连续时间金融CTF-Chp14.pptVIP

Chapter 14  Financial Intermediation in the Continuous-Time Model --by Zheng Zexing Finance Dept.of Xiamen University Introduction The core of financial economic theory is the study of the microbehavior of agents in the intertemporal deployment of their resources in an environment of uncertainty. Economic organization are regarded as existing primarily to facilitate these allocations and therefore endogenous to the theory In this chapter, the continuous model is used to analyze the risk-pooling and risk-sharing roles of financial intermediaries. The focus is on the economic function of financial intermediaries rather than on their specific institutional structure. Under specified condition, all possible optimal portfolios can be generated by combinations of a relatively small and select set of portfolios. These generating portfolios have an institutional interpretation as mutual funds or investment companies So spanning theorems provide a basis for a beginning theory of financial intermediation. Section 5.5 shows, with joint log-normally distributed security prices, with or without a riskless security, only two mutual funds are required to span the set of optimal portfolios. In the model of Section 11.7, three funds are sufficient for spanning. Theorems 15.5 and 15.3 expands to an m-fund spanning theorem in the general case of the continuous-time model. As with the theorems derived in the static environment of Chapter 2, These spanning theorems create a theoretical foundation for the role of financial intermediaries in a dynamic economic system with continuous-trading opportunities. Contingent-claims analysis(CCA) has a broad range of application to the pricing financial instruments. The contribution of CCA to the enrichment of that theory is deeper than just the pricing of financial instruments issued or purchased by intermediaries. Contingent-claim securities with payoffs that can be expressed as functions of other traded-securities prices are c