金融工程毕业(外文翻译)
金融工程-2011
金融工程专业本科培养方案Undergraduate Program for Financial Engineering一、专业名称与代码专业名称：金融工程 Financial Engineering专业代码：020109W二、专业培养目标本专业培养适应国家和区域经济社会发展需要，视野开阔、基础扎实，既具有良好的人文与科学素养，又具有丰富的专业知识和善于解决投融资问题的实际能力，能在证券、银行、保险等金融企业及管理机构和企业集团等部门从事投资理财有关业务工作的高素质应用型现代经济管理人才。
三、专业培养要求1.热爱社会主义祖国，拥护中国共产党领导，坚持社会主义核心价值观体系，掌握中国特色社会主义理论体系，愿为社会主义现代化建设服务，为人民服务，有为国家富强、民族昌盛而奋斗的理想、抱负和责任感；树立社会主义民主法治、自由平等、公平正义理念；具有负重致远、诚实守信、团队合作、遵纪守法的良好品质。
2.具有良好的人文素养、科学素养和身体素质；具有较强的语言综合表达能力、数学应用能力、计算机应用能力、经济法律思维能力及实践与创新能力。
3.具有较强投资分析、理财规划、风险管理、方案设计的金融专业能力。
四、学制与学位本专业实行4学年的基本学制；按学分制管理、实行弹性学习年限（3-6年）。
按教学计划和有关规定，提前学完全部课程并取得相应学分，符合毕业条件者，允许提前毕业（修业年限不得少于3年）或辅修第二专业。
学生学习年限不得超过6年。
在规定学制内，修满各教学环节规定的学分，成绩合格，毕业论文（设计）达到要求，方可毕业。
符合学校学士学位授予条件的毕业生，授经济学学士学位。
五、课程设置与学分分配支撑专业能力的主要课程有：（1）金融学基础能力：政治经济学、西方经济学、财政学、会计学原理、货币银行学、财务管理；（2）金融工程专业基础能力：统计学、计量经济学、股票投资学、金融工程原理；（3）金融工程专业能力：股票投资学、固定收益证券、远期期货投资学、期权投资学、金融风险管理、投资银行学。
金融工程与金融数学专业解析
金融工程（Financial Engineering）/金融数学（Mathematics of Finance）专业兴起于80年代末90年代初，是综合运用数学、统计学和计算机编程技术来解决金融问题的崭新领域。
金融工程学侧重于衍生金融产品的定价和实际运用，它最关心的是如何利用创新金融工具，来更有效地分配和再分配个体所面临的形形色色的经济风险，以优化它们的风险-收益特征。
在美国知名的高校中，Carnegie Mellon University的Master of Computational Finance开设于1994年，也一直被公认为是量化金融领域的Pioneering Program，常年在QuantNet上排名第一。
自从CMU开设这个项目以后，Financial Mathematics, Quantitative Finance, Mathematics of Finance, Financial Engineering等类似的专业也都陆续出现在Columbia, Chicago, Stanford, UC Berkeley, Cornell, JHU, Wustl, Michigan, NYU, GIT等名校的Graduate Program之中了。
而且像Princeton与MIT这两所名校的Master of Finance的项目，由于对数学、统计学以及计算机技能的高度重视，也使得这两个项目本身都有了金融数学、金融工程的印迹。
虽然这些项目在名称上有所不同，但实际学习的内容是相似的，主要包括数学、统计学、计算机编程、证券衍生物定价、风险分析、金融模型、金融信息分析和一些高级的金融理论等。
金融工程项目课程是极具职业导向的，目标是培养具有相当强的计算机和数学素质，同时具有管理和商务技巧的专业人士，使他们可以在投资银行、商业银行、对冲基金、保险公司、公司财务部门等，从事证券金融衍生产品估价，投资组合管理，风险管理和市场预测等工作。
金融学毕业论文外文翻译
南京财经大学外文文献翻译专业：金融学姓名：刘文娅学号：070601322指导老师：曹玲玲股指期货最佳套期保值策略实证分析股票指数期货，是一种以股票价格指数作为标的物的金融期货合约，是一种金融衍生工具，通过做空股指期货，可以达到规避风险和锁定收益的目的。
现状：自2006年中国股市一路飘升，充分活跃了股票市场，掀起股市投资的热潮，与此同时，也加重了市场上的投机因素和市场的动荡。
此时，推出股票指数期货的现实意义自然极为重要。
中国证券业监管部门于2010年4月16日批准位于上海的中国金融期货交易所推出股指期货交易，这是中国走向市场经济的一个具有历史性意义的里程碑。
4月16日我国首批四个沪深300指数期货合约在中国金融期货交易所正式挂牌交易，这标志着我国正式推出了股指期货。
推出股指期货后，风险低、收益率稳定的股指期货套利将会成为投资者追逐的热点.沪深300指数期货采用标准化的合约，合约的主要内容和规定，见表1-1:最后交易日交易时间9:15-11:30（第一节）13:00-15:15（第二节）每日价格最大波动限制上一个交易日结算价的正负10%交割方式现金交割最后交易日合约到期月份的第三个周五，遇法定节假日或不可抗力顺延交割日期同最后交易日交割额代码IF截至12月22日，共167个交易日，沪深300股指期货累计成交4432万手。
累计成交金额39.6万亿元。
日均成交量近26.5万手日均成交金额2371亿元，历史最高成交量为7月15日474780手，总体来看，市场交投比较活跃，流动性较好，报价连续，成交迅速。
（申银万国期货股指期货年度报告）如下表所示：图1-1股指期货成交量与持仓量来源：申银万国证券股指期货年度分析由表可知，交易量如此之大，显然，股指期货已经成为中国投资者的宠儿。
它在套期保值中所起到的效果，是无可比拟的。
股指期货套期保值的原理：股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，它们的变动方向是一致的，因此，投资者只要在股指期货市场上建立与股票现货市场相反的持仓，通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现套期保值的目的。
毕业设计论文外文文献翻译金融专业)——房地产[管理资料]
![毕业设计论文外文文献翻译金融专业)——房地产[管理资料]](https://img.taocdn.com/s3/m/249c8a7da0116c175e0e4833.png)
From The EconomistHome ownershipShelter, or burden?The social benefits of home ownership look more modest than they did and the economic costs much higherIn a scene from the film “It’s a Wonderful Life”, a happy couple is about to enter their new home. Jimmy Stewart, whose firm has sold them the mortgage, reflects that there is “a fundamental urge…for a man to have his own roof, walls and fireplace.” He offers t hem bread, salt and wine so “joy and prosperity may reign for ever”.That embodies the Anglo-Saxon world’s attitude to home ownership. Owning your own roof, walls and fireplace, it is thought, is good for householders because it helps them accumulate wealth. It is good for the economy because it encourages people to save. And it is good for society because homeowners invest more in their neighbourhoods, engage more in civic activities and encourage their children to do better at school than do renters. Home ownership, in short, benefits everyone—not just the homeowner—and the more there is of it, the better. Which is why it is usually encouraged by the government. In America, Ireland and Spain, homeowners can deduct mortgage-interest payments from taxable income.Yet the worldwide crash was bound up in this supposed miracle of social policy. The disaster began with defaults on American subprime mortgages, a financial instrument designed to spread home ownership among the poor. It gathered pace after the failures of Fannie Mae and Freddie Mac, two government-sponsored enterprises that provide cheap home loans. As a result, the home-ownership rate in America has fallen for four years, the first time that has happened in a quarter of a century. In 2008, families lost their homes or faced foreclosure—double the average before the crisis—reducing the home-ownership rate from 69% in 2004 to % at the end of 2008. The number of owner-occupied dwellings also slipped in Britain in 2007-08 for the first time since the 1950s.Subsidised castlesSo attempts to expand home ownership have contributed to the wider economic crisis without succeeding in their own terms. How does that affect the arguments for supporting home ownership? Should it still be deemed a public good?N o, say several economists and commentators. “Given the way US policy favours owning over renting,” writes Paul Krugman, 2008’s Nobel laureate in economics, “you can make a good case that America already has too many homeowners.” Edward Glaeser, an economist at Harvard University, talks about “the madness of encouraging Americans to bet everything on housing”.So far, policymakers are unmoved. In mid-February Barack Obama proposed a $275 billion plan to support America’s housing market. Outside the Anglo-Saxon world Nicolas Sarkozy, who campaigned for the presidency to turn France into a property-owning democracy, has expanded zero-interest housing loans for the poor.The main economic argument for home ownership is that, in the words of Thomas Shapiro of Br andeis University, “it is by far the single most important way families accumulate wealth”. This argument now looks as weak as house prices.In Britain prices have fallen 21% since their peak in October 2007. Prices in America have fallen more slowly but further, down 30% since their peak in mid-2006 (see chart 1). This has reduced the total value of the country’s housing stock from over $22 trillion in 2007 to $19 trillion at the end of 2008. In the past few weeks, housing markets on both sides of the Atlantic have seen signs of life, but there is every chance that prices have further to fall before they finally reach their low.The collapse in house prices matters most directly to two overlapping groups: those who bought property at the peak of the market and now face “negative equity”; and those (in America) who took out subprime mortgages. Roughly 10m Americans are in negative equity—ie, the cost of their mortgage exceeds the value of their home. In Britain about 3% of households are in negative equity. For homeowners, negative equity makes houses more like a trap than a piggy bank. Those who cannot meet their payments lose their house, their savings and (in America, usually) their credit rating for seven years.The other area of concentrated distress is subprime mortgages, which increased their share of the American mortgage market from 7% in 2001 to over 20% in 2006. According to the Mortgage Bankers Association, the delinquency rate was 22% in the fourth quarter of 2008, compared with only 5% for prime loans. Many people have concluded that, in Mr Krugman’s words, “home ownership isn’t for everyone.” However, a study by the Centre for Community Capital, part of the University of North Carolina, Chapel Hill, casts some doubt on that conclusion. It compared a group of people who took out subprime loans with a group of borrowers from the Community Advantage Programme (CAP), a government-backed scheme that lends to the sort of people who might have had a subprime mortgage. The default rate for CAP borrowers was only a quarter what it was for subprime mortgage holders, even though the incomes and backgrounds of borrowers were similar. Since the real problem lay partly in the mortgages, rather than the borrowers, this suggests the subprime crisis was a financial-market mess, as well as a housing one.Does