The Application About Backward Stochastic Differential Equations In Open-end Fund Redemption Risk Control

In this dissertation, we mainly use Backward Stochastic Differential Equation theory toestablish the open-end fund redemption risk control model，by forecasting the amount of fundredemption occurring in the future time,we deduced the proportion of cash in the beginningperiod. On the other hand, we also investigate the optimal securities portfolio problems in thecase of stochastic interest rate, which provides fund managers a realistic guidance on securitiesportfolio issues.In the first chapter, we introduce the research background，outline the research status andthe major work.In the second chapter, we state the basic theory of BSDE, including the existence anduniqueness theorem, comparison theorem and non-linear Feynman-Kac formula.In the third chapter, we establish and solve the model of total assets y (t)in the risk-freeinterest rate financial market, which is based on the backward stochastic differential equationtheory. On this basis, we obtained the cash-reserve proportion of open-end fund.In the fourth chapter, we define the financial market model of stochastic interest rates, andthen under the assumption of complete market, we establish the model of total assets y (t)byusing equivalent martingale measure, after that, we try to solve the model and obtain thecash-reserve proportion formula.In the fifth chapter, supposing the interest rate is random, we study the optimal portfolio ofsecurities issues from the point of investor utility maximization, and we finally investigate theoptimal portfolio in the case of a typical utility function portfolio.In the sixth chapter, we summarize the main result of the dissertation and point out theweakness of this dissertation and some issues remaining unresolved.