对冲策略

运用多元GARCH模型估计分开对冲策略和同时对冲策略下的最优套期保值比率。

Optimal hedge ratios for separate and simultaneous hedging strategies are estimated using the multivariate GARCH model .

寿险公司证券化衍生产品对冲策略研究

A Study on Hedging Strategies of Securitization Derivatives of Life Insurance Company

通过运用离散时间下平均自融资和Delta对冲策略得出几何亚式期权定价公式。

By a mean-self-financing Delta-hedging argument in a discrete time setting , a geometric average Asian call option pricing formula is obtained .

本文中推导了基于上述对冲策略的VIX期货与VIX期权的对冲公式。

In this thesis , I derive hedging ratios of VIX future and VIX option under the above hedging strategy .

今年早些时候燃油价格高企以及对冲策略带来的破坏性影响都重创了它们的收益状况。

High fuel prices early this year and damaging hedging strategies hit earnings .

基于波动率指数的期权对冲策略研究

An option hedging strategy based on volatility index

最优保险对冲策略

The Hedging Strategies of Optimization in Insurance

之前他们所采用的对冲策略复杂且经常不奏效。

The old hedging strategies they had to employ were complex and often did not work .

对于如何缓和大宗商品价格波动影响的问题，教科书上的标准答案是采取对冲策略。

The textbook answer to the question of how to smooth commodity volatility is to hedge .

这类基金把投资高息货币策略和杠杆及对冲策略结合起来，并定期发放高额红利。

These combine investment in high yielding currencies with leverage and hedging strategies and pay regular and high dividends .

最后，针对我国不同行业的企业，本文提出了面对人民币长期升值的运作性对冲策略和建议。

Finally , in view of the enterprises in different sectors , the paper raised the relevant policy recommendations .

发行人在发行备兑权证之后，通常需要以各种各样的对冲策略对风险进行规避。

After the covered warrants were issued , the issuer had to use various strategies to hedge the risk exposed .

面对此种情形，贸易企业仅使用金融性对冲策略已难以规避风险。

Faced with such a situation , trade enterprises only use financial hedging strategies have been difficult to avoid the risk .

然后考虑到泊阿松跳过程带来的风险，又采用最小方差对冲策略将风险重新对冲，得到了期权定价方程。

Then , considering the risk bringed by Poisson jumps , the option pricing equation is gotten by minimal-variance hedging strategy .

在8月份，其它一些流动性不高的对冲策略，例如上市前私人股本投资和直接借贷，也都有不错的表现。

Some other illiquid hedge strategies , such as pre-float private equity investment and direct lending , also had a positive August .

发行商有很多对冲策略可供选择，包括向私人银行客户销售的结构性产品。

Issuing banks have a vast suite of hedging strategies at their disposal , including structured products sold to private banking clients .

第四章对日本跨国企业运作性对冲策略的经验进行了总结，并对我国企业汇率风险管理提出了四点对策建议。

In the forth section , it summarizes the experience of Japanese MNCs and give four-point suggestions to Chinese MNCs ' exchange rate risk management .

金融衍生品是一种重要的金融风险管理工具，利用金融衍生品进行风险管理的基本策略是对冲策略。

Financial derivatives are important financial risk management tools , and the strategy of using financial derivatives to manage risk can be called hedging strategies .

多数“正常”的价格关系和相关性被打破，这摧毁了投资集团的许多对冲策略。

Most " normal " price relationships and correlations broke down , in a manner which destroyed many of the hedging strategies of investment groups .

这些公司纷纷告诉投资者，它们采用的大宗商品对冲策略，将使它们大体上得以免受小麦、玉米和大麦价格飙涨的影响。

Companies have told investors that their commodity hedging strategies will largely insulate them from the effects of spiking wheat , corn and barley prices .

第二章分为两个部分，分别介绍了日本跨国企业采用运作性对冲策略的原因和主要采用的运作性对冲策略手段。

The second section is divided into two parts . It describes the reasons why Japanese MNCs use operational hedging strategies and the main means they use .

这些举措在一定程度上是为了回应做空行为的大幅增加，因为卖空交易已从一种单纯的对冲策略转变成一种成熟的投资行为。

The moves come partly in response to a sharp increase in the practice as it has shifted from being merely a hedging strategy to a full-fledged investment activity .

由于成功的对冲策略抵消了按揭相关证券的损失，雷曼和高盛都挺过了这场信贷危机，境况远远好于一些竞争对手。

Both Lehman and Goldman have come through the credit squeeze in far better shape than some of their competitors , as successful hedging strategies offset losses on mortgage-related securities .

今年，墨西哥成功实施了一项锁定每桶70美元的对冲策略，从今年1月至6月的低油价行情中净赚逾50亿美元。

The move follows a successful hedging strategy at $ 70 this year which netted Mexico more than $ 5bn on the back of low oil prices between January and June .

本文主要考虑在离散时间和具有成比例交易成本的金融市场中期权的最优对冲策略问题。在具有交易成本时，超复制策略可能优于复制策略。

In the paper , using auxiliary martingales , we obtain the lower bound for super-replication cost of American and European option in a discrete time financial market with proportional transaction costs .

利用随机动态规划法，本文得到基本资产不可交易时实物期权的最优风险对冲策略，在一定条件下还可以得到近似定价。

In this paper , with the dynamic programming approach , the optimal hedging strategy of real option is obtained , and its approximation valuation can also be gained under certain condition .

本文主要利用Schweizer[3]引入的不完全市场的局部风险最小理论确定单位关联人寿保险合同的局部风险最小对冲策略。

In this paper , the theory of local risk minimization for incomplete markets introduced by Schweizer ( 1991 ) is used to determine locally risk minimizing hedging strategies for unit linked life insurance contracts .

不可否认，一些对冲基金策略似乎发挥了作用。

Admittedly , some hedge fund strategies appear to have held up .

在利率是随机的情况下，通过概率测度变换来确定权益连结保险合同的局部风险最小对冲交易策略。

We first determine locally risk-minimizing trading strategies by a change of probability measure .

某些对冲基金策略的偏斜度和峰度特性，肯定会比其它策略更有吸引力。

The skewness and kurtosis properties of some hedge fund strategies are definitely more attractive than others .