天气衍生产品及其定价
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摘要
天气对很多行业都有重要影响。一般的天气风险是指除了飓风、洪灾等巨大灾害之外由于温度、湿度、降雨、刮风等原因造成的相关企业收入不确定性的风险。传统的风险管理策略不能很好地规避此类风险,而天气衍生品作为一种新型的风险管理工具,目前在国际市场上被越来越广泛地应用于天气风险的管理。
天气衍生品按其基础指数的不同,可以分为气温指数、降雨指数、降雪指数等类型,其价值就取决于这些基础指数的数值,可以采用天气期货、天气期权、天气互换等金融形式。
本文在借鉴国内外研究天气衍生品定价的文献基础上,主要参照均值回复模型,考虑气温的季节变化和长期趋势,建立反映气温变化的随机模型,应用1987至2006年上海日平均气温对模型参数进行估计,构建温度的行径模式并用蒙特卡罗模拟法模拟其未来可能的随机过程。接着考虑为一家假设中的农产品生产企业设计GDDs基础指数,利用模拟多次得出的温度序列计算GDDs互换衍生品的价格,由此为其建议天气风险套期保值策略,以规避企业遇到的气温变化引起的财务风险。
天气衍生品在我国存在巨大的市场需求,天气风险市场所需的气象资料数据也逐渐可得。通过本文的分析可以看出在这种背景下,适时推出天气衍生产品具有现实的可行性,也有利于相关企业对冲天气风险,完善我国金融市场投资层次。
The weather has an important impact on many industries.General weather risk is that excepting hurricanes, floods and other enormous disasters, the risk of uncertainty related to business income due to the temperature, humidity, rain, wind and other causes . Traditional risk management strategies can not be good to avoid such risks. As a new risk management tools ,Weather derivatives can be used more widely in weather risk management on the international market at present.
Based on their different underlying index, Weather derivatives can be divided into temperature index, the index of rainfall, snowfall and other types of index. Its value will depend on the numerical value of the underlying index and it can take the form of weather futures,weather options, swaps and other financial style.
On the basis of the literature about weather derivatives pricing at home and abroad ,this paper used the mean-reversion model as a source of reference, considered the seasonal changes and long-term trend of the temperature , established the stochastic model reflected the temperature changes, applied the average temperature of Shanghai from 1987 to 2006 for estimating the model parameters , constructed the acts of temperature patterns and simulated its possible future random process with Monte Carlo simulation,and then considered designing GDDs for a hypothetical agricultural production enterprises , comed to the use of repeatedly simulated temperature sequence to calculate the derivatives GDDs swap prices, proposaled the weather risk hedging strategy to circumvent the financial risk because of the changing temperature encountered by enterprises.
There is a huge market demand for weather derivatives in China,and meteorological information and data have gradually available for weather risk market. Through the analysis of this paper can be seen that launching rhe weather derivative products timely has a practical feasibility on this background, and it also beneficial to hedge the weather risks for related businesses ,to improve the level of investment in China's financial market.
天气衍生品按其基础指数的不同,可以分为气温指数、降雨指数、降雪指数等类型,其价值就取决于这些基础指数的数值,可以采用天气期货、天气期权、天气互换等金融形式。
本文在借鉴国内外研究天气衍生品定价的文献基础上,主要参照均值回复模型,考虑气温的季节变化和长期趋势,建立反映气温变化的随机模型,应用1987至2006年上海日平均气温对模型参数进行估计,构建温度的行径模式并用蒙特卡罗模拟法模拟其未来可能的随机过程。接着考虑为一家假设中的农产品生产企业设计GDDs基础指数,利用模拟多次得出的温度序列计算GDDs互换衍生品的价格,由此为其建议天气风险套期保值策略,以规避企业遇到的气温变化引起的财务风险。
天气衍生品在我国存在巨大的市场需求,天气风险市场所需的气象资料数据也逐渐可得。通过本文的分析可以看出在这种背景下,适时推出天气衍生产品具有现实的可行性,也有利于相关企业对冲天气风险,完善我国金融市场投资层次。
The weather has an important impact on many industries.General weather risk is that excepting hurricanes, floods and other enormous disasters, the risk of uncertainty related to business income due to the temperature, humidity, rain, wind and other causes . Traditional risk management strategies can not be good to avoid such risks. As a new risk management tools ,Weather derivatives can be used more widely in weather risk management on the international market at present.
