【作者】 高鹏；

【导师】 嵇少林；

【作者基本信息】 山东大学 ， 概率论与数理统计， 2013， 硕士

【摘要】 随着我国经济发展,国债规模不断扩大,相应的避险需求也益强烈。而风险对冲所对应的衍生产品发展相对滞后。2012年我国开始尝试国债期货仿真交易,并计划正式推出国债期货产品。相对于商品期货,国债期货合约本身有其特殊的复杂性,尤其是合约本身内含的三个选择权：品种选择权,交割日选择权和万能牌规则。内含选择权的存在,导致国债期货在定价以及运用其进行风险对冲时,需要对其模型和策略有针对性地调整。本文从理论和实证角度探究了国债期货内含选择权,为国债期货交易和风险对冲提供了很好的参考。文章共分为三部分,第一部分介绍了我国国债期货的历史和现状,在与国际成熟市场比较的基础上,说明国债期货对我国国债现货市场的必要性和发展的可行性；第二部分首先讨论了国债期货内含选择权的成因,并进一步考察这些因素对期货价值的影响,然后采用两种方式对内含选择权估值;第三部分通过引入效用函数和GARCH方法,提出了一种优化的风险对冲策略。更多还原

【Abstract】 With the development of the economy of China, the scale of Treasury bond has seen a great expansion. As a result, the requirement for risk hedging is getting stronger and stronger, while the development of the corresponding derivatives is left far behind. In2012, the T-bond futures began the simulated trading in China and are expected to be implemented soon. Compared to commodity futures, the T-bond futures have its typical complexity, specially the options embedded in the contract:quality delivery option, delivery option and wild card play. These embedded options make it necessary to adjust the strategy when to price the futures and to hedge the risk. This article does both theoretical and empirical research on the embedded options and can provide a good reference for futures trading and risk hedging.The article is divided into3parts. The first part illustrates the history and the present situation of China T-bond futures. Compared with the ma-ture international market, the necessity and feasibility to develop the T-bond futures market in China are proved. The second part discusses the cause of the option embedded in the T-bond futures contract and their impact on the value of the futures, then the value of the options are estimated in two ways. The third part gives an improved strategy for risk hedging by introducing the utility function and GARCH models.更多还原