中国农产品期货套期保值非对称效应研究

 为了更好地发挥农产品期货的避险功能,本文考察了基差和“消息”对期货套期保值比率的非对称影响。本文选取了2008年5月至2012年2月的大豆、棉花、白糖和菜油四种代表性农产品的期现货数据进行实证分析,结果表明：(1) 4种农产品期现货对数价格都是非平稳的,并且存在协整关系,协整向量靠近(1,-1),从而套期保值过程中有必要考虑基差的影响;(2) 基差和“消息”对期现货的对数收益的波动率以及相关系数均存在非对称效应;(3) 对于样本内估计和样本外预测结果,与静态模型以及DCC-GARCH模型想比,考虑基差和“消息”的非对称效应模型能更大程度地降低风险,因此套期保值过程中基差和“消息”的非对称效应不可忽略。     

沪深A股波动协同持续性研究

文章从单变量的协整思想出发,根据Bollerslev、Engle(1993)协同持续,采用变量GARCH的方法来研究我国沪深股市A股的波动协同持续性特征,实证研究发现在样本期内,我国沪市A股和深市A股之间确实存在波动协同持续性特征,说明A股市场联系性较强。     

Optimal hedging through limit orders

This article applies the methods of stochastic dynamic programming to a risk management problem, where an agent hedges her derivative position by submitting limit orders. Therefore, this model is the first, in the literature on optimal trading with limit orders, to handle a problem of hedging options or other derivatives. A hedging strategy is developed where both the size and the limit price of each order is optimally set.     

Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models

This article mainly investigates risk-minimizing European currency option pricing and hedging strategy when the spot foreign exchange rate is driven by a Markov-modulated jump-diffusion model. We suppose the domestic and foreign money market floating interest rates, the drift, and the volatility of the exchange rate dynamics all depend on the state of the economy, which is modeled by a continuous-time hidden Markov chain. The model considered in this article will provide market practitioners with flexibility in characterizing the dynamics of the spot foreign exchange rate. Using the minimal martingale measure, we obtain a system of coupled partial-differential-integral equations satisfied by the currency option price and find the corresponding hedging strategies and the residual risk. According to simulation of currency option prices in the special case of double exponential jump-diffusion regime-switching model, we further discuss and show the effects of the parameters on the prices.     

Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

The aim of this work is to study in a first step the dependence between oil and some commodity prices (cotton, rice, wheat, sucre, coffee, and silver) using copula theory, and then in a second step to determine the optimal hedging strategy for oil–commodity portfolio against the risk of negative variation in commodity markets prices. The model is implemented with an AR-GARCH model with innovations that follow t distribution for the marginal distribution and the extreme value copula for the joint distribution and parameters and dependence indices are re-estimated in each new day which allow taking into account nonlinear dependence, tails behavior, and their development over time. Various copula functions are used to model the dependence structure between oil and commodity markets. Empirical results show an increase in the dependence during the last 6 years. Volatility for commodity prices registered record levels in the same time with the increase in uncertainty. Optimal hedging ratio varies over time as a consequence of the change in the dependence structure.     

Hedging of contingent claims written on non traded assets under Markov-modulated models

ABSTRACT

This paper studies the hedging problem of European contingent claims when the underlying asset is non traded. We assume that the share prices of the assets are governed by Markov-modulated processes; that is, the market parameters switch over the time according to a finite-state continuous time Markov chain. Due to the presence of Markov chain the non traded asset, the market which we consider is incomplete, we shall use the local risk minimization method to obtain an optimal hedging strategy in a closed-form for an investor. Finally, numerical illustrations of an optimal hedging strategy are given by the Monte Carlo simulation.     

An optimal multi-step quadratic risk-adjusted hedging strategy

An optimal multi-step hedging strategy is proposed to minimize one’s exposure to risk. The proposed strategy, called the QRA-hedging, is based on the minimization of the quadratic risk-adjusted hedging costs and extends the result of Elliott and Madan (1998) to the multi-step case. The multi-step QRA-hedging cost is proved to be the same as the no-arbitrage price derived by the extended Girsanov principle. The QRA-hedging strategy is investigated under complete and incomplete market models. A regression-based method is proposed to estimate the QRA-hedging positions. And a dynamic programming is developed to facilitate computation of the QRA-hedging strategy. Simulation and empirical studies are performed to compare the QRA with other hedging strategies under complete and incomplete market models.     

Static Hedging of Geometric Average Asian Options with Standard Options

In this article, we first establish a theorem that represents the price of an Asian option in terms of standard European options with a shorter term and different strikes. Then using Gauss–Hermite numerical integration, we discretize our theorem so as to use Monte Carlo simulation to examine the error of the static hedging under the Black–Scholes model and the Merton jump-diffusion model. For ease of comparison, we also provide the error of the dynamic hedging. The numerical results show that the static hedging strategy performs better than the dynamic one under both models.     

公司持有现金的对冲作用

本文探讨融资约束下公司现金策略与投资策略的内生联动性并引入对冲需求的思想,对公司现金持有量促进投资支出的对冲作用进行考察。研究结果表明,公司面临融资约束时通过变动现金策略以避免投资计划的改变,这种联动性导致公司现金策略变化而投资策略不常变动,公司因此具有较高的现金-现金流敏感度且现金-现金流敏感度比投资-现金流敏感度更能够有效反映公司融资约束。我们还发现,现金持有量促进投资的对冲作用受到市场的认同,投资者赋予公司现金策略和投资策略更高的价值评估。     

中国农产品期货套期保值绩效实证分析

运用误差修正模型估计了中国棉花、玉米、豆粕和硬麦四种期货的套期保值比率，并计算了相应的套期保值绩效，发现豆粕的套期保值比率最高，为0．079195，硬麦的套期保值比率最低，仅为0．002221；玉米的套期保值绩效最高，其样本内和样本外套期保值绩效分别为13．74％和13．99％，硬麦的套期保值绩效最差，其样本内和样本外套期保值绩效分别仅为0．25％和0．55％；棉花、玉米和硬麦三种期货的样本外套期保值绩效优于样本内套期保值绩效，与国内外许多学者的研究结论一致。总体看，中国期货市场的套期保值功能并耒得羽I充分发挥．     

Hedging processes for catastrophe options

This paper considers the problem of pricing and hedging of certain catastrophe (CAT) options. In particular, a self-financing hedging strategy that minimizes the risk in the loss period and replicates the option in the development period is proposed.     

