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Forwards and futures to hedge the risk of foreign assets in the comparison

Author: CaoJianHua
Tutor: WangGuiLan
School: Shanghai Jiaotong University
Course: Probability Theory and Mathematical Statistics
Keywords: Forward contracts Futures contracts Risk Hedge Risk-neutral pricing
CLC: F713.35
Type: Master's thesis
Year: 2011
Downloads: 45
Quote: 0
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Abstract


The financial internationalization promotes the transfer of capital in the international. At present, many countries in the financial industry has become the offshore finance or outside the financial sector and completely international. Output can increase the marginal efficiency of capital, capital surplus capital to seek for high quality in return. Capital output at the same time, also faces is more complex than domestic single market investment risk. These risks include currency risk and investment target price volatility risk. Forward at the beginning of the design of these two kinds of derivatives and futures to hedge risk. This article begin from investing abroad precious metals market QDII fund, first introduced the risk faced by the product. Then, domestic forward rate model is established. Between the two countries exchange rate model and the foreign market the price of gold. Based on this constructs the risk neutral measure, and give the price of futures contracts and forward contracts. In portfolio value fluctuations, under the principle of minimum respectively calculated using two kinds of positions needed for the contract. Finally, considering the risks and benefits of contract selection strategy under different circumstances. The article also has carried on the empirical demonstration. By means of the theory of historical data on Empirical evidence shows that in terms of hedge risk, strategy is effective.

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CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Futures Trading
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