that also imply that home ownership has the economic benefits that its proponents claim? Two pieces of evidence seem to support such a view. The first is that housing has fared better in the crisis than other assets. Share prices are around 50% below their peaks in many countries, so compared with shareowners, homeowners have not done badly. However, home ownership in a downturn has one big disadvantage: most people buy shares outright but homes on margin (ie, they put down a small stake, if anything). If share prices fall by 10%, you lose 10%; if house prices fall by 10%, you may lose your entire savings. The value of American homeowners’ equity in their own houses has slumped from a peak of $ trillion in 2005 to just $ trillion at the end of 2008. This undermines one claim that homeowning is economically beneficial.The other piece of evidence for home ownership’s benefits is that the house-price fall has so far spared most existing homeowners from absolute losses. In America, forexample, house prices have fallen back only to where they were in 2004. There were roughly 29m house sales in the United States between 2004 and 2007, compared with 115m households, and anyone who bought before then is probably sitting on a nominal profit. However, as Harvard University’s Martin Feldstein points out, if house prices rise, people feel richer and borrow and spend more. If they feel poorer, they may cut back even if the price of their house has not fallen below what they paid for it.Subsidies to home ownership have thus increased economic volatility. They boosted consumption, as homeowners used their houses as collateral to finance consumption or investment. In America mortgage-equity withdrawals reached $9 trillion between 1997 and 2006—equal to more than 90% of disposable income in 2006. This gave homeowners more to spend in the good times but less in bad ones. In Britain home-equity withdrawals added the equivalent of 3% of post-tax income to households in the fourth quarter of 2007 but subtracted 3% a year later. So changes to house prices aggravate the economic cycle. Recent research by the IMF finds that a quarter of the 100-odd recessions since 1960 have been associated with house-price busts and that these contractions “are deeper and last longer than other recessions do”. Subsidies to home ownership have also weakened financial services. They encouraged more people to buy houses (which was the point), but, logically enough, also encouraged lenders to take greater risks with housing. This was fine while house prices were rising, but the fall exposed how vulnerable banks’ bal ance sheets had become.Moreover, if public policy aims to create wealth, there are other ways of doing it. People could invest their savings in the stockmarket and rent their homes, for example. Had they done so in the past two years, they would have done worse than homeowners. But for three decades before that, equity prices easily outstripped property prices (see chart 2), so in the long run equities have been a better bet than houses. (Admittedly, this strips out the effects of share dividends and imputed rents, which favour property.) Housing suffers from two further weaknesses as an investment. It sucks up disproportionately large amounts of money, falling foul of the idea that investors should diversify: in America the equity tied up in houses accounts for 45% of the net worth of the average householder. And it is illiquid. If you need to raise money, you cannot sell a room or two, whereas you can always sell a few shares. It is hard to argue houses are the best asset for building wealth.“Perhaps the most compelling argument for housing as a means of wealth accumulation”, argues Richard Green of the University of Southern California, “is that it gives households a default mechanism for savings.” Because people have to pay off a mortgage, they increase their home equity and save more than they otherwise would. This is indeed a strong argument: social-science research finds that people save more if they do so automatically rather than having to choose to set something aside every month.Yet there are other ways to create “default savings”, such as companies offering automatic deductions to retirement plans. In any case, some of the financial snake oil peddled at the height of the housing bubble was bad for saving. Subprime,interest-only and other kinds of mortgage instruments allowed people to buy their homes without a down-payment and without building up equity. “Negative amortisation” (neg-am) mortgages even let people pay only part of their interest each month and to add the rest to the principal, increasing their debt, not their savings. Home-equity loans had the same effect.Where the heart isThe main arguments for home ownership, though, are not primarily economic, but social. Home ownership, argue those who want to expand it, benefits society because it encourages stable, more law-abiding communities; it makes people more likely to vote in local elections and join clubs; and it benefits future generations because, it turns out, the children of homeowners do better at school and have fewer behavioural problems than children of renters.On the face of it, the evidence for these claims is strong. In America homeowners are less likely to move than renters, so areas with a lot of homeowners are more stable. According to the 2007 American Housing Survey, homeowners stay where they are for about nine years whereas renters move every two.More stable neighbourhoods are more law-abiding. According to a study of New York City, the home-ownership rate was second only to income as an explanation for different crime rates.The link between ownership and political participation is stronger still. In America in the early 1990s, 69% of homeowners voted, compared with only 44% of renters. Homeowners are more likely to know who their representatives are; more likely to support local causes or parent-teacher associations and (this being America) more likely to go to church.Perhaps the most surprising link is between ownership and children. One study in America found that, in 2000, the mathematics scores of the children of homeowners were 9% higher than those of renters’ children; reading levels were 7% higher. This had nothing to do with income: the research controlled for that. In another study homeowners’ children were 25% more likely to graduate from high school and more than twice as likely to go to university. Their teenage daughters were also less likely to become pregnant.These studies, though, are not the last word. They find a link between children’s education and homeowning. But is this because, as some suggest, home ownership requires parents to possess managerial or financial skills that they pass on to their children? Or is it because the people with those skills help their children at school and also buy houses? No one knows.Nor is it certain that owners always take better care of their neighbourhoods than renters do. Some studies claim that the effect in fact depends on a few public-spirited people willing to set an example. Renters can be public-spirited too. In America areas with lots of renters tend to be transient because the typical rental period is short. In Germany, though, people rent for years. Stable neighbourhoods and widespread home ownership can go together but do not need to. As Bill Rohe of the University of North Carolina, Chapel Hill puts it, “evidence regarding the societal benefits of home ownership is highly conjectural.”Still, on balance, home ownership gives people a stake in the state of their surroundings. Thriving streets increase the value of properties, giving owners incentives to improve them further. Renters get no such benefit; they may even have to pay more if the neighbourhood improves.Whether stability is such a good thing in a downturn, though, is a different matter.A decade ago Andrew Oswald of Warwick University argued that owning your own home makes you more reluctant to move, so labour markets tend to become more rigid as home ownership increases. He