Dissertation > Excellent graduate degree dissertation topics show

Study on Dynamic Hedging Strategy Based on Multivariate Stochastic Volatility Model

Author: ZhangHongXi
Tutor: ZhouYing
School: Dalian University of Technology
Course: Accounting
Keywords: Dynamic Hedging DC-MSV model Minimum variance hedge ratio
CLC: F713.35
Type: Master's thesis
Year: 2008
Downloads: 169
Quote: 5
Read: Download Dissertation

Abstract


An important function of the futures market is to avoid price risk . Hedgers give some compensation to the transfer of risk to those speculators willing to take risks . The hedging the core of the problem is the determination of the optimal hedge ratio . Select a a reasonable hedging model to determine the optimal hedge ratio , hedging effect can be improved effectively circumvent the spot price risk. This paper is divided into five chapters . The first chapter analyzes the significance of the topic of the paper , the progress and shortcomings of existing research , the research framework and main content . The second chapter is a review of the existing hedging theory and three types of commonly used model . The third chapter is the theoretical study of dynamic hedging model based on dynamic correlation coefficient multivariate random fluctuations ( referred to as the DC-MSV) . Chapter DC-MSV - based dynamic hedging model empirical and comparative study with three commonly used model . Based on the characteristics of random fluctuations of the spot and futures prices , the introduction of a new dynamic correlation coefficient , DC-MSV - based dynamic hedging model . The article 's main innovation is the DC-MSV model to estimate the dynamic hedge ratio . First, the specific characteristics of hedge ratio with time-varying characteristics of the standard deviation of the yield function reveals the time-varying characteristics of the optimal hedge ratio . The second is through the establishment of a function of the yield correlation coefficient with time-varying characteristics of DC-MSV model reveals promote asset price volatility factors to estimate the cross - correlation of asset volatility . Third , empirical studies have shown that the model of the article is better than the popular existing hedging model . Articles empirical research through the establishment of a dynamic hedging strategy than copper spot and futures - based minimum variance hedge hedging models , the results show that the article in the sample period and sample hedging effect for the period are significantly better than Na (?) ve, OLS and GARCH hedging strategy .

Related Dissertations

  1. Dynamic Hedge Ratio Based on CVaR,F830.9
  2. The Dynamic Hedging study of the CSI 300 index futures,F832.51
  3. A Study of Pricing Model and Hedging Strategy of Average-style Reset Call Options,F224
  4. A Study on Hedging Strategies of Securitization Derivatives of Life Insurance Company,F224
  5. Dynamic hedging strategy simulation testing and application in China,F832.5
  6. Research on the Optimal Hedging Model of Futures Based on Cost of Carry Theory,F224
  7. Modified Black-Scholes Formula and Dynamic Hedging Strategy,F830.9
  8. ETF based on the CSI 300 index futures hedging research,F224
  9. Forwards and futures to hedge the risk of foreign assets in the comparison,F713.35
  10. Research of Commodity Index Which Based on Dynamic Adaptive Hedonic Model,F713.35
  11. Association Analysis of Speculation and International Crude Oil Price Fluctuation,F713.35
  12. Research in World Crude Oil Price and Its Factors,F713.35;F224
  13. A Study on Risk Spillover Effect of Copper Futures Between LME and SHFE,F713.35;F724.5
  14. Stocks, Basis and Volatility,F713.35
  15. An Empirical Study of the Convenience Yield in the Second Phase of the EU ETS,F832.5;F713.35
  16. International crude oil tanker freight rates and the spot price of Relationship,F713.35
  17. The Study of the Relationship between the Worldindustrial Production and Copper Future Price in LME Based on STAR Model,F414;F713.35
  18. Research on Multifractal Characteristics of Oil Futures Market and Its Relevant Problems,F713.35;F416.22
  19. An Empirical Study of the pass-through effect of the Sino-US Indian gold futures prices,F713.35;F224
  20. Study on the Formation Mechanism of Agricultural Products Price in Futures Market,F713.35

CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Futures Trading
© 2012 www.DissertationTopic.Net  Mobile