随机过程及其在金融市场发展中的作用——纪念周教授漫长而成功的职业生涯

Q2 Mathematics Communications on Stochastic Analysis Pub Date : 2019-09-01 DOI:10.31390/cosa.13.3.07

Xisuo L. Liu

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引用次数: 1

摘要

在过去40多年里，随机演算在金融市场的发展中发挥了重要作用。1973年公布的Black Sholes期权定价模型彻底改变了衍生品市场。GARCH等波动性估计的进步有助于改进风险度量和风险管理流程。其他事态发展可能是大金融危机现场的原因之一。在庆祝周教授的成功职业生涯之际，我想分享随机微积分在金融工程中的一些应用，以及它在金融市场发展中发挥的作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stochastic Process and its Role in The Development of the Financial Market: Celebrating Professor Chow's Long and Successful Career

. Stochastic calculus has played an important role in the development of the ﬁnancial markets in the past 40+ years. The Black-Sholes option pricing model published in 1973 revolutionized the derivatives market. The advances in volatility estimate such as GARCH helped to improve the risk measures and risk management process. Other developments might have contributed to the onsite of the great ﬁnancial crisis (GFC). In celebrating Professor Chow’s successful career, I would like to share some of the applications of stochastic calculus in the ﬁnancial engineering, and the role it played in the ﬁnancial market development.

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来源期刊

Communications on Stochastic Analysis Mathematics-Statistics and Probability

CiteScore

2.40

自引率

0.00%

发文量

期刊介绍： The journal Communications on Stochastic Analysis (COSA) is published in four issues annually (March, June, September, December). It aims to present original research papers of high quality in stochastic analysis (both theory and applications) and emphasizes the global development of the scientific community. The journal welcomes articles of interdisciplinary nature. Expository articles of current interest will occasionally be published. COSAis indexed in Mathematical Reviews (MathSciNet), Zentralblatt für Mathematik, and SCOPUS