套期

套期保值与基差风险GPS双差基集的生成

Hedge and Basis Risk The Construction of Basis Sets of GPS Double Differences

期货套期保值VaR风险的最优期货量算法设计

Futures-based hedge risk VaR optimal design algorithm futures volume

期权套期保值的非线性H∞控制问题

Nonlinear H ∞ Control Strategy of Option Hedging

应用于外汇套期保值的所谓“触碰失效期权”（knockoutoption）便是如此。

This is true of so-called knockout options , used in currency hedging .

基于误差修正和GARCH模型的铜套期保值比率研究

The Study of Copper Hedge Ratios Based on ECM and GARCH Model

基于Copula的最小方差套期保值比率

Minimum variance hedge ratio based on Copula

运用多元GARCH模型估计分开对冲策略和同时对冲策略下的最优套期保值比率。

Optimal hedge ratios for separate and simultaneous hedging strategies are estimated using the multivariate GARCH model .

利率期货（IRF）是众多金融期货形式中的一种，套期保值是利率期货最基本的市场功能。

Interest rate futures is one kind of many financial futures forms .

并且在制定套期保值策略时，由于条件的套期保值策略充分利用了最新的信息，运用GARCH误差修正模型显得比其它套期保值技术更加优越。

Conditional hedging consistently outperforms other hedging strategies because the GARCH error-correction models utilize the most up-dated information when making hedging decisions .

本文通过介绍Blank的套期保值短期资金需求量模型，给出了套期保值长期资金需求量的模型，并简要的分析了套期保值资金的需求量对套期保值策略的影响。

By introducing Blank ss model of short-term hedging capital requirements , the author tries to establish a long-term hedging capital requirements , and analyzes how the capital requirements affects the hedge strategy .

若现货和期货价格变动完全一致，VaR最优套期比等于传统套期比。

Furthermore , the VaR hedge ratio is equal to traditional hedge ratio under the hypothesis of the same direction and magnitude of spot and futures ' price fluctuation and perfect positive correlation .

汇丰证券（HSBCSecurities）的汽车分析师克里斯•里克特（ChrisRichter）说，各大制造商已“采取了足够的安全措施，对远期汇率风险的套期保值措施已覆盖了全年”，以避免盈利滑坡。

Chris Richter , car analyst at HSBC Securities , said the major manufacturers had " built in enough safety and hedged enough forward into the year " to avoid an earnings downgrade .

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。

By a Generalized Clark Formula , this paper provides a hedging strategy for the Asian option calculated with geometric averaging . The hedging strategy is uncomplicated and easy to operate .

实证结果表明，CHD套期保值模型优于最小方差套期保值模型，能够为对冲不同的尾部风险确定不同的最优套期保值比，有利于降低套期保值成本，实现较好的尾部风险套期保值效果。

Empirical studies show that the maximum-CHD hedging model outperforms the minimum-variance hedging model and can offer different optimal hedge ratios for hedging different tail risk , being helpful to reduce hedging cost and achieve better hedging performance .

航运相关参与者可以通过把握国际干散货FFA市场与即期市场的相关性及波动性的相关规律，为制定套期保值与市场交易策略提供-定的参考。

Through the relevant laws to grasp the correlation and volatility of bulk FFA market and the spot market , the international dry , help participants to provide certain reference for shipping .

通过GARCH模型估算了COB电力期货合约的最佳套期保值比率，最后阐述了建立电力期货市场对我国电力工业改革的现实意义。

Using a GARCH specification , I estimate minimum variance hedge ratios for electricity futures . Finally , I expound the reality significance of the electricity futures market in the reform of electricity market .

多种用于估计最优套期保值比率的方法中，基于OLS模型所获得的套期保值策略是最优的，BEC-GARCH模型略差于OLS模型，两种模型的保值效果基本在同一水平上。

The optimal hedge ratio has been estimated in several ways , and the hedging strategy based on the OLS model is the optimal followed by the BEC-GARCH model .

在实证研究过程中，首先通过简单套期保值模型、OLS模型、ECM模型和GARCH模型得出不同的套期保值比率，利用HE指标对这四个模型得出的不同套期保值比率进行了套保绩效评价。

In the process of empirical research , first of all , the article arrives at different hedging ratios through the simple hedging model , the OLS model , the ECM model and the GARCH model and evaluates the different hedging ratios through the hedging efficiency index .

本文将重点探讨ETFs产品为什么能够用以套期保值，并讨论其套期保值操作的应用：①在规避个股系统性风险的情况下如何进行个股的非系统性风险投机；

The purpose of this article is to explain why ETFs can be treated as a tool for hedging , and to discuss its applications & The first one is how to speculate in unique risk of a corporate stock when eliminating its systematic risk ;

整个完整的套期保值绩效评估体系的构建也参考了之前文献的内容，尤其是CCC模型常常使用的方法，以此更加确认DCC模型相对CCC模型的优越，以及整个评估体系的合理化。

The complete hedging performance evaluation system is also reference to the contents of the previous literature , especially the CCC model is often used method is more recognized as a relatively CCC DCC model is the superior model , and the rationalization of the evaluation system .

对用于套期保值的期汇合约，企业是打算持有到到期日的，按IASC的倾向意见一般是按初期确认的公允价值来计量，这实际上是在报告日仍然保持历史成本的计量属性。

To use as hedge forward contract , enterprise are going to possess to the end , IASC 's opinion refer to compute as spot evenhanded value , this is keeping diachronic costing computation on the report day as fact .

同时在HARA效用函数下分析该投资问题的性质，发现在不同条件下，该投资策略可以退化为无约束最优投资策略、基于欧式看跌期权及两资产交换期权的套期保值策略。

Meanwhile , by the analysis of the characteristics of this investment problem with HARA utility function , it is concluded that this investment strategy can be simplified as an unconstrained optimal investment strategy and a hedge strategy based on the European put-option and the two-asset exchange option .

针对中国股票市场波动幅度大的特征，文章运用股指期货对上证50ETF和深证100ETF进行了套期保值实证研究。

Aiming at the characteristics of China stock market fluctuations ' varying within wide limits , this paper takes Shanghai 50 ETF and Shenzhen 100 ETF for the hedge empirical study with the stock index futures .

DCC模型是在CCC模型基础上改进而来的，DCC模型增加了相关系数时变的特征，但在基于效用最大化的比较中，基于DCC-GARCH模型估计的套期保值比率的效用并不如CCC-GARCH模型。

DCC model is based on the improvement of the CCC model comes , DCC model increased the correlation coefficient of time-varying characteristics , but based on the comparison of utility maximization , based on DCC-GARCH model to estimate the effectiveness of the hedge ratio is not as CCC-GARCH model .

本文首先使用Nelson-Siegel模型拟合出2002年沪深交易所国债的利率期限结构，然后运用2因子、3因子主成分法及久期、凸度法对交易所上市的债券进行模拟套期保值。

By using Nelson - Siegel model , the paper derives the term structures for bonds in Shanghai & Shenzhen Security Exchange in 2002 , and use two - and three - principal components as well as traditional duration and convexity to simulate a hedging of portfolios .

离散时间美式期权套期及停时分析

Hedging and Stopping-time Analysis About an American Option with Discrete time

期货套期保值的多期多目标规划模型

A Multi - period Multi-objective Programming Model for Futures Hedging Strategy

碳市场最优套期保值比低于一般市场。

The optimal hedge ratio is smaller than the general market .

利用交叉套期保值防范价格风险

On Guarding against Price Risks through the Use of Cross Hedging

我国商业银行外汇套期保值策略研究

A Study of FX Hedging Strategies of China 's Commercial Banking