论清华大学经管学院的金融工程(英文版)(ppt 34页)

论清华大学经管学院的金融工程(英文版)内容提要：
Implication of M&M Theory：
Frictionless environment does not exist in the real world.
Taxes
Transaction costs
Information asymmetry
Costs resolving interest conflict
Liabilities are risk-bearing
Summary of Chapter One：
No Arbitrage Equilibrium
Replication Methodology
State Prices Technology
Four basic factors：
Capital production ability —— the more the capital’s expected return, the higher the interest rates and vice versa.
Uncertainty of capital production ability —— the more the uncertainty, the higher the risk premium required and the higher the interest rates and vice versa.
Time preference of consumption —— the stronger preference to current consumption, the higher the risk premium required and the higher the interest rates and vice versa.
Risk aversion —— the more the risk aversion, the higher the risk premium required and the lower the risk-free interest rates.

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