一种亚式期权的套期保值策略

本文运用推广的Clark公式,对由几何平均确定的亚式期权,得到实用的套期保值策略。     

木城涧煤矿井下安全避险系统的集成与开发

 对国内外安全避险和应急救援研究现状进行总结,概述国内安全生产领域关于六大系统建设的情况。以北京昊华能源公司木城涧煤矿井下安全避险系统为例,阐述系统集成平台的选择及“三维数字化矿山建设平台”实施方案的设计。介绍木城涧煤矿人员定位系统、压风自救系统和供水施救三大系统的集成平台建设,系统三维功能的实现以及关键的三维GIS技术。该平台实现了煤矿井下各类信息系统的统一集成和三维可视化管理,提高了煤矿安全避险系统的整体联动和应急响应能力。     

基于便利收益的商品期货套期保值策略研究

依据便利收益是商品现货与期货长期均衡关系的主要影响因素,研究商品便利收益对商品期货套期保值策略的影响。通过求解最大化期望效用的套期保值决策模型,得到了最优套期保值比率的封闭解,并且提出了以便利收益为修正因子的ECT-GARCH模型,同时选取2005年01月到2013年10月期间沪铝现货和期货数据进行实证分析。研究发现:便利收益的波动性与套期保值比率呈负相关,在套期保值比率估计精度和套期保值绩效方面,ECT-GARCH模型均优于B-GARCH模型和ECM-GARCH模型。     

几种期权的方差最优对冲策略

在支付红利的情况下,考虑了两值期权CONC和AONC,计算了其离散时间方差最优对冲策略,给出其显式表达式.并由此给出欧式看涨期权的最优对冲策略.最后,给出分红的预测例子.     

Long-memory volatility in derivative hedging

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381–392] where they incorporate long-memory stochastic volatility in option pricing and derive pricing bands for option values. The starting point is the stochastic Black–Scholes hedging strategy which involves volatility with a long-range dependence. The stochastic hedging strategy is the sum of its deterministic term that is classical Black–Scholes hedging strategy with a constant volatility and a random deviation term which describes the risk arising from the random volatility. Using the fact that stock price and volatility fluctuate on different time scales, we derive an asymptotic equation for this deviation in terms of the Green's function and the fractional Brownian motion. The solution to this equation allows us to find hedging confidence intervals.     

Lead-time hedging and coordination between manufacturing and sales departments using Nash and Stackelberg games

In a firm, potential conflict exists between manufacturing and sales departments. Salespersons prefer to order from manufacturing departments in advance so that they can secure products in the amount they need to satisfy customers in time. This time in advance strategy is defined as “lead-time hedging.” While this hedging strategy is good for the sales department to guarantee the right quantity at the right time for customers, it adds additional costs and pressure to the manufacturing department. One scheme to resolve this conflict is to introduce a fair “internal price,” charged by the manufacturing department to the sales department. In this paper, two models involving a fair internal price are introduced. In one model, a Nash game is played to reach an optimal strategy for both parties. In the other model, a Stackelberg game is played in which the manufacturing department serves as the leader. We show that these two models can successfully reduce lead-time hedging determined by the salesperson and can increase the firm’s overall profit, as compared to the traditional model without considering the internal price. More insights have also been analyzed that include the comparisons of the manufacturer’s and the salesperson’s profits among the traditional model, the Nash game model, the Stackelberg game model, and the centralized global optimization model.     

Assessing the solvency of insurance portfolios via a continuous-time cohort model

This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described via a continuous-time cohort model. We evaluate the effects of natural hedging strategies on the risk profile of an insurance portfolio in run-off. Numerical simulations, calibrated to UK historical data, show that systematic longevity risk is of particular importance and needs to be hedged. Natural hedging can improve the solvency of the insurer, if interest-rate risk is appropriately managed. We stress that asset allocation choices should not be independent of the composition of the liability portfolio of the insurer.     

带有风险价值的最优期货套期保值策略

本文研究了带有风险价值约束的期货套期保值优化问题.用最优化方法获得了套期保值策略的存在性、求解模型的增广拉格朗日算法及其收敛性.文中的结果推广了期货收益率服从正态分布的单变量套期保值策略的研究,表现为用服从椭圆分布的随机变量刻画市场风险因子的厚尾特征、用风险价值控制套期保值的风险、构建了均值-VaR组合套期保值理论模型并给出了求解算法.     

O-U过程的效用无差别定价和套期保值

在交易资产服从O-U(Ornstein-Uhlenbeck)过程模型的假设下,研究指数效用函数的无差别定价和套期保值问题.利用动态规划方法得到了效用无差别定价满足的偏微分方程,同时得到对应的套期保值策略.     

基于时变VaR的动态套期保值策略研究

套期保值可以规避股市系统性风险,文章研究动态套保策略,以VaR最小化为目标,弥补了现有研究的两点不足．文章建立了ECM—BGARCH模型来拟合市场波动,椎导了基于时变VaR的动态套保比模型,满足每日VaR最小且有效;然后,对我国股指期货的实证研究反映出,相比静态模型,动态模型体现出较好的应用效果：（1）提高了套保绩效;（2）降低了平均VaR,意味着需要更少的风险准备金,节约了套保者的资金成本,也更容易达到资金监管要求;（3）取得了更准确的VaR失效率,时变VaR更准确反映了市场异常．