime2dependentsystemdxldt=A(t)x+f(t,x),byanalysingthesystem.--------------------------(102)18BlackF,ScholesM.Thepricingofoptionsandcorporateliabilities.JournalofPoliticalEconomy,1973;81:63765419RossS.Thearbitragetheoryofcapitalassetpricing.JournalofEconomicTheory,1976;13:341360AnAnalysisontheDevelopingTendenciesofFinancialEngineeringZhangXuedongXuChengxian(FacultyofSeience,XianJiaotongUniversity,Xian710049)AbstractTherapiditywithwhichcorporatefinance,commercialbank,investmentbankingandinvestmentshavechangedfromthelateeightiestotheearlyninetiesofthetwentiethcenturyhasgivenbirthtoanewcross2disciplinethathascometobeknownasFinancialEngineering.Asalatestdevelopmentofmodernfinancehasbeenadvancedtowardsproductizingandengineering.ThispaperpresentsthedefinitionandresearchfieldsofFinancialEngineering,weestablishtheprocessandbasicfeaturesofthedevelopmentsofFinancialEngineering.ThenwesummarizeandpredictthedevelopingtendenciesofresearchesinFinancialEngineering.0916©1995-2003TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.