claimed that increases in the level of home ownership (though not necessarily the level itself) are associated with rises in unemployment. Ireland, Greece and Spain all saw large increases in home ownership in the 1980s and 1990s, and had relatively high unemployment. America and Switzerland had stable ownership rates, and escaped the long-term rise in joblessness.His argument remains controversial. Critics point out that many things other than home ownership might prevent peop le from moving (children’s schools, friends and so on). Anyway, liquid housing markets should make it possible for people to move, if they want to. It is also possible that, even if people were trapped in distressed areas, jobs should move there to take advantage of the willingness of homeowners to accept lower wages.All that said, Mr Oswald’s arguments seem especially powerful at the moment. The recession in America is bearing down most heavily on two groups of states: Florida, California and Nevada, which had the largest house-building booms in the 1990s; and Michigan, New Hampshire, Delaware, West Virginia and Mississippi, which have the highest home-ownership rates. People are not, in fact, moving as frequently as they used to: the share of those moving house in 2007-08—% of the population—was the lowest since records began. So labour markets look less flexible than they were. Negative equity exacerbates immobility because people are reluctant to move if it means selling at a loss. Researchers at the Wharton School reckon that people in negative equity are only half as likely to move as those who are not. In all these ways, high home ownership may prolong and deepen a recession.The problem remains of how to weigh the economic costs against the social benefits of home ownership. There can be no easy judgment about this but the recent rise and fall of house prices suggests both that the costs are greater and the benefits smaller than once thought.If owning were such a boon, you would expect neighbourhoods with lots of owners to have done better than those with lots of renters during the boom years. That does not seem to have happenedWhat has happened, though, is that above a certain level, foreclosures have done a lot of damage during the bad years. Recent studies of New York and Cleveland find that, if lenders foreclose on 3-4% of properties in an area, local prices fall even faster and further than average. Rows of For Sale signs almost certainly have the same effect in Britain. In other words, ownership can sometimes be worse for a neighbourhood than renting.A shelter—for your moneyLastly, and perversely, the decade of obsession with expanding home ownershipmay actually have reduced neighbourhood stability. Nicolas Retsinas, the director of the Joint Centre for Housing Studies at Harvard University, suggests that, until the crash in 2008, Americans were coming to see their homes as financial investments rather than as places to live. That is true in other countries. Neg-am mortgages in America and buy-to-rent arrangements in Britain were based on the assumption that houses were primarily investments.As a result, people seem to have started to buy and sell homes more frequently. Between the mid-1990s and mid-2000s, the number of new houses sold almost doubled in America, from just over 600,000 to over in 2006.Perhaps that made labour markets more mobile, but it was certainly not what policymakers were aiming for when they set out to increase home ownership. Their efforts in the past few years seem to have weakened, though not destroyed, the best arguments for treating home ownership as something to be encouraged: that it increases people’s savings and creates better neighbourhoods for everyone. But perhaps you should not be surprised by that. As Adam S mith wrote in “The Wealth of Nations” two centuries ago, “a dwelling-house, as such, contributes nothing to the revenue of its inhabitants.”自有住房--是避难营还是重担？自有住房带来的社会利益中看不中用，而且经济成本高昂。
金融工程概述FinancialEngineeringIntroduction
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期权的回报（Payoff）：非线性
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金融衍生产品：按标的分类
股票 债券 指数 利率 汇率 商品价格 波动率 通胀率 气温 总统当选 ……
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场外衍生品市场：按标的资产分类 （名义本金，单位10亿美元）
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互换 swaps
当事人按照商定条件，在约定的时间内，交换一 系列现金流的合约
货币互换 currency swaps 利率互换 interest rate swaps
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运用
人类初期的合作 收益互换
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Constant Maturity Swap固定期限交换利率 marking to model
金融学、数学、计量、编程：金融工程的主要知识 基础
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理解金融工程 II
前所未有的创新与加速度发展：金融工程的作用 ➢ 变幻无穷的新产品：市场更加完全、促进合理定 价 ➢ 降低市场交易成本、提高市场效率 ➢ 更具准确性、时效性和灵活性的低成本风险管理 ➢ 风险放大与市场波动
如何理解衍生产品与风险、金融危机的关系？
分作为整体的行为及
为及其金融资产的价格
其相互影响以及金融
决定等微观层次的金融
与经济的相互作用。
活动。
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金融体系在国民经济中的地位
经济学要解决的三大问题:
生产什么商品和生产多少？
如何生产？
如何进行资源配置问题
为谁生产？
➢分配有偿的。获得资源者必须支付相应的报酬。
金融工程毕业(外文翻译)
本科毕业设计外文翻译1 期限结构和欧拉离散1.1 SV的J-SD期限模型结构为了对AIN利率行为的动态特征能够给出一个全面、准确的描述，本文给出了一种新的模式。
在这个模型里面，有三个因素需要考虑进去的，例如随机均值漂移，随机波动和跳跃。
Duffie和Kan提出的放射模型，对于分析广泛涉及利率衍生产品的定价的偏微分方程是比较容易解决的。
但是，放射模型的线性性质不能处理非线性的问题。
本文所制定的运行模式目的是为了一下两个主要目标：一方面是描述利率行为的直观特点，另一方面是保留模型的可追踪性和保持其直接的经济解释，以促进资产定价。
基于这两个目标的考虑，本文旨在仿射和非仿射操作之间的寻找适当的权衡。
第一步是建立一个包含上述三个因素的非放射模型，其次是将它转变成一个准放射模型，通过添加假设条件。
首先，让我们从描述非仿射模型开始。
dr t=κ1(μt−λr t−1/κ1−r t−1)dt+√V t dW1,t+(e J t−1)r t dQ tdW2,tdlnV t=κ2(α−lnV t−1)dt+η(1)1dμt=κ3(β−μt−1)dt+η2dW3,t在方程式（1）中，W i，i=1,2,3，表示布朗运动，其相关系数的表达式是(dW1，t，dW i，t)=ρ1，t，i=2,3, Q t代表一个不相关的泊松过程，W i，i=1,2,3，同时由跳跃密度参数λ决定，λ服从P的概率分布（dQ t=1）= λdt，当dQ t=1，短期利率将有一个跳跃，同时独立于Q t，范围在(e J t−1)r t，其中J t～N（μJ，σJ），W t,i=1,2,3, 1,κ2,κ3,а,β,η1,η2 都是参数。
1.2 欧拉离散微分方程的主要特征是微分项的内容物，其必须在通过离散过程获得数值解前移除。
基础的离散方法是利用偏差近似代替微分项。
基于这种想法我们可以实现欧拉算法。
欧拉离散可用于在网格离散时间中估算方差过程的路径。
SV的J-SD模型的离散可描述为r t−r t−1=κ1(μt−λr t−1/κ1−r t−1)+√V tε1t+σJ Jq tV t−V t−1=κ2(α−V t)+η1ε2t (2)μt−μt−1=κ3(β−μt)+η2ε3t。
金融工程常用术语(中英对照)
金融工程常用术语中英对照AABS Asset-Backed Security 资产支持证券ABS CDO 由ABS所派生出的份额产品Accrual Swap 计息互换Accrued Interest 应计利息Actuaries 保险精算师Adaptive Mesh Model 自适应网格模型Adjusted Present Value 调整现值法Adverse Selection 逆向选择After-tax Interest Rate 税后利润Agency Costs 代理费用American Option 美式期权Amortization 分期偿付Amortization Schedule 分期偿付时间表Amortizing Swap 分期偿还互换Analytic Result 解析结果APR Annual Percentage Rate 年度百分率Annualized Capital Cost 按年折算的资本成本Arbitrage 套利Arbitrageur 套利者Asian Option 亚式期权Ask Price 卖盘价Asset 资产Asset Allocation 资产分配Asset-or-Nothing Call Option 资产或空手看涨期权Asset-or-Nothing Put Option 资产或空手看跌期权Asset Swap 资产互换As-You-Like-It Option 任选期权At-the-Money Option 平值期权Average Price Call Option 平均价格看涨期权Average Price Put Option 平均价格看跌期权Average Strike Option 平均执行价格期权BBackdating 倒填日期Back Testing 回顾测试Backwards Induction 倒推归纳Barrier Option 障碍期权Base Correlation 基础相关系数Basel Committee 巴塞尔委员会Basis 基差Basis Point 基点Basis Risk 基差风险Basis Swap 基差互换Basket Credit Default Swap 篮筐式信用违约互换Basket Option 篮筐式期权Bear Spread 熊市差价Bermudan Option 百慕大式期权Before-tax Interest Rate 税前利率Beta 贝塔Bid-Ask Spread 买入卖出差价Bid Price 买入价Bilateral Clearing 双边结算Binary Credit Default Swap 两点式信用违约互换Binary Option 两值期权Binomial Model 二项式模型Binomial Option Pricing Model 二项期权定价模型Binomial Tree 二叉树Bivariate Normal Distribution 二元正态分布Black’s Approximation 布莱克近似Black’s Model 布莱克模型Black-Scholes-Merton Model 布莱克-斯科尔斯-莫顿模型Bond Option 债券期权Bond Yield 债券收益率Book Value 账面价值Bootstrap Method 票息剥离方法Boston Option 波士顿期权BOT Build-Operate-Transfer 建设-经营-转让Box Spread 合式差价Break-even point 盈亏平衡点Break Forward 断点远期Brownian Motion 布朗运动Bull Spread 牛市差价Butterfly Spread 蝶式差价CCalendar Spread 日历差价Calibration 校正Callable Bond 可赎回债券Call Option 看涨期权Cancelable Swap 可取消互换Cap 上限Cap Rate 上限利率CAPM Capital Asset Pricing Model 资本资产定价模型Caplet 上限单元Capital gain 资本收藏Capital less 资本损失Capital Market 资本市场Capital Market Line 资本市场线Caps 赔付限额Case-Shiller Index 凯斯-席勒指数Cash budget 现金预算Cash cycle time 现金周转时间Cash Dividend 现金股利Cash Flow Mapping 现金流映射Cash-or-Nothing Call Option 现金或空手看涨期权Cash-or-Nothing Put Option 现金或空手看跌期权Cash Settlement 现金交割或现金清算CCP Central Clearing Party 中央结算对手CDD Cooling Degree Days 降温天数CDO Collateralized Debt Obligation 债务抵押债券CDS Credit