中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--衍生证券
已发表论文
2012-06-01 第5卷 第1期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

基于Copula函数的下偏矩最优套期保值效率测度方法的实证研究

戴晓凤 梁巨方 湖南大学金融与统计学院

On the Pricing and Hedging of Volatility-linked Notes

Wei FAN Hong Yuan Securities Co. LtdDepartment of Investment Bank
Zhufei YAN University BocconiISD

A study on Chinese Yuan index and its Derivatives

Lanfen Liu BeiHang UniversitySchool of Economics and Management
Liyan Han BeiHang UniversitySchool of Economics and Management

Is warrant really a derivative? Evidence from the Chinese warrant market

Eric C. Chang The University of Hong KongSchool of Economics and Finance
Lei Shi The University of Hong KongSchool of Economics and Finance
Jin E. Zhang The University of Hong KongSchool of Economics and Finance

Alchemy in the 21st Century: Hedging with Gold Futures

Caihong Xu Stockholm UniversitySchool of Business
Lars Nordén Stockholm UniversitySchool of Business
Bj?rn Hagstr?mer Stockholm UniversitySchool of Business


论文摘要

基于Copula函数的下偏矩最优套期保值效率测度方法的实证研究

戴晓凤 梁巨方 湖南大学金融与统计学院

由于下偏矩测度方法具有明显优于最小方差风险度量方法的特征,因此是更为合理的套期保值效率测度准则。本文针对已有的计算最小下偏矩套期保值比率的非参数方法与参数方法存在的局限性问题,提出使用时变Copula函数来估计现货与期货收益率的联合密度函数,然后通过数值方法计算最小下偏矩套期保值比率的新方法。并且运用上海期货交易所交易的铜期货合约价格与上海金属网公布的铜现货价格数据进行实证检验,发现使用具有随时间变化的相关系数的Copula函数,与非参数方法相比,可以得到更小下偏矩的套期保值率。

On the Pricing and Hedging of Volatility-linked Notes

Wei FAN Hong Yuan Securities Co. LtdDepartment of Investment Bank
Zhufei YAN University BocconiISD

This paper investigates the pricing and hedging of a new volatility derivative in Mainland China, called volatility-linked notes. Firstly, we describe its underlying volatility-historical volatility of SHSCI and its specific clauses, then calibrate the underlying volatility using GARCH(1,1). It finds that the mean-reverting phenomenon of SHSCI volatility exists. Secondly, we propose two pricing model using replicated method and Monte-Carlo simulation, respectively. It works out similar outcomes. Finally, a Delta-hedging scheme of the volatility-linked notes is shown, however, the estimated result is not satisfactory as the absence of more efficient hedging instruments like index future.

A study on Chinese Yuan index and its Derivatives

Lanfen Liu BeiHang UniversitySchool of Economics and Management
Liyan Han BeiHang UniversitySchool of Economics and Management

Following the successful experience of USDX, this paper gives a profile of how to design a foreign exchange index for China and elaborates three functions and implications of CNYX in foreign exchange market. This paper also demonstrate the models to get the equilibrium price of CNYX derivatives. CNYX derivatives provide traders and hedgers with a tool for avoiding risk and give a new approach for China’s large foreign reserve to optimize its structure to prevent the devaluation.

Is warrant really a derivative? Evidence from the Chinese warrant market

Eric C. Chang The University of Hong KongSchool of Economics and Finance
Lei Shi The University of Hong KongSchool of Economics and Finance
Jin E. Zhang The University of Hong KongSchool of Economics and Finance

This paper first studies the Chinese warrant market that has been developing since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risk.

Alchemy in the 21st Century: Hedging with Gold Futures

Caihong Xu Stockholm UniversitySchool of Business
Lars Nordén Stockholm UniversitySchool of Business
Bj?rn Hagstr?mer Stockholm UniversitySchool of Business

Recently, the Shanghai Futures Exchange (SHFE) introduced gold futures trading in China. This paper is the first to study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that hedging with gold futures reduces the variance of a hedged gold spot position by about 88% in its first two years of existence. During the second half of 2008, however, when the global financial crisis escalated, the variance reduction dropped to about 70%. Overall, the new Chinese gold futures prove to be attractive and well-needed hedging vehicles for domestic Chinese gold producers, refiners, consumers and investors.


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