Under the assumption that the spot return rate of a security fo1lows the Ito stochastic differen． tial equation，the return and risk of the security is defined as the expectation of the spot rate and the var Jante of the rate．The differential equation for the return and the risk are derived by using the Kolmogorov equation．Based on the theory of non—parametric estimation，a method for identifying the equation of spotrate is provided．Finally，the modeling method and the identifying method are applied to the analysis of Chinese financial market，and simulation results are presented．