直击外汇风暴：投保未来——访花旗银行中国区金融市场部总监张昕女士

企业外汇保值的终极目的在于锁定成本,减少风险,而非套现赚利。外汇市场纷繁多变,各类金融衍生工具也层出不穷,中国企业究竟如何才能在这场外汇风暴中全身而退呢？本刊记者就此采访了花旗银行中国区金融市场部总监张昕女士。     

基于GARCH族模型商业银行外汇风险管理的VaR方法研究

面对日趋加大的汇率波动性,商业银行外汇资产面临的风险也越来越大,风险的计量与预测在管理外汇风险中的作用也越来越重要.引入参数法下的GARCH模型对外汇市场存在的风险进行计量分析,并以此为基础运用VaR方法进一步计算外汇资产的风险补偿金,以达到预测和控制外汇风险目的.     

基于汇率回报厚尾性的外汇期权定价模型

主要研究汇率回报呈厚尾分布的外汇期权定价问题。本文利用t-分布能捕获汇率回报序列厚尾特征的优势，推导出基于t-分布外汇期权定价模型的解析表达式，即对外汇期权定价模型——BSGK模型进行了修正，同时应用矩估计法估计出的t-分布的自由度用于该定价模型的计算，最后基于t-分布的外汇期权定价模型和BSGK外汇期权定价模型进行了比较分析。     

外汇期权的多维跳-扩散模型

本文建立了外汇期权的多维跳-扩散模型,在此模型下将外汇欧式未定权益的定价问题归结为一类倒向随机微分方程的求解问题,证明了这类倒向随机微分方程适应解的存在唯一性问题,并给出了一个关于外汇欧式未定权益的定价公式.     

外汇理财面面观

随着国内经济市场化程度提高、涉外经济日益扩大和金融资产的多元化,外汇理财正逐渐成为企业经营的重要内容。尽管国内的外汇理财发展方兴未艾,但也暴露出不少问题,需要深入地探讨和研究。     

跳跃扩散型汇率过程的外汇期权定价

在完全外汇市场环境下 ,讨论了外汇汇率过程受 Brown运动和 Poisson过程共同驱动时外汇欧式未定权益的定价问题 ,并在常系数情形下获得了欧式外汇期权 Black- Scholes定价公式及其套期保值策略 ,最后给出了一种多汇率过程的线性组合式未定权益的定价     

分形布朗运动下有交易成本的外汇期权定价

研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式.     

我国外贸企业人民币升值加息双重风险同步管理与独立管理比较研究

我国出口外贸企业将来收到外汇货款又要借款用于生产,企业面临很大人民币汇率利率双重风险,因此迫切需要解决其风险管理问题。可以使用目前市场上交易的人民币外汇远期、外汇期货和利率远期等衍生工具,分别对这两项风险进行独立管理和同步管理。导出策略的回报、风险和效率等统计指标,比较评价这两种风险管理策略的优良性。得到同步管理比独立管理更加优越的结论,企业可以使用同步管理策略更有效地规避所面临的双重风险。     

CGMY模型下 的欧式外汇期权定价

修正传统有效市场假说,重新假设外汇汇率存在扩散和跳跃,并结合CGMY模型,采用傅里叶变换方法,推导出了CGMY模型下欧式外汇期权价格满足的分数阶偏微分方程(FPDE).尽管因分数阶偏导数引发的“全局性”很难处理,仍然推导出CGMY模型下欧式外汇期权的定价公式及其满足的平价公式.同时,引入一个新的缩放参数m来控制指数函数的增长率以克服被积函数衰减引起的计算困难,使其与Lévy密度函数的衰减在速度上达到一个平衡.最后,从数学与金融意义上分析了关键参数变化对欧式外汇期权价格的影响.     

