Stephen Ross

下面为大家整理一篇优秀的paper代写范文- Stephen Ross，供大家参考学习，这篇论文讨论了斯蒂芬·罗斯。斯蒂芬·罗斯是美国当代最有影响力的金融学家之一。罗斯已在经济金融顶级刊物发表了上百篇文献并出版了数本专著，其中《公司理财》作为金融学入门教材畅销全球。罗斯的主要研究方向为套利定价理论、期权定价理论及代理理论等方面，其中最广为人知的是套利定价理论。罗斯与合作者共同开发的期限结构模型和期权定价模型已经成为全球各大交易所的核心定价标准之一。

Stephen Ross is one of the most influential contemporary American financial scientists. Born in Boston, Massachusetts in 1944, he received his bachelor's degree in physics and mathematics from California institute of technology in 1965, and his doctor's degree in philosophy from Harvard University in 1970. Modigliani is a professor at MIT Sloan school of management, a member of the American academy of arts and sciences, and has taught at the Wharton school of the university of Pennsylvania and Yale university. Ross has published hundreds of articles and several monographs in top journals of economics and finance, among which "corporate finance" is the best-selling textbook of finance in the world.

His main research interests include arbitrage pricing theory, option pricing theory and agency theory, among which arbitrage pricing theory is the most widely known. The term structure model and option pricing model developed by Ross and his partners have become one of the core pricing standards of major exchanges around the world.

Markowitz's research on asset portfolio in the 1950s opened up a new field of modern securities portfolio theory, which theoretically solved the problem of how to diversify investment in order to obtain the highest return and bear the minimum risk of assets. The securities portfolio USES mean-variance model to describe the behavior of investors in choosing the optimal securities portfolio, but it needs to calculate the expected return, variance and covariance of individual securities and securities portfolio, which requires a large amount of calculation and affects the application of modern securities theory in practice. Then, in the 1960s, sharp put forward the capital asset pricing model, introduced beta coefficient to depict the systematic risk of the market, and linked the risk return of the security portfolio with the risk return of the market portfolio. However, the strict assumptions of CAPM and the untestability of market portfolio affect the application of this model in the financial practice field. Take the us stock market as an example. Even if the standard & poor's 500 index can roughly reflect the market trend, it is not strictly the market portfolio of CAPM.

Ross published two articles, "income, risk and arbitrage" and "the arbitrage theory of asset pricing", which proposed the arbitrage pricing theory and provided a concise analysis framework for asset pricing. Arbitrage is one of the most fundamental concepts in modern finance. Arbitrage opportunity in the market means that a market trading strategy can meet the requirements of self-financing, immune to all risks, and can obtain risk-free returns at the end of the period under the condition that the number of assets is large enough. The basic idea of APT is that there is no arbitrage opportunity in the market at equilibrium, namely, no arbitrage principle. The idea of no arbitrage has become one of the cornerstones of modern finance. ATP theory USES the concept of arbitrage to define the market equilibrium, and the model hypothesis is closer to the actual financial market. Compared with CAPM, ATP theory still assumes that investors have the same investment philosophy and are risk-avoiders who pursue utility maximization, and there is no market incompleteness. The difference is that ATP removes the assumption that investors can borrow freely at risk-free interest rate and only have one investment period.

APT indicates that the rate of return of risk assets is affected by multiple factors. In addition to internal risk factors of securities portfolio, external macro factors and other factors affecting the securities market will also have an impact. In fact, APT has nothing to do with carry trade, but is essentially an asset pricing model. The theoretical basis is that the price of risky assets is affected by different factors, and the comprehensive sum of all factors' influences on the asset represents risk compensation, plus the risk-free return rate, which is the risk return level of the asset. APT takes all factors that may affect the return on assets into consideration. When only a single factor of market portfolio is considered, it degenerates into a single factor model, namely CAPM model. From this perspective, CAPM is just a special form of APT.

Option is a kind of trading contract, which gives the buyer of option to buy or sell a certain amount of financial assets at an agreed price at a certain time in the future. Option has become one of the most important financial instruments. The price of option contract, namely the price of option, is the core problem of option market.

With the opening of cboe, the economists Blake and scholes published the pricing of options and corporate debt, put forward the pricing model of options and gave the pricing formula of European call options, which led to a great revolution in the field of option pricing and options financial practice. The b-s model assumes that financial asset prices are normally distributed, have no transaction costs, and are only for European options that exercise at a certain time. Merton then extended the model to pricing options that included stock dividends. The b-s model was once described by Ross as the most successful theory in the financial field and even in the whole economic field.