Based on their different underlying index, Weather derivatives can be divided into temperature index, the index of rainfall, snowfall and other types of index. Its value will depend on the numerical value of the underlying index and it can take the form of weather futures,weather options, swaps and other financial style.
On the basis of the literature about weather derivatives pricing at home and abroad ,this paper used the mean-reversion model as a source of reference, considered the seasonal changes and long-term trend of the temperature , established the stochastic model reflected the temperature changes, applied the average temperature of Shanghai from 1987 to 2006 for estimating the model parameters , constructed the acts of temperature patterns and simulated its possible future random process with Monte Carlo simulation,and then considered designing GDDs for a hypothetical agricultural production enterprises , comed to the use of repeatedly simulated temperature sequence to calculate the derivatives GDDs swap prices, proposaled the weather risk hedging strategy to circumvent the financial risk because of the changing temperature encountered by enterprises.
There is a huge market demand for weather derivatives in China,and meteorological information and data have gradually available for weather risk market. Through the analysis of this paper can be seen that launching rhe weather derivative products timely has a practical feasibility on this background, and it also beneficial to hedge the weather risks for related businesses ,to improve the level of investment in China's financial market.
引文
[1] Alaton P,Djehiche B,Stillberge D.On modeling and pricing weather derivatives[J].Applied Mathematical Finance,2002.09
[2]Benth F E,Saltyr B J. Stochastic modeling of temperature variations with a view toward weather derivatives [J]. Applied Mathematical Finance,2005.12
[3]Bhowan A. Temperature derivatives[R]. School of Computational and Applied Mathematics,University of Wiwatersrand,2003
[4]Brockett,P.L.,M.Wang,and C.Yang.Basis Risk and Hedging Effectiveness of Weather Derivatives[R].University of Texas at Austin,2003
[5]Cao,M.,and J.Wei.Pricing Weather Derivatives:An Equilibrium Approach[R].The Rotman Graduate School of Management,The University of Toronto,2003
[6]Davis,M.Pricing Weather Derivatives by Marginal Value[J] .Quantitative Finance,2001.01
[7]Deng,J.Barnett,V.Vedenov and W.West.Hedging Dairy Production Losses Using Weather-based Index Insurance[J].Agricultural Economics,2007.03
[8]Diebold,F.X.and S.Campbell.Weather Forecasting for Weather Derivatives [R] .University of Pennsylvania,2001
[9]Dischel,B. At last:A Model for Weather Risk[J].Energy and Power Risk Management, 1998
[10]Dornier F,Querel M.Pricing weather derivatives by marginal value[J].Quantitative Finance,2001.01
[11]Fred Espen Benth,Steen Koekebakker.Putting a Price on Temperature [J]. Scandinavian Journal of Statistics,2007
[12]Garman,M.,C.Blanco and R.Erickson.Weather Derivatives:Instruments and Pricing Issues[J].Financial Engineering Associates,2000
[13]Lucas R E.Asset prices in an exchange economy[J].Econometrica,1978
[14]J.Richards,R.Manfredo and R.Sanders.Pricing Weather Derivatives [J]. Agricultural Economics,2004.11
[15]Platen,E.West,J.A Fair Pricing Approach to Weather Derivatives[J].Asia-Pac.Financial Markets,2005.11
