线性风险容忍度效用下线性跳跃扩散过程的零息债券均衡定价

线性风险容忍度效用下线性跳跃扩散过程的零息债券均衡定价作者：蒋贤锋，齐飞，JIANGXian-feng，QIFei作者单位：蒋贤锋,JIANGXian-feng(东北财经大学应用金融研究中心,大连,116025;人民银行金融研究所博士后流动站,北京,100800)，齐飞,QIFei(中国注册会计师协会标准部,北京,100081)刊名：系统工程理论与实践英文刊名：SYSTEMSENGINEERING—THEORY&PRACTICE年，卷(期)：2009,29(1)被引用次数：1次参考文献(31条)1.LeRoyS.JanWPrinciplesofFinancialEconomics20012.HuangCF.RobertLFoundationsforFinancialEconomics19883.蒋贤锋.史永东线性风险容忍度效用函数及其在证券市场中的应用20064.PyeGPortfolioselectionandsecurityprices1967(01)5.MadrigalV.StephenSOnfullyrevealingpriceswhenmarketsareincomplete1995(05)6.BotchKGeneralequilibriumintheeconomicsofuncertainty19687.RubinsteinMAnaggregationtheoremforsecuritiesmarkets1974(03)8.WilsonRThetheoryofsyndicates1962(01)9.ChambersR.JohnQLinear-risk-tolerent,invariantriskpreferences2005(03)10.BlackF.MyronSThepricingofoptionsandcorporateliabilities1973(07)11.MertonRTheoryofrationaloptionpricing1973(01)12.LiHT.MartinW.CindyYABayesiananalysisofreturndynamicswithstochasticvolatilityandLevyjumps2008(05)13.JorionPOnjumpprocessesintheforeignexchangeandstockmarkets1988(04)14.GemanH.DilipM.MarcYAssetpricesareBrownianMotions:Onlyinbusinesstime200115.φksendalB.AgnesSAppliedStochasticControlofJumpDiffusions200516.BallottaLALévyProcess-asedframeworkforthefairvaluationofparticipatinglifeinsurancecontracts2005(02)17.YangHL.ZhangLHOptimalinvestmentforinsurerwithjumpdiffusionriskprocess2005(03)18.ChanTPricingcontingentclaimsonstocksdrivenbyLevyprocesses199919.DuffleD.PanJ.SingletonKTransformanalysisandassetpricingforaffinejumpdiffusions[外文期刊]200020.KouSAjump-diffusionmodelforoptionpricing[外文期刊]2002(08)21.KlüppelbergC.AndreasK.RossMRuinprobabilitiesandovershootsforgeneralLévyinsuranceriskprocesses2004(04)22.ChiuSN.YinCCPassagetimesforaspectrallynegativeLévyprocesswithapplicationstorisktheory[外文期刊]2005(03)23.Glassermanp.KouSGThetermstructureofsimpleforwardrateswithjumprisk[外文期刊]2003(03)24.AhnCM.ThompsonHEJump-diffusionprocessesandthetermstructureofinterestrates1988(01)25.LucasREAssetpricesinanexchangeeconomy1978(06)26.StockyNL.LucasRERecursiveMethodsinEconomicDynamics198927.BrémandPPointProcessesandQueues:MartingaleDynamics198128.BjOrkT.YuriK.WolfgangRBondmarketstructureinthepresenceofmarkedpointprocesses1997(02)29.SchroderMChangesofnumeraireforpricingfutures,forwards,andoptions1999(05)30.RunggaldierWJump-Diffusionmodels200331.蒋贤锋跳跃扩散过程下的实物期权及在电力投资中的应用2007引证文献(1条)1.蒋贤锋.田亮.陈磊企业年金如何选择基金公司作为投资管理人[期刊论文]-金融研究2010(1)本文链接：