Default Swap 信用违约互换CEBO Credit Event Binary Option 信用事件两点式期权Central Clearing 中心结算Central Clearing Party 中央结算对手Central Counterparty 中央交易对手CEV Model Constant Elasticity of Variance Model 常方差弹性模型Cheapest-to-Deliver Bond 最便宜可交割债券Cholesky Decomposition 乔里斯基分解Chooser Option 选择人期权Class of Options 期权分类Clean Price of Bond 债券除息价格Clearing House 结算中心Clearing Margin 结算保证金Cliquet Option 棘轮期权CMO Collateralized Mortgage Obligation 见房产抵押债券CMS Constant Maturity Swap 固定期限国债互换Collar 双限Collateral 抵押品Collateralization 抵押品策略Collateralized Debt Obligation 债务抵押债券Collateralized Mortgage Obligation 房产抵押债券Combination 组合Commercial Banks 商业银行Commercial Loan Rate 商业贷款利率Commodity Futures Trading Commission 商品期货交易管理委员会Commodity Swap 商品互换Compound Interest 复利Compounding 复利计息Compounding Frequency 复利利率Compound Correlation 复合相关系数Compound Option 复合期权Confidence interval 置信区间Continuous Probability Distribution 连续概率分布Confirmation 交易确认书Consumption Asset 消费资产Contango 期货溢价Continuous Compounding 连续复利Control Variate Technique 控制变量技术Convenience Yield 便利收益率Conversion Factor 转换因子Convertible Bond 可转换债券Convexity 曲率Convexity Adjustment 曲率调整Cornish-Fisher Expansion 科尼什-费雪展开Copayments 赔付比例Corporation 公司Correlation 相关性Cost of Capital 资本成本Cost of Carry 持有成本Controller 审计官Counterparty 交易对手Coupon 券息Coupon bond 付息债券Covariance 协方差Covarance Matrix 协方差矩阵Covered Call 备保看涨期权Crash phobia 暴跌恐惧症Credit Contagion 信用蔓延Credit Default Swap 信用违约互换Credit Derivative 信用衍生产品Credit Event 信用事件Credit Event Binary Option 信用事件两点式期权Credit Index 信用指数Credit Rating 信用等级Credit Ratings Transition Matrix 信用评级转移矩阵Credit Risk 信用风险Credit Spread Option 信用差价期权CSA Credit Support Annex 信用支持附约CVA Credit Value Adjustment 信用价值调节量Credit Value at Risk 信用风险价值度Cross Hedging 交叉对冲Currency Swap 货币互换Current yield 本期收益率DDay Count 计天方式Day Trade 即日交易DCF Discounted Cash flow Model 现金流折现模型DDM Dividend Discount Model 股利贴现模型DVA Debt Value Adjustment 债务价值调节量Decision Tree 决策树Deductible 免赔额Default Risk 违约风险Defined-benefit Pension Plan 规定受益型养老金计划Defined-contribution Pension Plan 规定缴费型养老金计划Delivery Price 交割价格Delta Hedging Delta对冲Delta-Neutral Portfolio Delta 中性交易组合Derivative 衍生产品Deterministic Variable 确定性变量Diagonal Spread 对角差价Differential Swap 交叉货币度量互换Diffusion Process 扩散过程Dirty Price of Bond 带息价格Discount Bond 折扣债券Discount Instrument 折扣产品Discounted Cash Flow Analysis 贴现现金流分析Discounted Dividend Model 股利贴现模型Diversifiable Risk 可分散风险Diversification 分散化Diversification Principle 分散化原则Diversifying 分散投资Discount Rate 贴现率Dividend 股息Dividend Yield 股息收益率Dodd-Frank Act 多德-弗兰克法案Dollar Duration 绝对额久期DOOM Option DOOM期权Down-and-In Option 下降-敲入期权Down-and-Out Option 下降-敲出期权Downgrade Trigger 降级触发Drift Rate 漂移变化率Duration 久期Duration Matching 久期匹配Dynamic Hedging 动态对冲EEAR/ EFF Effective Annual Rate 实际年利率Early Exercise 提前行使EBIT Earnings Before Interest and Tax 息税前利润Effective Federal Funds Rate 有效联邦基金利率Efficient Portfolio 有效投资组合Efficient Portfolio Frontier 有效投资组合边界Electronic Trading 电子交易Embedded Option 内含期权EMH Efficient Markets Hypothesis 有效市场假说Empirical Research 实证研究Employee Stock Option 雇员股票期权Equilibrium Model 均衡模型Equity Swap 股权互换Equity Tranche 股权份额Equivalent Annual Interest Rate 等价年利率Eurocurrency 欧洲货币Eurodollar 欧洲美元Eurodollar Futures Contract 欧洲美元期货合约Eurodollar Interest Rate 欧洲美元利率Euro LIBOR 欧元同业拆借利率European Option 欧式期权Exchange Option 互换期权Exchange Rate 汇率Exclusions 免赔条款Ex-dividend Date 除息日Exercise Limit 行使限额Exercise Multiple 行使倍数Exercise Price 执行价格Exotic Option 特种期权Expectations Theory 预期理论Expected Shortfall 预期亏损Expected Rate of Return 预期回报率Expected Value of a Variable 变量的期望值Expiration Date 到期日Explicit Finite Difference Method 显式有限差分方法Exponentially Weighted Moving Average Model 指数加权移动平均模型Exponential Weighting 指数加权Exposure 风险敞口Extendable Bond 可展期债券Extendable Swap 可延期互换External Financing 外部投资FFace Value 面值Factor 因子Factor Analysis 因子分析Federal Funds Rate 联邦基金利率FEI Financial Executives Institute 财务执行官组织Finance 金融学Financial Futures 金融期货Financial Guarantees 财务担保Financial Intermediary 金融媒介Financial System 金融系统Finite Difference Method 有限差分法Fixed-Income Instrument 固定收益证券Flat Volatility 单一波动率Flex Option 灵活期权Flexi Cap Flexi上限Floor 下限Floor-Ceiling Agreement 下限上限协议Floor let 下限单元Floor Rate 下限利率Flow of funds 资金流Foreign Currency Option 外汇期权Forward Contract 远期合约Forward Exchange Rate 远期汇率Forward Interest Rate 远期利率Forward Price 远期价格Forward Rate 远期率FRA Forward Rate Agreement 远期利率合约Forward Risk-Neutral World 远期风险中性世界Forward Start Option 远期开始期权Forward Swap 远期互换Fundamental Value 基本价值Futures Commission Merchants 期货佣金经纪人Futures Contract 期货合约Futures Option 期货期权Futures-Style Option 期货式期权FV Final Value 终值GGrowth annuity 增长年金GAP Management 制品管理Gap Option 缺口期权Gaussian Copula Model 高斯Copula 模型Gaussian Quadrature 高斯求积公式Generalize Wiener Process 广义维纳过程Geometric Average 几何平均Geometric Brownian Motion 几何布朗运动Girsanov’s Theorem 哥萨诺夫定理Guaranty Fund 担保基金HHaircut 折扣Hazard Rate 风险率Hedge 对冲Hedge Funds 对冲基金Hedger 对冲者Hedge Ratio 对冲比率Hedgers 套期保值者Historical Simulation 历史模拟Historical Volatility 历史波动率Holiday Calendar 假期日历Human Capital 人力资本IImmediate Annuity 即时年金Implicit Finite Difference Method 隐式有限差分Implied Correlation 隐含相关系数Implied Distribution 隐含分布Implied Dividend 隐含股利Implied Tree 隐含树形Implied Volatility 隐含波动率Inception Profit 起始盈利Index Amortizing Swap 指数递减互换Index Arbitrage 指数套利Index Futures 指数期货Index-linked Bonds 指数化债券Index Option 指数期权Index Principal Swap 指数本金互换Initial Margin 初始保证金Instantaneous Forward Rate 瞬时远期利率Insuring 保险Intangible Assets 无形资产Interest-rate Arbitrage 利率套利Interest Rate Cap 利率上限Interest Rate Collar 利率双限Interest Rate Derivative 利率衍生产品Interest Rate Floor 利率下限Interest Rate Swap 利率互换Internal Financing 内部融资International Swap and Derivatives Association 国际互换和衍生产品协会In-the-Money Option 实值期权Intrinsic Value 内涵价值Inverted Market 反向市场Investment Asset 投资资产Investment Banks 投资银行ISDA International Swap and Derivatives Association 国际互换和衍生产品协会IRR Internal Rate of Return 内部收益率JJump-Diffusion Model 跳跃扩散模型Jump Process 跳跃过程LLaw of One Price 一价原则Liability 负债LIBID London Inter Bank Bid Rate 伦敦同业借款利率LIBOR London Inter Bank Offered Rate 伦敦同业拆出利率LIBOR Curve LIBOR曲线LIBOR-in-Arrears Swap LIBOR后置互换Life Annuity 人寿年金Limited Liability 有限责任Limit Move 涨跌停版变动Limit Order 限价指令Liquidity 流动性Liquidity Preference Theory 流动性偏好理论Liquidity Premium 流动性溢价Liquidity Risk 流动性风险Locals 自营经纪人Lognormal Distribution 对数正态分布Long Hedge 多头对冲Long Position 多头Look back option 回望期权Low Discrepancy Sequence 低偏差序列MMaintenance Margin 维持保证金Margin 保证金Margin Call 保证金催付Market Capitalization Rate 市场资本化利率MSU Market-Leveraged Stock Unit 市场股票凭据Market Maker 做市商Market Model 市场模型Market Portfolio 市场投资组合Market Price of Risk 风险市场价格Market Segmentation Theory 市场分隔理论Market-weighted Stock Indexes 市场加权股票指数Marking to Market 按市场定价Markov Process 马尔科夫过程Martingale 鞅Maturity 期限Maturity Date 到期日Maximum Likelihood Method 极大似然方法Mean Reversion 均值回归Measure 测度Merger 合并Mezzanine Tranche 中层份额Minimum Variance 最小方差组合Modified Duration 修正久期Money Market 货币市场Money Market Account 货币市场帐户Monte Carlo Simulation 蒙特卡罗模拟Moral Hazard 道德风险Mortgage-Backed Security 房产抵押贷款证券Mutual Fund 共同基金NNaked Position 裸露期权Netting 净额结算Net Present Value 净现值Net Worth 净资产No-Arbitrage Assumption 无套利假设No-Arbitrage Interest Rate Model 无套利假设Nominal Future Value 名义终值Nominal Interest Rate 名义利率Nominal Prices 名义价格Nondiversifiable Risk 不可分割风险Nonstationary Model 非平稳模型Non Systemic Risk 非系统风险Normal Backwardation 正常现货溢价NPV Net Present Value 净现值Normal Distribution 正态分布Normal Market 正常市场Notional Principal 面值（本金）Numeraire 计价单位Numerical Procedure 数值方法OOCC Option Clearing Corporation 期权结算中心Offer Price 卖出价格Open Interest 未平仓合约Open Outcry 公开喊价Opportunity Cost of Capital 资金的机会成本Optimal Combination of risky assets 风险资产的最优组合Option 期权Option-Adjusted Spread 期权调整差价Option Class 期权种类Ordinary Annuity 普通年金Out-of-the-Money Option 虚值期权Overnight Indexed Swap 隔夜指数互换Over-the-Counter Market 场外交易市场PPackage 组合期权Par bonds 等价债券Par Value 面值Par Yield 面值收益Parallel Shift 平行移动Parisian Option 巴黎期权Partnership 合伙制Path-Dependent Option 路径依赖型期权Payoff 收益Pay off Diagram 收益图Percent-of-sales method 销售收入百分比法Permanent Income 持久收入Perpetuity 永续年金Perpetual Derivatives 永续衍生品Portfolio Immunization 组合免疫Portfolio Insurance 证券组合保险Portfolio selection 投资组合选择Portfolio theory 投资组合理论Position Limit 头寸限额Premium 期权付费Premium Bond 