Different from the b-s model, which studies the situation where stock returns are normally distributed in continuous time, the option pricing model proposed by Ross and other scholars is a relatively simple situation where asset prices with discrete time subscripts are not normally distributed. Ross and cox published option pricing based on alternative random process, in which they proposed risk-neutral pricing theory. In option pricing: a simple method, Ross, Cox and Rubinstein pioneered the discrete time binomial option pricing model.

The risk-neutral pricing theory proposed by Ross and cox is also based on the idea of no arbitrage. In short, when there is no arbitrage opportunity in the market, the price of derivative securities has nothing to do with the risk preference of investors. This theory shows that option pricing can be regarded as a neutral risk appetite of investors and is applicable to all derivative securities. In a risk-neutral environment, the expected rate of return on both underlying and derivative securities is equal to the risk-free rate. The binomial option pricing model divides the maturity period of the option contract into N equal time intervals. In a given interval, the security price has two directions of rise and fall, that is, the security price constitutes binomial distribution in each interval. In N intervals when the option expires, the security price experiences N changes, and the option pricing formula is similar to the binomial expansion formula, so it is called binomial option pricing model. Through the division of the discrete interval, we can study not only the European options, but also the pricing of American options. The binomial option pricing model will be converted to B-S model under the proper selection of the parameters of the formula. The binomial option pricing model has fewer assumptions than the b-s model, which transforms the continuous time into the random walk process in the discrete time. At the same time, the risk neutral is included in the binomial option pricing model. The formula derivation process is more simple and intuitive, which is more conducive to the in-depth understanding of option pricing. The model has become one of the core pricing standards of the world's major exchanges.

The term structure of interest rate refers to the correspondence between the spot interest rate and the maturity period at a certain point, which essentially reflects the connection and difference between the short-term interest rate and the long-term interest rate. The difference between the short-term and long-term interest rates of bonds reflects the liquidity status of the market and investors' expectations for the future, which contains a wealth of information.

In order to explain the difference and correlation between short-term interest rate and long-term interest rate of bonds, several theoretical explanations have been put forward. The expectation hypothesis holds that the current value of long-term interest rate depends on the expected value of short-term interest rate and classifies the difference of long-term and short-term interest rate as the difference of investors' expectation. According to market segmentation theory, the difference between short and long term interest rates results from the independent realization of market equilibrium in different maturity bond markets, but it fails to explain the correlation between short and long term interest rates. Liquidity preference theory combines investors' expectations with some substitutability of the market of long and short interest rates, which explains the difference and correlation of long and short interest rates.

Ross and two other scholars introduced stochastic process and analyzed the term structure of interest rate with the capital asset pricing model in two major works, "the theory of interest rate term structure" and "the inter-temporal general equilibrium model of asset price", and established the cox-ingersoll-ross single-factor model. The CIR model also USES the concept of arbitrage equilibrium. For arbitrage reasons, the yield and risk of all bonds are the same. This model includes risk aversion, consumption preference, wealth restriction and other investment choices of investors, and can clearly predict the impact of exogenous economic variables on the term structure, which has strong practicability.

The general separation of ownership and management of modern enterprises has brought about the information asymmetry of enterprise operation, and the principal-agent problem has become the primary problem of modern enterprise governance. In two articles, agent economic theory: principal problem and determination of financial structure: incentive-signal method, Ross first proposed the concept of principal and agent, and introduced the theory of information asymmetry into the capital structure of enterprises to study the application of information economics in modern enterprise capital structure theory. Ross mainly studies the problem of information asymmetry between internal managers and external investors. The structure of enterprise assets and liabilities plays a role in transmitting signals to the outside world. According to the appropriate incentive and constraint mechanism of managers, the optimal financial structure of enterprises with different values can be judged. Ross's research greatly promoted the development of information economics of capital structure.

What is more admirable is that Ross not only enjoys a world-class reputation in the financial theory circle, but also is committed to linking his financial theory with practical investment to test the effectiveness and applicability of the theory. Rose has served as a senior advisor to the U.S. Treasury Department and other key government agencies, as well as many well-known investment firms. He is also the co-founder of roll Ross asset management and chairman of the compensation value company. For his contributions to finance, Mr Ross has for years been seen as a contender for the Nobel Prize in economics. Menem award, the international institute of financial engineering best financial engineer award and other awards.

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