[16]Turvey,C.A Pricing Model for Degree-Day Weather Options[R].Department of Agricultural Economics and Business,University of Guelph,Guelph,Ontario,2001.07
[17]Zeng,L.Pricing weather derivatives[J].Journal of Risk Finance,2000.01
[18]埃里克.班克斯著 李国华译.天气风险管理:市场、产品和应用[M].北京:经济管理出版社,2004
[19]曹雪琴.金融一体化中的国际保险:产品创新与运用研究[M].上海:学林出版社,2005
[20]陈靖.天气期货在中国的开发与应用[J].上海金融2004.12
[21]哈林顿、尼豪斯著陈秉正等译.风险管理与保险[M].北京:清华大学出版社,2005
[22]李黎、张羽.农业自然风险的金融管理[J].证券市场导报2006.03
[23]李一智.期货与期权教程[M].北京:清华大学出版社,2003
[24]刘国光.天气预测与天气衍生产品定价研究[J].预测2006.06
[25]刘海龙.论天气衍生品在我国的开发与应用[D].四川:西南财经大学2007
[26]刘元元.天气类衍生产品与金融衍生工具功能的再认识[J].国际金融研究2005.08
[27]齐绍洲、凌棱.美国天气衍生金融工具模型及其应用[J].证券市场导报2003.11
[28]余沪荣、姚从容.天气衍生产品及在我国的应用前景展望[J].绿色经济2005.01
[29]张晓峒.计量经济学软件Eviews使用指南[M].天津:南开大学出版社,2004
[30]郑秀琴、冯利平、刘荣花.冬小麦产量形成模拟模型研究[J].作物学报2006.02
[31]周开利、邓春晖.matlab7.0基础及其应用教程[M].北京:北京大学出版社,2007
[2]Benth F E,Saltyr B J. Stochastic modeling of temperature variations with a view toward weather derivatives [J]. Applied Mathematical Finance,2005.12
[3]Bhowan A. Temperature derivatives[R]. School of Computational and Applied Mathematics,University of Wiwatersrand,2003
[4]Brockett,P.L.,M.Wang,and C.Yang.Basis Risk and Hedging Effectiveness of Weather Derivatives[R].University of Texas at Austin,2003
[5]Cao,M.,and J.Wei.Pricing Weather Derivatives:An Equilibrium Approach[R].The Rotman Graduate School of Management,The University of Toronto,2003
[6]Davis,M.Pricing Weather Derivatives by Marginal Value[J] .Quantitative Finance,2001.01
[7]Deng,J.Barnett,V.Vedenov and W.West.Hedging Dairy Production Losses Using Weather-based Index Insurance[J].Agricultural Economics,2007.03
[8]Diebold,F.X.and S.Campbell.Weather Forecasting for Weather Derivatives [R] .University of Pennsylvania,2001
[9]Dischel,B. At last:A Model for Weather Risk[J].Energy and Power Risk Management, 1998
[10]Dornier F,Querel M.Pricing weather derivatives by marginal value[J].Quantitative Finance,2001.01
[11]Fred Espen Benth,Steen Koekebakker.Putting a Price on Temperature [J]. Scandinavian Journal of Statistics,2007
[12]Garman,M.,C.Blanco and R.Erickson.Weather Derivatives:Instruments and Pricing Issues[J].Financial Engineering Associates,2000
[13]Lucas R E.Asset prices in an exchange economy[J].Econometrica,1978
[14]J.Richards,R.Manfredo and R.Sanders.Pricing Weather Derivatives [J]. Agricultural Economics,2004.11
[15]Platen,E.West,J.A Fair Pricing Approach to Weather Derivatives[J].Asia-Pac.Financial Markets,2005.11
[16]Turvey,C.A Pricing Model for Degree-Day Weather Options[R].Department of Agricultural Economics and Business,University of Guelph,Guelph,Ontario,2001.07
[17]Zeng,L.Pricing weather derivatives[J].Journal of Risk Finance,2000.01
[18]埃里克.班克斯著 李国华译.天气风险管理:市场、产品和应用[M].北京:经济管理出版社,2004
[19]曹雪琴.金融一体化中的国际保险:产品创新与运用研究[M].上海:学林出版社,2005
[20]陈靖.天气期货在中国的开发与应用[J].上海金融2004.12
[21]哈林顿、尼豪斯著陈秉正等译.风险管理与保险[M].北京:清华大学出版社,2005
[22]李黎、张羽.农业自然风险的金融管理[J].证券市场导报2006.03
[23]李一智.期货与期权教程[M].北京:清华大学出版社,2003
[24]刘国光.天气预测与天气衍生产品定价研究[J].预测2006.06
[25]刘海龙.论天气衍生品在我国的开发与应用[D].四川:西南财经大学2007
[26]刘元元.天气类衍生产品与金融衍生工具功能的再认识[J].国际金融研究2005.08
[27]齐绍洲、凌棱.美国天气衍生金融工具模型及其应用[J].证券市场导报2003.11
[28]余沪荣、姚从容.天气衍生产品及在我国的应用前景展望[J].绿色经济2005.01
[29]张晓峒.计量经济学软件Eviews使用指南[M].天津:南开大学出版社,2004
[30]郑秀琴、冯利平、刘荣花.冬小麦产量形成模拟模型研究[J].作物学报2006.02
[31]周开利、邓春晖.matlab7.0基础及其应用教程[M].北京:北京大学出版社,2007