溢价债券Present Value 现值Principal-agent Problem 委托人-代理人问题Prepayment Function 提前偿付函数Principal 本金Principal Components Analysis 主因子分析Principal Protected Notes 保本型证券Probability Distributions 概念分布Program Trading 程序交易Protective Put 保护看跌期权Pull-to-Par 收敛于面值现象Purchasing-power Parity 购买力评价Pure Discount Bonds 纯贴现债券Put-Call Parity 看跌-看涨期权平价关系式Put Option 看跌期权Puttable Bond 可提前退还债券Puttable Swap 可赎回互换President 总裁PMT Payment（Returns the periodic payment for an annuity）年金PPP Public-Private Partnership 政府和社会资本合作PV Present Value 现值QQuansi-Random Sequences 伪随机序列RRate of Return on capital 资本收益率Rainbow Option 彩虹期权Range-Forward Contract 远期范围合约Ratchet Cap 执行价格调整上限Real Future Value 实际终值Real Interest Rate 实际利率Real Option 实物期权Real Prices 实际价格Rebalancing 再平衡Recovery Rate 回收率Reference Entity 参考实体Reinvestment Rate 再投资利率Residual Claim 剩余索取权Repo 再回购Repo Rate 再回购利率Reset Date 重置日（定息日）RSU Restricted Stock Unit 受限股票单位Reversion Level 回归水平Risk Aversion 风险厌恶Risk-adjusted discount rate 风险调整贴现率Risk Exposure 风险暴露Rights Issue 优先权证Risk-Free Rate 无风险利率Risk Management 风险管理Risk Management Process 风险管理过程Risk-Neutral Valuation 风险中性定价Risk-Neutral World 风险中性世界Roll Back 倒推ROS Ratio of income as percentage of sales 销售利润率ROA Return On Assets 资产收益率ROE Rate of Return on Common Stockholders’ Equity 净资产收益率SScalper 投机者Scenario Analysis 情形分析Securitization 证券化Security Market Line 证券市场线Sensitivity Analysis 敏感性分析Self-financing Investment Strategy 自筹资金投资策略Settlement Price 结算价格Share Repurchase 股票回购Short Hedge 空头头寸对冲Short Position 空头头寸Short Rate 短期利率Short Selling 卖空交易Short-Term Risk-Free Rate 短期无风险利率Shout Option 喊价期权Simple Interest 单利Sole Proprietorship 独资企业Specialist 专家Speculator 投机者Spot futures price parity relation 现货期货价格平价关系。
浅谈金融工程范文.doc
浅谈金融工程范文金融工程（FinancialEngineering）是指创造性地运用各种金融工具和策略来解决金融财务问题，其核心是设计开发出新的金融产品以满足特定的要求，并在新的金融产品开发过程中有效地实现金融风险控制与管理。
从这种意义上看，金融工程也可以叫做“风险管理工程”。
金融工程在控制金融风险方面，主要是运用现货工具和衍生工具并对它们进行一定的组合。
所谓金融衍生工具（FinancialDerivativeInstruments）是指某种金融产品，其自身的价值（OwnValue）是由其所关联的其他产品（UnderlyingAssets）的价值所确定的，这正是“衍生”两字的。
目前国际上流行的金融衍生工具主要包括远期工具（Forwards）、期货工具（Futures）、期权工具（Options）和互换工具（Swaps）等，同时，还可以将几种衍生工具予以组合，创造出更新颖的金融工具。
而这些工具之下的相关产品可以是某种商品，比方石油，也可以是股指、利率、汇率和债券等。
期权亦称选择权，其持有人有权利在未来一段时间内（或未来某一特定日期），以一定的执行价格向对方购置（或出售给对方）一定数量的特定标的物，但没有义务。
期权的买方为了取得这种权利，必须向期权的卖方支付一定的费用，所支付的费用成为期权费，亦即为期权的价格，称为权利金。
按照交易的性质期权一般可分为看涨期权和看跌期权。
看涨期权是指立权人授予买方在规定的时期内（或规定的日期）以约定的价格从卖方处购置一定数量的某种商品或期货合约的权力。
看跌期权是指立权人授予买方在规定的时期内（或规定的日期）以约定的价格卖给卖方一定数量的某种商品或期货合约的权力。
金融工程由于使用了多门学科的技术，通过运用各种先进的理论知识与技术手段，从而能够有效地对金融风险管理中所面临的利益与风险进行诊断、分析、开发、定价和定制，创造出新的金融产品，这样不仅可以把金融风险控制在一定范围内，到达躲避风险的目的，还可以促进金融创新的形成。
金融工程(上海交大 吴文锋)
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案例1.2：国有股权的退出
法国政府对一个化工公司实施国有股权退出改革 时遇到困难。为保持公司员工工作的积极性，决定出 售一部分股权给员工。 但员工对这一持股计划非常冷淡，在政府决定对员 工提供10%的折扣后，仍仅有20% 的员工愿意购买公 司的股票。 这无疑使该化工公司的管理层对员工未来的努力 程度和人力资源状况深表忧虑，而政府又不愿提供更 多的折扣来吸引员工购股。
亚式期权
(5) 假 设 股 票 价 格为对数正态分 布
股票价格为对数泊松分布时纯 跳空期权定价模型(Pure Jump Model) 扩 散 — 跳 空 方 程 (DiffusionJump Model)
Merton（1976）
根本证券价格动力学满足双变 量 和 多 变 量 OrnsteinUhlenbeck基础上
6
为什么要学习《金融工程》
尽量少输钱，或不输钱
两个目标
寻求市场或对手漏洞而赢钱
《金融工程》讲义，Copyrights © 2003，吴文锋、吴冲锋
7
金融工程的两个基本功能
风险规避和管理
尽量少输钱，或不输钱
两个功能
寻求套利机会
寻求市场或对手漏洞而赢钱
《金融工程》讲义，Copyrights © 2003，吴文锋、吴冲锋
供 需 均 衡
收益/风险的均衡
无套利定价原则
定价难易
较简单
风险难以准确度量
受根本资产价格 的影响 大
价格波动性
较小
大
困难
获得稳定收益
相 对 容 易
困难
《金融工程》讲义，Copyrights © 2003，吴文锋、吴冲锋
14
（4）获得长期收益的困难性
金融工程简介
资料范本本资料为word版本，可以直接编辑和打印，感谢您的下载金融工程简介地点：__________________时间：__________________说明：本资料适用于约定双方经过谈判，协商而共同承认，共同遵守的责任与义务，仅供参考，文档可直接下载或修改，不需要的部分可直接删除，使用时请详细阅读内容金融工程概述金融工程的基本概念金融工程（Financial Engineering）是20世纪80年代中后期在西方发达国家兴起的一门新兴学科。
1998年，美国金融学家费纳蒂（Finnerty）首次给出了金融工程的正式定义：金融工程包括新型金融工具与金融工序、开发与实施，并为金融问题提供创造性的解决办法。
该定义不仅强调了对金融工具的运用，而且还强调了金融工具的重要性。
金融工具重要包括各种原生金融工具和各种衍生金融工具。
原生金融工具有外汇、货币、债券和股票交易，而衍生工具有远期、期货、期权和互换交易等。
金融工序主要指运用金融工具和其他手段实现既定目标的程序和策略，不仅包括金融工具的创新，而且还包括金融工具运用的创新。
一般来说，金融工程的概念有狭义和广义之分。
狭义的金融工程主要指利用先进的数学及通讯工具，在各种现有基本金融产品的基础上，进行不同形式的组合分解，以设计出符合客户需要并具有特定风险和收益的新的金融产品。
而广义的工程手段则是指一切利用工程化手段来解决金融问题的技术开发。
他不仅包括金融产品设计，还包括金融产品定价、交易策略世界、金融风险管理等各个方面。
无论是广义还是狭义的概念，作为一门新兴的学科，金融工程可以被认为是将工程思维引入金融领域，综合的使用各种工程技术（主要有数学建模、数值计算、网络图解和仿真技术等）设计、开发和实施新型的金融工具盒金融工序，创造性的解决各种金融问题。
它是一门将金融学、统计学、计算机技术相结合的交叉学科。
【例1】1993年，法国政府在对R-P化工公司实施私有化（Privatization）时遇到了困难。
Chap014Bond Prices and Yields金融工程英文(王小麓)
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
14-14
Holding-Period Example
CR = 8%
YTM = 8%
N=10 years
Semiannual Compounding P0 = $1000
14-1
Chapter 14
Bond Prices and Yields
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
14-2
Bond Characteristics
14-3
Different Issuers of Bonds
U.S. Treasury - Notes and Bonds Corporations Municipalities International Governments and Corporations Innovative Bonds - Indexed Bonds - Floaters and Reverse Floaters
- Future Value: sales price + future value of coupons - Investment: purchase price
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
金融学毕业外文翻译
Using instant messenger in the finance course 131Managerial Finance Vol.34No.2,2008pp.131-138#Emerald Group Publishing Limited0307-4358DOI 10.1108/03074350810841312Using instant messenger in the finance courseStuart MichelsonDepartment of Finance,School of Business Administration,Stetson University,DeLand,Florida,USA,and Stanley D.SmithDepartment of Finance,University of Central Florida,Orlando,Florida,USA AbstractPurpose –New technologies have provided new tools we may use as finance professors to communicate with our students.Instant messaging (IM)has become a common communication tool in industry and among students.The purpose of this paper is to investigate the use of IM as a communication tool in finance courses.Design/methodology/approach –After reviewing the advantages and disadvantages of IM,the students were surveyed to determine how they viewed IM in comparison to other communication techniques.Findings –The paper finds that 50per cent or students use IM at any time (not just for class).The majority of the IM users,use it several times a day and have used it for two to three years.Only about 15.7per cent of our students have used IM for our classes.The range of IM usage in the classes is 7-25per cent.Of those students who have used IM for our courses,they have used it 2-5times during the semester and almost all students found it useful.Students were asked to rate various methods of professor/student communication.The students strongly like face-to-face communication,followed by (in order of preference)email,IM,and telephone.Students disagree with the statement that IM is a substitute for face-to-face interaction and agree that IM is a supplement to face-to-face interaction.Originality/value –The findings suggest ways to improve communications with students and other persons.Keywords Teaching,Communication,Communication technologies,FinancePaper type Research paperIntroductionThe internet has changed the way we,as finance instructors,conduct and teach our courses.Several examples have been published recently in the business education journals.In this paper,we investigate the benefits of using instant messaging (IM)in finance courses.We discuss the advantages and disadvantages of using IM,how to implement IM,and provide personal examples of using IM in our classes.LiteratureThe literature on using the Internet in financial education is fairly recent,but rapidly expanding.Most of this literature has focused on what data sources and financial resources are available on the Internet and may be used in education.Herbst (1996)presents an interesting discussion on the fundamentals of the Internet and describes the opportunities and challenges for financial engineers on the Internet.Ray (1996),in ‘‘An introduction to finance on the internet’’,presents a background on the history and evolution of the Internet,as well as providing a description of financial resources available.In ‘‘A guide to locating financial information on the Internet’’,Pettijohn (1996)provides a guide and extensive list of financial resources available on the Internet.Grinder (1997)discusses recent developments on the Internet and provides an extensive list of financial service Internet sites.Stanley (1996)reviews the useof The current issue and full text archive of this journal is available at/0307-4358.htmMF 34,2 132EDGAR as a resource for SEC documents and applications for classroom use.Michelson and Stanley(1999)review applications of web page usage in the finance area.Recent articles have discussed the benefits of utilizing the web to provide academic content for students.The literature has also discussed several disadvantages or costs to using the web.Benbunan-Fich et al.