【作者】 王宝森；

【导师】 郑丕谔；

【作者基本信息】 天津大学 ， 金融工程， 2004， 博士

【摘要】 本文基于无套利理论对股票指数期货进行定价，给出了股票指数期货实际的无套利数学模型，根据该模型可得出:套利者应该根据自身的套利成本判断是否有套利机会，在进行套利交易时应该灵活地运用本文给出的套利交易的变形策略，使套利交易收益更高。 本文利用多智能体系统不确定性结论合成方法(MABM)，将股票指数期货套期保值最小风险保值比率计算的历史数据分析法和预测法进行了综合处理，进而提高股指期货最小风险保值比率的可靠性。 基于资本资产的定价模型建立由 ? 风险溢价、基差风险溢价和系统风险溢价三部分构成的股票指数期货套期保值原理数学模型，该模型的运用考虑在规避掉系统风险的前提下，如何使套期保值利润最大化,该模型不仅从本质上反映套期保值实际意义，而且还是传统套期保值理论与现代组合投资套期保值理论的有机结合。 本文采用了 BP 人工神经网络方法，对股票指数期货投机交易中的期货合约价格进行预测，并经过实证得到比较满意的结果。 运用 VaR 技术测量了美国 S&P500 股指期货的市场风险，得出在正常市场条件下，监管部门和交易者可以根据日 VaR 值来调整监管策略和风险资本金的准备率,为我国将来推出股票指数期货交易提供一套有效的风险度量的方法。 根据对其他国家和地区股票指数期货监管模式的优劣分析并结合我国的特点,本文构建了我国股票指数期货市场应该采用的一元三级监管制度及其监管措施，为我国进行股票指数期货交易的风险管理进行了前瞻性的研究。更多还原

【Abstract】 Stock index futures pricing by no- arbitrage theory and an actual no- arbitragemathematical model of stock index futures was given in this dissertation, Arbitragershould find out whether there are some opportunities according to their arbitrage cost.To get a maximal income they should use transformative arbitrage strategy flexiblywhich was given in the dissertation. The Multi-Aptitude Body Uncertain Composed Methods are used to deal withthe historical data and forecast ways in which the minimum variance hedge ratio iscalculated synthetically，in order to foster calculational reliability of the minimumvariance hedge ratio in hedging of stock index futures The mathematical hedging model which is consists of ? risk premium, basis riskpremium and systematic risk premium is built based on Capital Assets Price Model.The model is used to increase income under the condition which a systematic risk isreduced, not only the model reflects the actual meaning of hedging of stock indexfutures ,but also combines conventional hedging theory and modern combinatorialhedging theory. The BP neural networks method are introduced to forecast futures price in aspeculating trade of stock index futures and satisfactory results are obtained inempirical studies. VaR is used to measure the market risk of America S&P500 stock index futuresand a conclusion is got that supervisor and trader can adjust supervision strategyand provision of risk capital according to daily Varvalue. The study gives a riskmanagement tool which can be used when the stock index futures are developedin future in our country. According to the analysis of advantage and disadvantage of stock indexfutures supervision mechanism in other countries,one-unit three-level supervisionmechanism and measures were established and risk management was studied inadvance in our stock index futures market.更多还原