市场状态依存的套期保值策略研究

最小方差套保策略没有考虑均值信息,没有考虑套保的成本和收益,不能区分买入套保和卖出套保。针对这一缺陷,本文在最小VaR套保策略框架下,提出了市场状态依存的套保策略,以区分买入套保和卖出套保,利用市场状态的信息来改善套保的财务表现。论文首先在理论上比较了市场状态依存策略与最小方差策略的套保比、套保的成本或收益,进一步基于铜期货市场、原油期货市场的数据实证比较了这两种策略的财务表现。理论和实证结果均表明：相对于最小方差套保策略,市场状态依存的买入套保策略的成本更低,卖出套保策略的收益更高;论文最后讨论了此策略的应用范围和局限性。     

上海燃料油期货套期保值比率选取的实证研究

通过对上海燃料油期货和现货价格的实证分析,表明期货和现货价格之间存在协整关系,同时价格的波动具有时变性和集聚性特征。考虑这两种特征,建立四个模型计算套期保值比率。结果表明,按照考虑协整关系建立的VECM模型估计的最优套保比率进行套期保值,套期保值效果最好,能使决策者面临的价格风险最小。     

利率期限结构预测、国债定价及国债组合管理

国债利率期限结构是固定收益产品定价和投资组合管理的核心问题。本文利用NARX（Nonlinear AutoRegressive network with eXogenous inputs）神经网络模型研究利率曲线的运动机制,拟合并预测利率期限结构,在此基础上利用Hermite插值方法构造平滑的利率曲线并计算得到国债理论价格及其预测值。实证分析发现我国国债定价效率不足,交易价格显著偏离理论价格,但国债的理论价格的实际值和预测值均对交易价格具有显著的预测能力。基于上述发现本文提出了主动国债组合管理策略,通过预测的期限结构得到国债理论价格的预测值构建的多空对冲组合和单边多头组合均能获得显著的收益。本文的研究丰富了利率期限结构的研究方法,提出的主动国债组合管理策略对通过交易提高国债定价有效性具有参考价值。     

中国股指期货与股票现货市场之间的风险传递效应研究

 为探索股指期货市场与股票现货市场之间的风险传递效应,本文从日间交易信息和隔夜信息两个角度对沪深300股指期货市场和沪深300指数现货市场进行了实证研究。实证结果显示：股指期货市场与股票现货市场之间的风险传递是双向的,股票现货对股指期货的风险溢出要大于股指期货对股票现货的风险溢出;并且,一市场收益对另一市场收益的影响具有正向杠杆效应,一市场风险对另一市场风险的冲击却具有反向杠杆效应;此外,尽管只有股指期货市场的隔夜信息对其日间收益具有预测能力,但任一市场的隔夜信息对另一市场的日间波动均存在显著的冲击效应。     

沪深300股指期货动态套期保值策略的效果分析

对比了BGARCH、MA-BGARCH、EC-BGARCH和BGARCH-X这四种动态套期保值策略的保值效果,实证分析四种套期保值模型下资产收益的条件方差与HE指标,得出BGARCH-X的套期保值效果最佳,EC-BGARCH与MA-BGARCH的套期保值效果次之,BGARCH的套期保值效果最差的结论。     

Hedging Barrier Options in GARCH Models with Transaction Costs

This study proposes a modified strike‐spread method for hedging barrier options in generalized autoregressive conditional heteroskedasticity (GARCH) models with transaction costs. A simulation study was conducted to investigate the hedging performance of the proposed method in comparison with several well‐known static methods for hedging barrier options. An accurate, easy‐to‐implement and fast scheme for generating the first passage time under the GARCH framework which enhances the accuracy and efficiency of the simulation is also proposed. Simulation results and an empirical study using real data indicate that the proposed approach has a promising performance for hedging barrier options in GARCH models when transaction costs are taken into consideration.     

组合套期保值策略研究及其在市场中的应用

针对用多种期货资产对一种现货资产进行组合套期保值策略的研究,建立三种考虑交易费用的组合套期保值模型,使其更具有现实应用性。给出了评价组合套期保值效率方法,并用实例验证分析了组合套期保值的效率。     

基于偏好变量的指数跟踪方法

考虑到在进行指数跟踪时影响强度大并且流动性好的成份股往往是被偏好的,结合股票市场的网络结构和指数的编制规则,提出基于偏好变量的指数跟踪方法;对沪深300指数进行实证分析,从跟踪偏离度、平均超额收益和年跟踪误差三方面对新方法进行评估,并与非负LASSO模型进行对比分析。实证结果显示,新方法不仅优于非负LASSO模型,而且优于市场上大多数指数基金。     

基于VaR方法的长寿风险自然对冲模型

随着死亡率的下降与预期寿命的提高,保险公司面对着不容忽视的长寿风险。基于VaR方法探讨了长寿风险管理中的自然对冲策略,然后在对中国男性人口死亡率预测的基础上,给出了保险公司自然对冲长寿风险所需的最优产品结构,并进一步考查了利率、签单年龄、缴费方式等因素对最优产品结构的影响。