(2001)indicate they integrate technology in business courses in two ways:to transmit content or deliver instruction and to support communication between professors and students.Lincoln(2001)finds that most faculty that developed web pages did so out of personal motivation,very few had direct institutional support.He asserts that faculty had several obstacles to adoption; time to learn,execute,and maintain faculty web sites.Young(2002)finds that student course evaluations of faculty effectiveness increased significantly over the period that technology was implemented in their program.Several authors(Kaynama and Keesling,2000;Atwong and Hugstad,1997;McBane,1997)illustrate that internet activities can enhance the educator’s role in a number of areas,including:lecturing, providing instructional materials,facilitating student collaboration,evaluating student performance,and recruiting majors.Further,they state that web sites are growing in popularity for posting of professional and classroom information,such as course syllabi,sample tests,and other course materials.In statistics,Leon and Parr(2000) provide information on areas in which their course home pages were not successful. These areas include:mailing lists,providing detailed outlines or summaries of lectures, providing material keyed to a particular date,preparing summaries for every class right after class,and maintaining complicated web page structures.They find that there are beneficial applications for web pages(WP),including:providing materials for large courses,WP are an efficient way to solicit feedback,WP provide links and resources,and WP can be a permanent record of what happened in class(calendar, homework log,class summaries,and study questions).Web pages can also allow the instructor a means to post copies of‘‘handouts’’(pull,not push basis),old exams,and data files(such as Excel files).There are also articles that provide information about the use of the Internet in teaching and education in the accounting and economics areas (for example see:Agarwal and Day,1998;Debreceny et al.,1996;Manning,1996).Instant Messaging is becoming much more prevalent in the corporate world(Smith, 2003;Wessel,2003).Smith reports that federal investigators are now requiring that firms archive the IM’s exchanged between NYSE and NASD member firms and their customers,similar to the requirement for emails.He indicates that more than400 million IM accounts will be created by2004and almost one-half of them will be used to connect businesses and customers.Mike Osterman,a consultant in IM,states there are currently about60million IM users in the US workplace.He says that about20percent of those that now use email also use IM.He predicts that within four years,virtually all email users will also use IM.Wessel says that there are benefits to using IM,including: convenience,speed of response,lack of spam,capability to quickly respond to customers,and the ability to IM someone’s cell phone.He cites drawbacks such as:not wanting to be constantly interrupted(leave an away message),ability for companies to install secure internal IM system,and it can be awkward to end conversations.Several articles have recently appeared in The Wall Street Journal about IM in the corporate world(Weber,2002,p.B1;Bulkeley,2002,p.B1).Weber indicates that IM is now at the stage where email was in1990.The primary problem is that there is no standard by which IM systems can talk to one another.He indicates that‘‘like email before it,IM technology has the potential to reshape how workers communicate and share knowledge.’’Using instant messenger in the finance course 133Bulkeley explains how IM has solved many communication problems in corporations.Not only does IM allow users to instantly chat with each other,it also tells users which recipients are available to receive messages at that moment.IM creates presence;that the person is working and available for business.The downside is that it makes it harder to maintain privacy and avoid distractions.Also receiving messages every few minutes can be very disruptive as well.On the positive side,‘‘having someone on your contact list deepens your relationship.’’Even though two people may have never met in person,after exchanging IMs over time,they feel as though they know each other well.In the corporate world,this can help business relationships.Instant messagingOne of the latest internet-related tools is IM.Many teens use it to communicate with their friends.Even though there are several IM programs available,most IM programs are ers have a list of other peoples’IM handles (screen names),and they click on the name to initiate a conversation session.Then the two or more people write text messages that are delivered almost instantaneously and reside in a window on one another’s machines.One can chat on a one-to-one basis or invite others to participate in a chat room spontaneously developed for that conversation.One can even have both going on simultaneously.For our purposes,we will assume that we are using AOL Instant Messenger (AIM);however,there are other free IM programs,such as Yahoo Messenger and MSN Messenge r.Corporate (non-free)IM software,such as Lotus Software Group’s Sametime and Presence Platform from Bantu,Inc.,include features and functionality that are missing from the free versions, munications encryption,allowing users to view what is on one another’s PC,and written transcriptsof all communique´s.AdvantagesSome of the advantages of using IM include:.AIM and most IM programs are free and easy to install and use..If the student is using the computer,which is connected to his one phone line,then it is difficult to converse and use the computer at the same time.IM solves this problem..Even if the student has separate computer and phone connections,IM may reduce phone costs for both parties when the parties are in different calling zones,e.g.local tolls or long distance charges..The instructor is able to handle more than one student at a time.One can conduct four or five independent sessions or conversations at one time..The parties can meet at any time that is feasible for them and are not restricted by location related factors..IM can be useful if one person has a hearing impairment or is otherwise handicapped and has difficulty arranging a traditional meeting..One can spontaneously and easily arrange a chat room with numerous people to deal with any topic you wish..Messaging sessions can be saved and utilized later.MF 34,2 134.Computer links can be inserted into conversations so that everyone can follow a progression of web pages..Attachments can be sent through IM conversations so that everyone can review the same document.DisadvantagesSome of the disadvantages of using IM include:.There is a lack of a single IM standard;therefore,all parties must be on the same software,e.g.AIM.However,this disadvantage is reduced if the messaging service is free.The service is free in the same way that some television or web is free;the users may be exposed to advertising that helps pay for the service..Using IM can make it harder to maintain privacy and can be disruptive.The IM beep from someone requesting a chat can be as intrusive and distracting as when the telephone constantly rings at dinner time..AIM is a very rough imitation of the telephone.How good the audio is depends on the equipment on both ends and the way they are connected..AIM cannot offer rich content because AIM is not a web browser and cannot render HTMLPersonal experienceOne of this article’s authors has used IM in his course for about two years.He does not require its use,but rather offers it as another means to contact the professor.He puts his screen name on