金融数学的发展及其在证券投资组合中的应用

Development of Financial Mathematics andits Application in Security Investment

论述了金融科学中一种新兴的数学工具和数学技术———倒向随机微分方程,通过运用倒向随机微分方程,研究当投资者以将来某一时刻获取一定数额的适应性收益为投资目标时,如何确定当前证券投资组合中各证券的投资比例.

The paper presents the definition、 occurrence、development、research methods and current situation and future research trend of Financial Mathematics. The paper introduces a new mathematical means——Backward Stochastic Differential Equation and a new method about how to decide the investment ratio of security investment when the investors want to gain a certain quantity of adaptive profit at a certain time in the future.