金融工程的工具与技术及其在金融风险管理中的应用

With the deep-going reform and opening-up as well as China's entrance into WTO, Chinese financial market is making its reform and development in line with international practice. More and more domestic financial organizations and enterprises enter the international financial market. Unavoidably, they face the problems of financial risk and financial engineering instrument..Therefore, this project focuses on the research of financial engineering instrument and techniques and how to use them to prevent and eliminate financial risk. Central research content includes several major financial engineering instruments and related pricing problem, method and strategy problem for currency risk hedging, application of financial engineering instrument in the financial risk management, etc..Through thorough and systematic research, this project made a series of innovative achievements, including "A trinomial option pricing model dependent on skewness and kurtosis", "Estimates of currency futures options under stochastic interest rates", "An analysis about two methods of currency risk hedging", "Exporting firm's hedging decision with state-dependent utility", etc..On certain degree, this project fills the blank in systematic and quantitative analysis of financial engineering instrument and technology of the country and settles the foundation for further development; meanwhile, it provides theory and guidance for financial organizations and enterprises to participate in international economic activity..

探讨金融工程发展的原因及其在中国发展的前景与影响；剖析几种主要的金融工程工具及其相关技术因素（特别是其中的定价问题）；揭示金融工程工具对金融市场的作用，研究金融工程在金融风险管理中的应用。本项目的完成将在一定程度上填补国内系统研究金融工程领域的空白，为理论界打下进一步研究的基础，为实践界提供操作指南。