his syllabus,along with his web site address and email address.He also puts the screen name on his web site with links to the AOL IM registration page and the University of Massachusetts tutorial page(links provided below).He has found that about two-thirds of his students use IM for personal use.It is interesting though, only about10per cent of his students use IM to contact him,whereas over50per cent of his students use email for frequent contact.Most of his students begin to use the professor’s IM for specific course and project related questions.But after a while the contact evolves into other areas,such as:career advice,curriculum advice,and more general‘‘hi how are you doing?’’Of course the professor has to properly manage his time with respect to IM usage because the beeping from the IM window can seem to be incessant.Like email,this professor has found,that properly managed,IM can be another valuable tool in working with students and faculty.As an added benefit,this professor finds that when his daughter sees he is online,she’ll‘‘drop in’’just to say hi and share the day’s events.Important linksFor AOL Instant Messenger Registration–go to /index.adp.You will be asked to choose a screen name,type a password,confirm your password,type your e-mail address and your birth date.You will later be asked to confirm your registration by replying to a message at your e-mail address.For a good tutorial on using IM and AIM chat–see /tew/aimwelcome.htmlSurvey resultsDuring the Fall2002and Spring terms,the authors surveyed their classes about the students IM usage.Three classes were surveyed,totaling129students.Sixty-one ofUsing instant messenger in the finance course 135the students were graduate students (MBA).The survey instrument is provided in the Appendix at the end of this paper.Table I provides the most relevant results of the survey.We found that 50per cent or our students use IM at any time (not just for class).The majority of the IM users,use it several times a day and have used it for two to three years.Only about 15.7per cent of our students have used IM for our classes.The range of IM usage in our classes is 7-25per cent.Of those students who have used IM for our courses,they have used it 2-5times during the semester and almost all students found it useful.We asked our students to rate various methods of professor/student communication.Our students strongly like face-to-face communication,followed by (in order of preference)email,IM,and telephone.Even though telephone was rated lowest,it was rated slightly below average (2.8on a 1-5scale).We also asked if our students feel IM is a substitute or a supplement to face-to-face interaction.Students disagree with the statement that IM is a substitute (2.22on a 1-5scale)and agree that IM is a supplement (3.47)to face-to-face interaction.We received a variety of student comments in response to our questions about their like/dislikes for the various forms of communication,as well as why they have or have not used IM.In general our students prefer the immediate response and interaction available with face-to-face communication.In general,they did not like telephone ments suggested that they did not like playing phone tag on the office phone’s voice mail or felt they would be rude to call the professor at home.The students that use IM also like the immediacy and interaction that IM provides.The major drawback to IM is that many students are not at the computer throughout the day,so IM is not available for their use.Many of the MBA students also indicated that IM was not available at their workplace.As you would expect,many students frequently use email because they find it convenient and easy to use.Students remarked that they like the convenience of email,but the primary drawback to email is that the students do not get an immediate response to their emails.Of course,the responsiveness of the professor will affect the usefulness of email from the student’s perspective.One conclusion that can be inferred from the student comments is that even though many of them use IM for personal use,they still are not comfortable using it with their professors.This is partially due to IM not being encouraged or available in their other classes.Table I.IM survey resultsAbbreviated questions QuestionnumberTotal surveys (129)Do you use IM (at any time,not just for class)?(1¼yes)150.0%If you use IM,how often do you use it?(1-5)1A3.573If you use IM,how long have you used it?(1-3)1B2.324Have you ever used IM for this class?(1¼yes)215.7%How often have you used it for this class?(1-6)2A2.793If you have used IM for this class,have you found it useful?(2¼yes)2B1.940Rate method of communication with instructor (face-to-face)(1-5)3a4.239Rate method of communication with instructor (telephone)(1-5)3b2.745Rate method of communication with instructor (email)(1-5)3c4.105Rate method of communication with instructor (instant messaging)(1-5)3d2.925IM substitutes for face-to-face interaction (1-5)4a2.218IM is a supplement to face-to-face interaction (1-5)4b3.474MF 34,2 136ConclusionsIn our sample of129students,we find that about one-half of our students use IM at any time,although only about15per cent have used IM for our courses.Since about47per cent of our sample were MBA students,there is probably a bias towards those that do not use IM.Almost100per cent of the students that use IM for class feel it is useful.For IM usage to increase in academics,both students and professors must become more comfortable with its daily use.Writers indicate that IM is now at the stage where email was in1990and that by 2008virtually all email users will also be utilizing IM.Through its increasing usage, IM has solved many communication problems in corporations.‘‘Like email before it,IM technology has the potential to reshape how workers communicate and share knowledge(Bulkeley,2002).’’ReferencesAgarwal,R.and Day,A.E.(1998),‘‘The impact of the Internet on economic education’’,Journal of Economic Education,Vol.29No.2,Spring,pp.99-110.Atwong, C.T.and Hugstad,P.(1997),‘‘Internet technology and the future of marketing education’’,Journal of Marketing Education,Vol.19No.3,pp.44.Benbunan-Fich,R.,Lozada,H.R.,Pirog,S.,Priluck,R.and Wisenblit,J.(2001),‘‘Integrating information technology into the marketing curriculum’’,Journal of Marketing Education, Vol.23No.1,pp.5-15.Bulkeley,W.M.(2002),‘‘Instant message goes corporate;you can’t hide’’,Wall Street Journal, 4September,p.B1.Debreceny,R.,Smith,G.S.and White,C.E.(1996),‘‘Internet methodologies and the accounting curriculum:a first look’’,Accounting Perspectives,Vol.2No.1,Spring,pp.107-24. Grinder,B.(1997),‘‘An overview of financial services resources on the Internet’’,Financial Services Review,Vol.6No.2,pp.125-40.Herbst,A.F.(1996),‘‘The ways in which the financial engineer can use the Internet’’,Financial Practice and Education,Vol.6No.2,Fall/Winter,pp.111-21.Kaynama,S.A.and Keesling,G.(2000),‘‘Development of a web-based Internet marketing course’’, Journal of Marketing Education,Vol.22No.2,pp.84-9.Leon,R.V.and Parr,W.(2000),Use of course home pages in teaching statistics,The American Statistician,Vol.54No.1,pp.44-8.Lincoln,D.J.(2001),‘‘Marketing educator internet adoption in1998versus2000’’,Journal of Marketing Education,Vol.23No.2,pp.103-16.Manning,L.M.(1996),‘‘Economics on the internet:electronic mail in the classroom’’,Journal of Economic Education,Vol.27No.3,Summer,pp.201-4.McBane,D.A.(1997),‘‘Marketing departments on the World Wide Web:state of the art and recommendations’’,Journal of Marketing Education,Vol.19,Spring,pp.14-25. Michelson,S.and Stanley,D.S.(1999),‘‘Applications of WWW technology in teaching finance’’, Financial Services Review,Vol.8No.4,pp.319-28.Pettijohn,J.(1996),‘‘A guide to locating financial information on the Internet’’,Financial Practice and Education,Vol.6No.2,Fall/Winter,pp.102-10.Ray,R.(1996),‘‘An introduction to finance on the Internet’’,Financial Practice and Education, Vol.6No.2,Fall/Winter,pp.95-101.Smith,E.B.(2003),‘‘Wall St.bloodhounds track instant messages for clues’’,USA Today, 18September,p.2B.Using instant messenger in the finance course 137Smith,S.D.