次贷危机与金融衍生产品定价失当

Subprime Loan Crisis and Mispricing of Financial Derivatives

金融衍生产品定价失当是造成本次次贷危机的重要原因之一。论文总结了金融衍生产品在次贷危机中的作用,对金融衍生品定价模型进行了回顾,分析了定价失当的原因,以及如何认识金融数学的发展和应用。

Mispricing financial derivatives is one of major reasons for the subprime loan crisis. This paper gives a brief summary of the roles of financial derivatives playing in the crisis, and presents a review of the pricing models for financial derivatives, and analyzes the reasons which cause the mispricing of the models. It ends with a discussion about how to evaluate the financial mathematics and its applications.