摘要
金融数学是一门新兴的边缘科学,是数学与金融学的交叉.它是在两次华尔街革命的基础上产生和发展起来的,其核心问题是不确定环境下的最优投资策略的选择理论和资产的定价理论.本文以二次华尔街革命为主线,简述了金融数学的主要内容,并展望了其进一步发展的前沿课题及前景,最后强调了数值方法在金融实践中的重要性.
Mathematical finance is a new frontier science, it is the intersection of mathematics and finance. Mathematical finance is the results of two revolutions that took place on Wall Street. Its central topics are the decisions of optimal investment strategies and the problems of asset pricing under uncertainty. This paper introduces and surveys the main theories and gives a prospect review on the future developments of mathematical finance. Also we emphasize the importance of numerical methods on financial prac tice.
出处
《系统工程》
CSCD
1999年第6期1-6,11,共7页
Systems Engineering
基金
国家教委留学回国人员启动基金赞助.
关键词
金融数学
金融理论
金融工程
金融学
theory of portfolio selection,capital asset pricing model,arbitrage pricing theory,option pricing,financial derivatives
