Dissertation > Excellent graduate degree dissertation topics show

The Pricing Theory of Stock Index Future and Empirical Research

Author: JiangTing
Tutor: WangGuoJing
School: Suzhou University
Course: Probability Theory and Mathematical Statistics
Keywords: Stock Index Future Brownian Motion Conversion of Probability Mea-sure Stochastic Interest Rate HJM Model
CLC: F832.5
Type: Master's thesis
Year: 2011
Downloads: 130
Quote: 0
Read: Download Dissertation

Abstract


After ten years of rapid development, China’s security market has now reached aconsiderable scale. Since China joined the WTO, and attempted to avoid systemic riskfor institutional investors, China has launched stock index future in April, 2010. Theintroduction of stock index future creates an enabling environment for reformation ofstate-owned enterprises, and it can a?ord a relatively fair investment opportunity forsmall and medium investors, besides it can correct the spot price. Therefore, stockindex future has epoch-making signi?cance in the Chinese ?nancial history.It’s well know that it’s a critically fundamental problem of pricing the stock indexfuture. In this paper, the HJM forward rate model has been introduced to the studyof stock index future, and we can set up and expand the price model. We assumethat Brownian Motion W1 andW2 have the correlation coe?cientρ,and we simplifythe model with the conversion of the risk-neutral probability measure ,classical no-arbitrage-theory of the HJM and the theory of martingale pricing, and ultimately weobtain the formula under the conditions of no arbitrage. Then we consider the presenceof transaction costs , taking the upper and lower bound and obtain stock index futurearbitrage-free interval. Taking di?erent long-term interest rate models into account,we simplify expressions of price. Finally, we use the domestic empirical data of stockindex futures market, looking for arbitrage opportunities within the sample interval.

Related Dissertations

  1. The Further Research on Some Properties of Schramm-Loewner Evolution,O211
  2. Study of Fractional Brownian Motion Based on HHT,O211.6
  3. Pricing of Exchange Options Based on the Fractional Brownian Motion,F830.9
  4. Options Pricing Based on Several Special Hurst Index,F830.9
  5. The Stability of One-Dimensional Stochastic Differential Equations,O211.63
  6. Blowup noise suppression and the impact on the dynamic behavior,O211.63
  7. Based on the risk of default interest rate swap sides Pricing Model,F224
  8. Structured Investment Products Pricing and empirical research,F830.91
  9. The Pricing Research of Several Types of Barrier Options,F830.9
  10. Markov process and its fine topology issues,O189.1
  11. Actuarial Approach reset option pricing,F224;F840
  12. Convergence of Numerical Solutions to Stochastic Population Equations,O175.2
  13. Large Deviation for Parameter Estimation in Linear Fractional Diffusion Process,O211.63
  14. The Pricing of Derivative Ecurities under Fractal Market,F830.91
  15. Risk Preference-Based Option Pricing in a Fractional Brownian Motion Environment,F830.9
  16. The Dividend Asian Option Pricing in Fractional Brownian Motion,F830.9
  17. The Pricing of Catastrophe Bonds Based on the Fractional Brownian Motion and Poisson Process,F842.6;F832.51
  18. Pricing Research of Options on Stock Index Futures,F830.9
  19. The Government Expenditure and Taxes of Stochastic Models for Continuous Time,F123;F812.42
  20. Research on Realistic Digital Lunar Surface Modeling Based on Lunar Characters,TP242
  21. Optimal Dynamic Protfolio Selection under Stock Price Process Subject to Fractional Brown Motion and Different Risk Measure,F830.91

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile