金融衍生品的风险投资

【作者】 喻开志；

【导师】 高世泽；

【作者基本信息】 重庆师范大学 ， 系统理论， 2003， 硕士

【摘要】 20世纪七十年代以来，国际金融市场最显著、最重要的特征之一便是金融衍生品市场的迅速发展。近20多年来，世界金融业经历了布雷顿森林货币体系瓦解、金融自由化和金融创新浪潮的冲击，金融市场风险剧增。于是对金融衍生市场的风险投资理论的研究是目前证券投资理论领域研究的前沿。 鉴于我国目前尚未形成金融衍生交易市场，金融衍生产品的种类繁多、变化莫测，且创新不断，因此，对金融衍生证券风险投资问题的研究是非常困难的。本文仅就金融衍生品风险管理理论、金融衍生品风险计量理论和金融期权的基本性质、价格特征、交易规则、定价方法的套期保值功能等问题进行研究，探讨风险投资的最优化理论。主要研究工作为：第一章，回顾和展望金融衍生市场的发展历史、现状和未来，综述国内外关于风险投资的理论与方法，论述建立和发展我国金融衍生市场的必要性及重要意义；第二章，建立投资者的随机期望效用与投资风险之间的关系——平均随机占优；第三章，均值方差模型协方差矩阵的灵敏度分析与模糊分析；第四章，回顾了期权的概念、期权的价格关系和Black-Scholes期权定价公式，提出了欧式看涨期权价格的折现值所满足的微分方程；第五章，回顾了金融衍生品风险的概念及其分类，总结了金融衍生品的风险管理理论和金融衍生品风险计量和评估方法。更多还原

【Abstract】 Ever since 20 century 70 decade , the one of the most notable and most important feature in international financial market is the financial derivatives market quick development. During the 20 years , world hasalready experiences Bretton Woods currency system disintegrate, thefinancial free and financial impact of innovation tide. Financialmarket risk dramatically increases. So for the Financial venture capital investment theoretical research is the present forward position of bond investment theoretical research field. In view of the fact that our country has not now formed financial trade market, the financial kind of financial derivatives is numerous us, change can’t measure, and innovation is unceasing, therefore the financial research of financial derivatives problem of venture capital investment is difficult. This paper only discusses risk management theory of financial derivatives , risk measure theory of financial derivatives and price method, price feature, trade rule and the basic nature of financial option .At the same time we discuss optimization theory of venture capital investment. Study work mainly is: Part one, Look back and look ahead the financial development history and present situation that derives market and the futuristic tendency , summarize domestic and international theory and method about venture capital investment , discuss establishment and develop the financial necessariness and important meaning of our country that derives market; Part two , establishthe relation between investment risk and the radom expectation effectiveness of investor 梐verage stochastic dominance of asset profit; Part three, covari-ance matrix in mean-variance model is analysed with sensitivity analysis and fuzzy analysis; Part four, Have looked back the concept of option, the price relation of option and Black-Scholes option price formula , have put forward option price formula of the discounted value of option present value; Part five, Have looked back the financial concept and its classfication that financial derivatives risk , have summarized financial risk management theory , measured and assessed methods of financial derivatives risk.更多还原