Except for the introduction of insurance model into the optimum consumption and investment model by merton and other scholars , there is one more improvement , that is , besides the fixed investment time horizon , limited or unlimited , discussed by merton and other scholars , part of this dissertation discusses the unfixed decisive time horizon as well , for the time for the investors " death is indefinite 除了在merton及其他学者研究的最优消费投资模型中引入了保险模型,对其改进还表现在一个地方,即merton及其他学者讨论的投资决策区间是确定的,是有限或无限的时间区间,而在本文的部分章节我们还讨论了决策区间是不确定的时间区间,因为我们假设投资者的死亡时间是一随机变量。
Q ( t ) ) dt + ( t ) dwtq ] , and the interest rate of the riskless asset 、 the volatility rate and the dividend rate of stock are non - random functions of time , the pricing formula of two - points reset option is obtained by using martingale and stochastic analysis knowledge 。 following the thought of merton , chapter five depicts the asset price motion with ito Q ( t ) ) dt + ( t ) dwtq ] ,且无风险利率、股息率以及波动率为时间的非随机函数,并借助鞅和随机分析知识给出了两点重设型期权的定价公式。第五章按照merton的思想,用以下ito
Follow as joining the wto and developing of finance market , china ’ s financial institution will need to upgrade the ability of quantitatively measuring and managing the credit risk urgently . the author hopes that this paper ’ s research on the structural models of credit risk can give some consultation to chinese financial institution to defend and manage the credit risk . so this paper deeply reviews the method of modeling the structural model of credit risk , than does an empirical study in china based on the leland - toft models , it is a 因此,本文对信用风险结构模型的建模方法进行了深入的考察,并将leland - toft模型应用于我国的实证研究,进行了有益的探索,本文的研究成果和创新工作主要表现在以下三个方面:第一,本文比较全面系统的阐述了merton模型, longstaff - schwartz模型和leland - toft模型三个最具代表性的信用风险结构模型的构建思路,对这三个模型的区别和特点进行了深入的考察,并给出各模型计算预期违约率的数学公式和方法。