CAJ | 학술논문

期货套期保值是利用期货规避现货交易风险的一种有效策略,投资者在具体操作过程中,需要通过数学模型求出最优期货量进行套期保值方案的设计.VaR套期保值模型是用风险价值来度量套期保值风险,并且使VaR风险达到最小确定最优期货量的数学模型.基于期货套期保值VaR风险的最优期货量的算法设计与实现,对相对庞大的期货数据价格进行数值分析,为确保模型算法的精确性,选用了数值分析领域广泛应用的Matlab作为实现语言.
기화투기보치시이용기화규피현화교역풍험적일충유효책략,투자자재구체조작과정중,수요통과수학모형구출최우기화량진행투기보치방안적설계.VaR투기보치모형시용풍험개치래도량투기보치풍험,병차사VaR풍험체도최소학정최우기화량적수학모형.기우기화투기보치VaR풍험적최우기화량적산법설계여실현,대상대방대적기화수거개격진행수치분석,위학보모형산법적정학성,선용료수치분석영역엄범응용적Matlab작위실현어언.
Futures hedging is the use of stock futures to avoid the risk of the transaction to be an effective strategy for investors in specific operations, through mathematical models to derive the optimal volume for futures hedging program design. VaR hedge the risk VaR model is used to measure the value of hedging risk, and to minimize the risk determine the optimal mathematical model of futures volume. VaR based on futures to hedge the risk of the optimal amount of the futures and algorithm designed to achieve, relative to the massive futures price data for numerical analysis, in order to ensure the accuracy of the model algorithm, selected in the field of numerical analysis widely used as MATLAB language.