(1996),‘‘Using EDGAR on the internet to teach finance and business courses’’,Journalof Financial Education ,Vol.22No.2,Fall,pp.76-8.Young,J.R.(2002),‘‘Ever so slowly,colleges start to count work with technology in tenuredecisions’’,The Chronicle of Higher Education ,22February,p.A25.Weber,T.E.(2002),‘‘Here’s instant message for chat technology:time 4u to grow up’’,Wall StreetJournal ,25February,p.B1.Wessel,H.(2003),‘‘IM’’,Orlando Sentinel ,25June,p.G1.Further readingEnbysk,M.(2003),‘‘Blame it on instant messaging’’,MSN web page,SmallTech,7February.Komando,K.(2003),‘‘Using IM:know the lingo’’,MSN web page,Tech Commands,7February.Skinner, D.and Kim,M.K.(2001),‘‘Student email projects:from casual conversation toprofessional communication’’,Journal of the Academy of Business Education ,Fall,pp.87-98.Appendix.Instant messaging survey1.Do you use instant messaging (at any time,not just for class)?————Yes (go to 1A)————No (go to 2)1A.If you use IM,how often do you use it?—None —several times a month —several times a week—several times a day —all the time1B.If you use IM,how long have you used it?—1year or less —1-3years —greater than 3years2.Have you ever used IM for this class?————Yes (go to 2A)————No (go to 3)2A.How often have you used it for this class during the semester?—None —once —2-5—6-10—10-20—more than 202B.If you have used IM for this class,have you found it useful?————Yes ————No ————Indifferent3.Rate the following methods of communication with your college instructors in general using a scale of 1=definitely do NOT like to 5=definitely do like.Face-to-face—Telephone—E-mail —Instant messaging —Please provide comments,for example,likes and dislikes,to explain your ratings above.Face-to-face——————————————————————————————————————————————————————————————————————————Telephone——————————————————————————————————————————————————————————————————————————E-mail——————————————————————————————————————————————————————————————————————————Instant messaging——————————————————————————————————————————————————————————————————————————MF 34,2 1384.How do you view instant messaging in comparison to face-to-face conversation,using a scale of1=strongly disagree to5=strongly agree?—IM substitutes for face-to-face interaction.—IM is a supplement to face-to-face interaction.Please provide comments on any of the following:1.If you have used IM,why do you like it or not like it?——————————————————————————————————————————————————————————————————————————2.If you haven’t used IM,why not?——————————————————————————————————————————————————————————————————————————3.How can the use of IM for class be improved?——————————————————————————————————————————————————————————————————————————Corresponding authorStanley D.Smith can be contacted at:ssmith@To purchase reprints of this article please e-mail:reprints@Or visit our web site for further details:/reprints。
外文文献翻译
外文资料翻译ＦOREIGN LＩTＥRATUＲE TRＡNSLATION专业:金融工程姓名:黄亚刚指导教师:基于组合VａＲ的未来现金套利风险实证分析陈荣达a,ｂ,c,*,李聪ａ，王维金a,王泽aa浙江财经大学金融学院,中国杭州,３10０18b浙江财经大学财富管理和定量投资协同创新中心,中国杭州,3１0018ｃ浙江监管和政策研究中心，中国摘要本文通过用EＴF组合替换现货指数来构建正向套利头寸,并且最新的数据估计期货无风险套利区间.使用改进的Ｄｅlｔa-nｏrmal方法并用尾部相关性系数代替简单的线性相关系数来测量组合的ＶaR。
ＶaR的分析结果表明：未来现金套利的风险低于纯粹的期货市场或者现货市场投资。
根据成分VａR和边缘ＶaR的分析,我们应当通过增加期货资产头寸和减少现货头寸来最小化组合ＶaR,这可以最小化一定收益的风险。
1、简介股票指数期货合约在中国期货市场产生之初，由于不完善的交易系统，期货市场和现货市场存在巨大的价格波动，这将产生许多套利机会。
然而,在这种情况下,大量投资者盲目的跟踪趋势必然导致巨大的潜在风险。
这些行为将严重的削弱资本市场的稳定性、滋生泡沫以及扼杀股票指数期货的积极意义.因此,关注未来现金套利的风险是非常重要的，因为它可以帮助投资者进行理性投资、规避风险以及获得稳定收益.未来现金套利的特殊风险无论是在国内市场还是国外市场都不能被充分测量。
基于copula技术的在险价值模型是测量其它风险性资产市场风险的基本原理性方法。
在Embrechts 和Stｒａｕmaｎn将Ｃｏｐulａ引入金融风险分析后，许多学者做了大量更加广泛和具体的研究。
Ｓornettｅ在粒子物理学中用ϕq 场理论解决了组合最优值问题。
Soｒneｔtｅ引入了理性泡沫模型的一般化形式，即风险资产的收益分布表现为幂率尾。
Cｌｅmｅｎte 和Roｍａｎｏ运用极值理论和Coｐula研究意大利资本市场并运用模特卡罗模拟方法计算多种资产组合的在险价值。
金融工程毕业外文翻译
本科毕业设计外文翻译1 期限结构和欧拉离散1.1 SV的J-SD期限模型结构为了对AIN利率行为的动态特征能够给出一个全面、准确的描述，本文给出了一种新的模式。
在这个模型里面，有三个因素需要考虑进去的，例如随机均值漂移，随机波动和跳跃。
Duffie和Kan提出的放射模型，对于分析广泛涉及利率衍生产品的定价的偏微分方程是比较容易解决的。
但是，放射模型的线性性质不能处理非线性的问题。
本文所制定的运行模式目的是为了一下两个主要目标：一方面是描述利率行为的直观特点，另一方面是保留模型的可追踪性和保持其直接的经济解释，以促进资产定价。
基于这两个目标的考虑，本文旨在仿射和非仿射操作之间的寻找适当的权衡。
第一步是建立一个包含上述三个因素的非放射模型，其次是将它转变成一个准放射模型，通过添加假设条件。
首先，让我们从描述非仿射模型开始。
dr t=κ1(μt−λr t−1/κ1−r t−1)dt+√V t dW1,t+(e J t−1)r t dQ tdW2,tdlnV t=κ2(α−lnV t−1)dt+η(1)1dμt=κ3(β−μt−1)dt+η2dW3,t在方程式（1）中，W i，i=1,2,3，表示布朗运动，其相关系数的表达式是(dW1，t，dW i，t)=ρ1，t，i=2,3, Q t代表一个不相关的泊松过程，W i，i=1,2,3，同时由跳跃密度参数λ决定，λ服从P的概率分布（dQ t=1）= λdt，当dQ t=1，短期利率将有一个跳跃，同时独立于Q t，范围在(e J t−1)r t，其中J t～N（μJ，σJ），W t,i=1,2,3, 1,κ2,κ3,а,β,η1,η2 都是参数。
1.2 欧拉离散微分方程的主要特征是微分项的内容物，其必须在通过离散过程获得数值解前移除。
基础的离散方法是利用偏差近似代替微分项。
基于这种想法我们可以实现欧拉算法。
欧拉离散可用于在网格离散时间中估算方差过程的路径。
SV的J-SD模型的离散可描述为r t−r t−1=κ1(μt−λr t−1/κ1−r t−1)+√V tε1t+σJ Jq tV t−V t−1=κ2(α−V t)+η1ε2t (2)μt−μt−1=κ3(β−μt)+η2ε3t。
金融工程概论FinancialEngineering
金融工程与金融创新
应用领域简介
学习金融工程学的动力
金融工程学的教学内容 2024/6/1
金融工程概论金融工程概论
10
《金融工程学》教学讲义第一讲
课程说明
本课程为金融学专业的专业必修课，系统地 讲授金融工程的相关概念、工具和原理，以 及应用金融工程技术解决金融问题的方法和 技巧。包括
金融产品的结构 金融产品定价 套期保值技术 风险管理方法
2008-07：危机持续银行二季报惨淡 2008-05：两房危机美政府出手 ，
美国政府将政府支持的抵押贷款巨头房利美(Fannie Mae)和房地美 (Freddie Mac)收归国有。 2008-03：美联储2000亿美元救市 2008-01：全球金融机构相继爆巨亏，
花旗单季巨亏98亿美元震动全球股市
贷款、贷款承诺、银行承兑、商业票据等
股票、公司债券、可转换债券、CDO、认股权 证、FRA、期货、期权、掉期、CDS、主权 CDS、理财产品等
投融资方案、兼并重组、收购、风险投资、资 本运作、股权激励政策等
2024/6/1
金融工程概论金融工程概论
8
《金融工程学》教学讲义第一讲
小结：
我们将金融产品定义为金融机构向顾客所提 供的一切事物；它既包括各种金融工具，也 包括与各种金融工具有直接或间接关系的各 类金融服务。
2024/6/1
金融工程概论金融工程概论
11
《金融工程学》教学讲义第一讲
教学目的
掌握金融工程基本理论和技术，为将来从 事金融工程方面的理论和实务工作如金融 产品开发、定价与应用、风险管理等准备 必要的基础；
掌握金融产品的定价方法
熟悉结构化的金融产品的应用
为进一步学习金融风险管理、金融产品定 价等高级课程提供必要的准备。
金融学专业外文翻译原文
毕业设计/论文外文文献翻译系别专业班级姓名评分指导教师20 年月日金融衍生工具和流通量的上升流通的社会结构性成因激增的短期投机资本,通过这种承受风险的衍生物的流通而变得具体和富有生气,似乎从正在进行的全球经济的基本社会结构的变革中反映，放大和升华(Eatwell and Taylor 2002)。
上述现象更是使重要性日益增强的流动性与金融机构及工具的发展特别是在流动性资本方面的关系得到了不断的发展(Pryke and Allen 2000)。
这似乎是现代资本主义的内在动力强迫他们趋向于追逐更高的，更具全球范围意义的生产标准，那似乎是在产生那样一种能够连接自身成为社会结构价值的，逐渐上升的复杂标准。
虽然在当时并没有发现,从二十世纪七十年代开始欧美工业生产的潜力已经耗尽了(Brenner 1998)，需要一定的空间来补救和修复(Harvey 2000; James 2001)。
许多行业需要探索新的途径来对更边缘的地区进行一体化（特别是南亚地区），以此来支撑受过度的产品生产和过多的资本积累强制驱动的，从而引发的关键性矛盾。
正如斯皮罗所说(1999)，欧美资本主义所产生和吸收的资本量（尤其是欧佩克成员国），在大部分现有的工业部门，已经超过了它能有利润的进行资本再投资的需求量。
因此哈维(1982)所评论说“如果平衡被重新恢复，需要一个过程，即通过运行生产系统消除过剩的资本，那么资本过度积累的趋势将被自动抵消。
”宗主国响应的一个关键性方面是欧美公司全球性的重组，开始把大量工业原材料的生产和原件的制造外包给那些较先进的发展中国家的较发达地区。
通常是南亚，特别是中国是这次重组的主要受惠者(Singh 2002)。
那些先进地区边缘的内陆地区也包括整个国家，比如巴基斯坦，也成为了原材料和手工劳动产品（例如：纺织品）的外包中心。
尽管还有一些国家，特别是虽然不是只在沙哈拉以南的非洲地区，他们参加这个过程仅仅给人以边缘的和偶然的感觉。
论清华大学经管学院的金融工程(英文版)
• Accounting Equality: duel entity system Book value measurement
• Finance Equality: Fund use = Fund source Market value measurement
8
Real Economy
Corporate Finance
Short sell 1% A’s shares at $100 per share +$1,000,000
1% of EBIT
Buy 1% B’s shares at $90 per share
$540,000 1%( EBIT $3,200,000 )
Buy 1% B’s bonds
$400,000 1% $3,200,000
$13.2 million
(1–T)(EBIT–Interests)+Interests = (1-T)EBIT+TInterests
Company A:
Claimant
Creditors Shareholders Government Tax Authority Total Firm Value before Taxation
$ 67
$ 67 ?
If Company A were to announce an issue of $40 million debt to be used to repurchase and retire common stock
Market reaction: price of A’s share would go up to reflect the $13.2 million tax shield: $(67.0 + 13.2) million / 1 million = $80.2 per share.
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本科毕业设计外文翻译
1 期限结构和欧拉离散
1.1 SV的J-SD期限模型结构
为了对AIN利率行为的动态特征能够给出一个全面、准确的描述，本文给出了一种新的模式。
在这个模型里面，有三个因素需要考虑进去的，例如随机均值漂移，随机波动和跳跃。
Duffie和Kan提出的放射模型，对于分析广泛涉及利率衍生产品的定价的偏微分方程是比较容易解决的。
但是，放射模型的线性性质不能处理非线性的问题。
本文所制定的运行模式目的是为了一下两个主要目标：一方面是描述利率行为的直观特点，另一方面是保留模型的可追踪性和保持其直接的经济解释，以促进资产定价。
基于这两个目标的考虑，本文旨在仿射和非仿射操作之间的寻找适当的权衡。
第一步是建立一个包含上述三个因素的非放射模型，其次是将它转变成一个准放射模型，通过添加假设条件。
首先，让我们从描述非仿射模型开始。
dr t=κ1(μt−λr t−1/κ1−r t−1)dt+√V t dW1,t+(e J t−1)r t dQ t
dW2,t
dlnV t=κ2(α−lnV t−1)dt+η
(1)
1
dμt=κ3(β−μt−1)dt+η2dW3,t
在方程式（1）中，W i，i=1,2,3，表示布朗运动，其相关系数的表达式是
(dW1，t，dW i，t)=ρ1，t，i=2,3, Q t代表一个不相关的泊松过程，W i，i=1,2,3，同时由跳跃密度参数λ决定，λ服从P的概率分布（dQ t=1）= λdt，当dQ t=1，短期利率将有一个跳跃，
同时独立于Q t，范围在(e J t−1)r t，其中J t～N（μJ，σJ），W t,i=1,2,3, 1,κ2,κ3,а,β,η1,η2 都是参数。
1.2 欧拉离散
微分方程的主要特征是微分项的内容物，其必须在通过离散过程获得数值解前移除。
基础的离散方法是利用偏差近似代替微分项。
基于这种想法我们可以实现欧拉算法。
欧拉离散可用于在网格离散时间中估算方差过程的路径。
SV的J-SD模型的离散可描述为
r t−r t−1=κ1(μt−λr t−1/κ1−r t−1)+√V tε1t+σJ Jq t
V t−V t−1=κ2(α−V t)+η1ε2t (2)
μt−μt−1=κ3(β−μt)+η2ε3t。