| 次贷危机与金融衍生产品定价失当 |
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| 引用本文： | 杨晓光,唐跃,陈浩.次贷危机与金融衍生产品定价失当[J].长沙理工大学学报(社会科学版),2009,24(2):5-11. |
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| 作者姓名： | 杨晓光 唐跃 陈浩 |
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| 作者单位： | 1. 长沙理工大学,金融工程与金融管理研究中心,湖南,长沙,410076;中国科学院,数学与系统科学研究院,北京,100190
2. 中国科学院,数学与系统科学研究院,北京,100190 |
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| 基金项目： | 国家杰出青年基金“优化理论与技术”(70425004)资助 |
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| 摘 要： | 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。
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| 关 键 词： | 次贷危机 金融衍生产品 定价失当 金融数学 |
Subprime Loan Crisis and Mispricing of Financial Derivatives |
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| YANG Xiao-guang,TANG Yue,CHEN Hao.Subprime Loan Crisis and Mispricing of Financial Derivatives[J].Journal of Changsha University of Science & Technology,2009,24(2):5-11. |
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| Authors: | YANG Xiao-guang TANG Yue CHEN Hao |
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| Institution: | 1.Center of Financial Engineering and Financial Management;Changsha University of Science and Technology;Changsha410076;China;2.Academy of Mathematics and Systems Science;Chinese Academy of Sciences;Beijing 100190;China |
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| Abstract: | 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. |
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| Keywords: | subprime loan crisis financial derivatives mispricing financial mathematics |
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