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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Brownian model of financial markets ： ウィキペディア英語版 Brownian model of financial markets The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes. Under this model, these assets have continuous prices evolving continuously in time and are driven by Brownian motion processes. This model requires an assumption of perfectly divisible assets and a frictionless market (i.e. that no transaction costs occur either for buying or selling). Another assumption is that asset prices have no jumps, that is there are no surprises in the market. This last assumption is removed in jump diffusion models. ==Financial market processes== Consider a financial market consisting of $N\; +\; 1$ financial assets, where one of these assets, called a ''bond'' or ''money market'', is risk free while the remaining $N$ assets, called ''stocks'', are risky. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Brownian model of financial markets」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.