実物の資産と派生証券の層

最近結構複雑の論文を読んでいます。The paper discusses the value gained from dividing a pool of cash flows into tranches and selling securities. The notation for expressing the value of these tranches to investors is somewhat byzantine, involving primal and dual forms. The solution to the dual problem involves lambda, delta, and m variables. In addition, there is a beta variable and a solution space Sdt. lambda, delta, m, and q are all related to unit price. m is the unit price that would paid by an investor in state k for consumption in this state, while q is a pricing measure (it was assumed this meant a probability distribution of states). Lambda and delta appear in the dual form equations for optimal tranching.