評論衍生性金融商品教科書與闡述資產訂價基本定理 (Reviewing the Textbooks of Derivatives and Demonstrating the Fundamental Theorem of Asset Pricing)

33 Pages Posted: 14 Apr 2014 Last revised: 3 Sep 2019

See all articles by Jen-Chang Liu

Jen-Chang Liu

Takming University of Science and Technology - Department of Banking and Finance

Date Written: April 12, 2014

Abstract

Chinese Abstract: 風險中立訂價是衍生性商品理論之基石,但中文教科書皆未說明無套利機會隱含風險中立測度存在之事實。本研究闡述風險中立訂價理論之基礎:資產訂價基本定理。雖然,學術界具有嚴格之論文審核制度,卻無教科書之評審制度,導致大專教師在斟酌學術著作產出與教科書著作產出之成本與效益後,往往撰寫教科書,造成教科書林立,內容良莠不齊之現況。本研究作者率先起義,補充三冊知名教科書對定價理論陳述不足之處,且評論其缺點與優點,再界定部分值得其他教科書採用,卻無著作權爭議之撰寫形式。本研究再深度評論第四本新出版之教科書,將其與既有教科書作詳細比較,得以討論著作權議題,並且對教科書作者提出具體建議,以避免可能違反著作權法之爭議。本研究呼籲對傳統學術研究缺乏興趣之大專教師,投入教科書評論工作,且以著作或技術報告形式發表,為台灣大專教育與出版界注入革新與成長動力。

English Abstract: Risk-neutral valuation is the foundation of modern derivative pricing theory. However, Chinese textbooks do not clarify the fact that no-arbitrage conditions implies the existence of risk-neutral probability. This paper demonstrates the core of the risk-neutral valuation - the fundamental theorem of asset pricing. Although there has been mature reviewing tradition in academic papers, there is no similar tradition in related textbooks. As a result, some young scholars are inclined to write textbooks after scrutinizing the cost and benefits of writing writing for education. Consequently, we witness a growing tide of textbooks of mixed quality. This paper makes the first attempt to ameliorate the description of risk-neutral valuation in three famous textbooks on the subject of derivatives, as well as discussing their respective pros and cons. This paper also highlights some textbook formats and styles which facilitate learning and entail no copyright issues if we make use of them. Finally, this paper also examines a fourth new textbook and compares it with the aforementioned three. Some evidence of copyright violation in the fourth textbook is highlighted in this paper. College faculties are encouraged to point out and to review some popular textbooks in the form of academic papers or technical reports. Such effort will improve textbook quality and promote higher standards in college education.

Note: Downloadable document is in Chinese.

Keywords: 教科書、著作權、期貨與選擇權, 衍生性金融商品, 風險中立, textbook, copyright, futures and options, derivatives, risk-neutral valuation

JEL Classification: G13, I22, K19

Suggested Citation

Liu, Jen-Chang, 評論衍生性金融商品教科書與闡述資產訂價基本定理 (Reviewing the Textbooks of Derivatives and Demonstrating the Fundamental Theorem of Asset Pricing) (April 12, 2014). Available at SSRN: https://ssrn.com/abstract=2424338 or http://dx.doi.org/10.2139/ssrn.2424338

Jen-Chang Liu (Contact Author)

Takming University of Science and Technology - Department of Banking and Finance ( email )

56, Sec 1, Huan Shan Rd.
Nei Hu Dist.
Taipei City
Taiwan
886226585801 (Phone)

HOME PAGE: http://nas.takming.edu.tw/robertliu/

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
217
Abstract Views
2,135
Rank
254,917
PlumX Metrics