＂markets generically are incomplete when there are more random sources than there are traded＂呵呵很多人就是看书比较傻，＂generically＂是什么意思？你明白信息不完全用随机发生源来如何表示么？那就是说不完全的信息本身，就是一个＂than there are traded＂的随机源啊．
至于什么鞅的东西，就少拿在这里来了，前面我已经说得很清楚．ＢＳ没有搞定，就别谈什么鞅．
而价格核，你同样没有弄明白其计算过程．一个把收益率分布，而不是收益绝对值分布作为既定数来计算的定价方法，没有资格作为资产定价方法．我已经说了无数遍了，可惜你愣是弄不明白．可惜．
以下是引用ihs在2008-3-30 19:03:00的发言：
跟你说也白费, 你不要推翻现在权威的理论的吗?我和你没有讨论的基础,因为每一个基础概念都不同认识,还如何谈话啊,我说这是马,你非要说你的观念里叫做鹿
所以我呢,贴一个BJORK课本里面的文字给各位观众看把
BJORK, ARBITRAGE THEORY IN CONTINUOUS TIME, 2 DDITION
CHAPTER 15
INCOMPLETE MARKETS
15.1 Introduction
In this chapter we will investigate some aspects of derivative pricing in incomplete
markets. We know from the meta-theorem that markets generically are incomplete
when there are more random sources than there are traded.assets, and
this can occur in an infinite number of ways, so there is no "canonical" way
of writing down a model of an incomplete market. We will confine ourselves to
study a particular type of incomplete market, namely a "factor model", i.e. a
market where there are some nontraded underlying objects. Before we go on to
the formal description of the models let us briefly recall what we may expect in
an incomplete model.
Since, by assumption, the market is incomplete we will not be able to hedge
a generic contingent claim.
In particular there will not be a unique price for a generic derivative.
meta-theorem就是我以前用中文描述过的定理.
这个定理么比较实用, 没有基础定理严格而深刻,这里我也贴一下基本定理:
(The First Fundamental Theorem) The model is arbitrage
free essentially if and only if there exists a (local) martingale measure Q.
(The Second Fundamental Theorem) Assume that the
market is arbitrage free. Then the market is complete if and only if the martingale
measure is unique.
以上三个定理的证明或者说明请大家在书本中找吧, 课本这里有下载(我来做广告啊,)
https://bbs.pinggu.org/thread-298258-1-1.html
你要说"不完全市场有很多，信息不完全，市场有摩擦等等，都是不完全市场" 丢金融博士的脸?
我觉得恰好说明你不了解金融和经济博士项目的区别, 金融里面不需要UTILITY FUNCTION, 用NO-ARBITRAGE
谈金融的时候INCOMPLETE MARKET 就是我说的那概念(某些资产动态不能被复制)
你说的那些是微观经济学或者博弈论里面的概念。就是如此也一般承认满足那些条件，否则市场摩差很大，甚至没有任何交易行为
那么还讨论社么啊，经济学的均衡模型还存在麽？
imperfect, incomplete information 这些东西,你如果不自量力,我们也可以谈谈,尽管我仅仅学过ADVANCED MICROECONOMICS, GAME THEORY, FINANCIAL ECONOMICS
不过大家要谈就用通行的概念来谈. 否者谈不下去
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