基于自适应混沌控制的外汇干预有效性研究

中央银行外汇干预的有效性一直是金融领域研究和争论的热点问题,并且至今尚未达成一致的结论,寻找科学的理论与方法对其做进一步的探讨具有重要意义。针对该问题提出一种新的解决方案,即在扩展Dorn-busch汇率模型基础上,运用自适应混沌控制方法指导外汇干预策略,试图通过检验干预是否能够控制汇率时间序列的混沌行为并最终达到稳定汇率的目的,来论证外汇干预的有效性。仿真结果表明,通过自适应地寻找合理的干预尺度,外汇干预行为最终能够成功地将汇率稳定在系统均衡水平上。研究成果不但为外汇干预有效性给出了理论支持,还为中央银行外汇干预策略的制定提供了参考。     

Markov-modulated jump-diffusions for currency option pricing

This paper introduces dynamic models for the spot foreign exchange rate with capturing both the rare events and the time-inhomogeneity in the fluctuating currency market. For the rare events, we use a compound Poisson process with log-normal jump amplitude to describe the jumps. As for the time-inhomogeneity in the market dynamics, we particularly stress the strong dependence of the domestic/foreign interest rates, the appreciation rate and the volatility of the foreign currency on the time-varying sovereign ratings in the currency market. The time-varying ratings are formulated by a continuous-time finite-state Markov chain. Based on such a spot foreign exchange rate dynamics, we then study the pricing of some currency options. Here we will adopt a so-called regime-switching Esscher transform to identify a risk-neutral martingale measure. By determining the regime-switching Esscher parameters we then get an integral expression on the prices of European-style currency options. Finally, numerical illustrations are given.     

Valuation and hedging strategy of currency options under regime-switching jump-diffusion model

The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices.     

Currency Denomination in Long-Term Debt Financing and Refinancing: A Cross- Hedging Paradigm

Under conditions of chronic exchange rate overshooting and mildly segmented capital markets, optimal currency denomination decision rules for international debt financing are derived for risk-neutral and risk-averse borrowers. For the latter, an inter-temporal expected utility framework yields the risk-adjusted cost of foreign debt, which allows for the pricing of currency cross-hedging effects in multi-currency debt portfolios, artificial currency unit-denominated debt instruments as well as currency swaps.     

The American Foreign Exchange Option in Time-Dependent One-Dimensional Diffusion Model for Exchange Rate

The classical Garman-Kohlhagen model for the currency exchange assumes that the domestic and foreign currency risk-free interest rates are constant and the exchange rate follows a log-normal diffusion process. In this paper we consider the general case, when exchange rate evolves according to arbitrary one-dimensional diffusion process with local volatility that is the function of time and the current exchange rate and where the domestic and foreign currency risk-free interest rates may be arbitrary continuous functions of time. First non-trivial problem we encounter in time-dependent case is the continuity in time argument of the value function of the American put option and the regularity properties of the optimal exercise boundary. We establish these properties based on systematic use of the monotonicity in volatility for the value functions of the American as well as European options with convex payoffs together with the Dynamic Programming Principle and we obtain certain type of comparison result for the value functions and corresponding exercise boundaries for the American puts with different strikes, maturities and volatilities. Starting from the latter fact that the optimal exercise boundary curve is left continuous with right-hand limits we give a mathematically rigorous and transparent derivation of the significant early exercise premium representation for the value function of the American foreign exchange put option as the sum of the European put option value function and the early exercise premium. The proof essentially relies on the particular property of the stochastic integral with respect to arbitrary continuous semimartingale over the predictable subsets of its zeros. We derive from the latter the nonlinear integral equation for the optimal exercise boundary which can be studied by numerical methods.     

A non random walk theory of exchange rate dynamics with applications to option pricing

A two dimensional stochastic process is developed to model exchange rate dynamics. We incorporate the non random walk influence of pur–chasing power parity, to synthesise the theories of international trade and foreign currency options. Our results, which include a closed form expression for the transition density function of the exchange rate and an exact formula to price currency options, offer a theoretical framework for further study of foreign exchange markets     

面对成比例交易成本的情况下外汇期权的定价

The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility.Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.     

FOREIGN CURRENCY OPTION PRICING WITH PROPORTIONAL TRANSACTION COSTS

The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor＇s expected utility. Option prices are determined from the investor＇s basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility. Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.