动态套期保值

摩擦市场下的动态套期保值策略研究与分析

A Research and Analysis of Dynamic Hedging Strategy under Friction Market

作为一种风险管理的工具，动态套期保值在国外广泛应用于投资基金的组合管理中。

Dynamic hedging as a risk control instrument is widely used fund portfolio management .

在逐一分析传统模型、误差修正模型、CCC模型之后，采纳模型各自优点，利用计量经济学最新研究成果，重新构建更加合理的动态套期保值比率测算模型DCC模型。

In each of the traditional model , error correction model , CCC model , the adopted model of their own merits , using the latest econometric research to reconstruct a more reasonable model for evaluating the dynamic hedge ratio DCC model .

这些套期保值模型大致可以分为两类：一类是静态套期保值策略，如OLS模型、误差修正模型；另一类为动态套期保值策略，如GARCH模型族、SV模型族。

These hedging models can be divided into two types : one is static hedging strategies , such as OLS model , error correction model ; another kind is the dynamic hedging strategies , such as GARCH model group , SV model group .

动态套期保值策略的模拟检验

TRENDS Dynamic news Simulation Test of Dynamic Hedging Strategy

采用动态套期保值模型如状态空间模型显示出比其他套期保值技术更为有效。

Therefore , the use of dynamic hedging model performs much better than other hedging models , such as the state space model .

通过分析已有文献的缺陷，并且结合期货市场自身的新情况，本文认为合理构建动态套期保值比率的测算模型至关重要。

Defects by analyzing the existing literature , and with their new futures markets , this paper considers reasonable to build dynamic hedge ratio calculation model is essential .

介绍组合证券保险及其基本方法，详细分析我国目前唯一可行的方法&利用动态套期保值创造合成期权。

The concept and basic method of portfolio insurance are introduced . The only possible solution in present China & to use dynamic hedging to create synthetic options is introduced in detail .

第四章中对套期保值率进行了理论和模型推导，并且分析了套期保值率的计算和估计模型，最后介绍了动态套期保值中的最优套期保值率的估计模型。

In chapter 4 , we deduced the model and analyzed the hedging ratio and estimating model , and then introduced optimal hedging ration valuation model which is subject to categories of dynamic hedging .

在标的资产价格服从带有随机方差几何布朗运动的非完全市场假设条件下，应用随机微分对策方法，研究与标的资产有关的欧式期权的动态套期保值策略问题。

The dynamic hedging problem for European options is studied by applying stochastic differential game method , under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility .

本文是对基于动态的套期保值比率的计算模型进行修正。

In this paper , we will use the modified model which is based on dynamic hedge ratio model .

这些对策主要包括：降低运输费用、运用动态追踪套期保值方法、增强大豆补贴政策的稳定性和丰富期货合约的品种等。

The solutions contain decreasing the transportation cost , using dynamic hedging methods , improving the certainly of soybean subsidy policy and enriching the contract .

并且企业在进行相应套期保值操作时，不应只局限于静态的套期保值方式，应结合动态的套期保值方式进行套期保值操作。

Meanwhile , enterprises in the corresponding hedging operation , should not be confined static hedging approach and should be combined with the dynamic hedging approach to hedging operations .

基于动态规划的套期保值策略研究

Hedge Strategy Based on Dynamic Programming

构建一个最优动态汇率风险套期保值理论模型，并将其套期保值效率与静态策略进行实证对比。

Optimal dynamic hedging of exchange rate risk is modeled and the hedging effectiveness of the dynamic and static strategies is compared .