英文标题：
《Intrinsic Prices Of Risk》
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作者：
Truc Le
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最新提交年份：
2014
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英文摘要：
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent claim as a basis for understanding these phenomena. In a continuous time framework, we bring together the notion of intrinsic risk and the theory of change of measures to derive a probability measure, namely risk-subjective measure, for evaluating contingent claims. This paper is a modest attempt to prove that measure of intrinsic risk is a crucial ingredient for explaining these phenomena, and in consequence proposes a new approach to pricing and hedging financial derivatives. By adapting theoretical knowledge to practical applications, we show that our approach is consistent and robust, compared with the standard risk-neutral approach.
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中文摘要：
我们回顾了一些众所周知的现象的性质，如波动率、凸度调整和平行衍生市常我们认为，市场是不完整的，并假设每个或有权益中都存在内在风险，以此作为理解这些现象的基矗在一个连续时间框架内，我们将内在风险的概念和测度变化的理论结合起来，得出一个概率测度，即风险主观测度，用于评估未定权益。本文试图证明内在风险度量是解释这些现象的关键因素，并由此提出了一种新的金融衍生品定价和套期保值方法。通过将理论知识应用于实际应用，我们证明了与标准风险中性方法相比，我们的方法是一致的和稳健的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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