股指期货套保与套利策略研究-概率论与数理统计专业论文.docxVIP

华 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Stock index futures has been as more and more used for risk management tools, it was as early as first introduced in 1982 after the Kansas City exchange 30 years ago. In April 16, 2010, China first Stock Index Futures - the Shanghai and Shenzhen 300 stock index futures was introduced, there are already more than a year. This paper is studied in stock index futures hedging and arbitrage strategies, the theory of capital market issues in the forefront of recent research is very active, it has great practical significance. The available literature has accumulated a number of theoretical tools and mathematical model, we fully learn the achievements of these as a basis to start a fairly creative independent research. Stock index futures, as one kind of futures, is mainly used in hedging and arbitrage. For these two aspects, I will make a systematic exposition in this article. This total is divided into four chapters, as follows: In the first, I will mainly introduce the stock index futures’ development and something about Chinas CSI 300 Index futures, Including the composition of the constituent stocks in Shanghai and Shenzhen 300, and the proportion of problems in various industries; In the second, through analysis the process of hedging ratio, I will summarize the model, and give the empirical analysis of the hedging process, Mainly the ratio of outstanding positions ; In the third, I will study the period of term arbitrage and cross-arbitrage respectively, including the arbitrage model, the determination of no-arbitrage interval, the opening positions. And the fund management and risk management should be carried out in the arbitrage. In this chapter, I will combining the financial and computer, using a combination of C language built on the spot, and respectively empirical analysis the term arbitrage, cross period arbitrage and fund management. In the forth, it introduces the summary and structure of this article, also the im