天氣衍生品定價及在我國的開發(fā).pdf

1、浙江大學(xué)經(jīng)濟學(xué)院碩士學(xué)位論文天氣衍生品定價及在我國的開發(fā)姓名：錢利明申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：鄒小芃20100530AbstractAstheproblemsofChina’Seconomysubjectedtotheweatherriskbecomeincreasinglyprominent，weatherderivatives，themosteffectivemethodinhedgingweatherrisk，are

2、becomingtheobjectthatChinaiseagertoapplyAndthetradingmarketofweatherderivativeshasbrightfutureHowtopriceweatherderivativesistheprimaryquestiontosolvetheproblemsofweatherderivativestradingThispapersummarizesthecurrentweat

3、herrisksituationChinaisfacingandanalyzesitsimpactonChinaseconomyOnthisbasis，itisnecessaryforChinatoapplyweatherderivativesThenintroducestheemergenceanddevelopmentoftheinternationalweatherderivativesmarketaswellascertainc

4、ontractstypeBycollectingthedailyaveragetemperaturedatafromJanuary1，1978toDecember31，2007ofHangZhou，thispaperanalyzesanddescribesthepricingoftemperature—basedindexderivativesextendingtheLucas(1978)modelofequilibriumpricin

5、gandtime—seriesmodelandanalyzesthecompactthatthemarketpriceofweatherriskhasonthepriceoftemperaturederivativesMoreoverthepricesforweatherderivativesofdifferenttypesarecalculatedunderdifferentriskaversionparametersFinallyt

6、hispaperhasarealisticconsiderationofChina。SapplyingweatherderivativesandanalyzesitsfeasibilityatthepresentstageThenmakesaspecificplanningforthefuturecontractandillustrateshowentitycompanieshedgingtheweatherriskthroughaca