Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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FINANCIAL SYSTEM: INNOVATIONS AND PRINCING OF RISKS

  • Melnikov, A.V. (Steklov Mathematical Institute of Russian Academy of Sciences, Russia)
  • 발행 : 2001.09.01
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초록

The paper studies the evolution of the financial markets and pays the basic attention to the role of financial innovations (derivative securities) in this process. A characterization of both complete and incomplete markets is given through an identification of the sets of contingent claims and terminal wealths of self-financing portfolios. the dynamics of the financial system is described as a movement of incomplete markets to a complete one when the volume of financial innovations is growing up and the spread tends to zero (the Merton financial innovation spiral). Namely in this context the paper deals with the problem of pricing risks in both field: finance and insurance.

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