金融工程中资产收益的连续时间模型评述

Abstract

Abstract: Firstly,this paper surveys and assesses the development and main fruits of continuous-time equity return models during the last 30 years.Then it discusses the estimation methods of these models,and mainly studies the McMC method.In the end,we also point out the new areas of future research along these lines.

Key words: continue-time models, jump-diffusion models, markov chain monte carlo method, equity return, volatility

CLC Number:

C934

HU Su-hua, ZHANG Shi-ying, ZHANG Tong. Review on Continuous-Time Equity Return Models in Financial Engineering[J]. Chinese Journal of Management Science, 2006, (2): 24-32.

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Review on Continuous-Time Equity Return Models in Financial Engineering

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