基于降雨指数的天气衍生品的开发及定价

发布时间：2018-04-26 09:17

本文选题：天气风险 + 天气衍生品　；参考：《南京信息工程大学》2013年硕士论文

【摘要】：众所周知,天气风险对人类生产与生活的影响越来越明显,为了规避天气风险给生产生活带来的不确定影响,一个新的金融工具——天气衍生品正逐渐进入大家的视野。随着天气衍生品的不断推广和普及,天气衍生品越来越被人们熟知和需要。虽然气温指数仍然占据着主导地位,运作机制较为成熟,但是降雨指数也在不断的发展,目前降雨指数已经是除温度指数以外的第二大指数。农业和天气的关系最为密切,农作物的生长需要光、热、水分等条件,是否风调雨顺直接影响到农作物的收成。我国农业用地幅员辽阔,对农业生产来说,温度和降雨都是必不可少的因素,适度的温度和降水量是农作物生长的必要条件,温度过高或过低、降水量过多或过少都会给农作物生产造成损失。因此在关心温度指数的同时,降雨指数也是我们要关注的一个重要部分。本文首先论述了天气衍生品市场的产生与发展,并对天气衍生品的种类以及它在农业风险管理方面的功能进行了具体论述。接下来介绍了国内外天气衍生品市场的发展现状,重点对我国的天气衍生品市场进行了需求分析。接着,根据国外已有的比较完善的温度指数期货合约规则,尝试对我国的降雨指数期货合约进行初步开发和设计。然后本文在已有的气温指数的研究基础上,利用时间序列模型ARIMA对南京市1979年1月至2012年12月的月降雨量进行回归分析,得出南京市月降雨量的变化模型,并进行了预测,同时介绍了天气衍生品的几种定价方法并借助蒙特卡罗方法对降雨指数的天气衍生品期权合约进行定价。最后对天气衍生品在我国的应用前景进行了展望,认为在我国发展天气衍生品市场的非常必要并提出了相关建议。
[Abstract]:As we all know, the influence of weather risk on human production and life is becoming more and more obvious. In order to avoid the uncertain impact of weather risk on production and life, a new financial tool, weather derivatives, is gradually coming into the field of vision. With the continuous promotion and popularization of weather derivatives, weather derivatives are more and more known and needed. Although the temperature index still occupies the dominant position and the operating mechanism is more mature, the rainfall index is also developing continuously. At present, the rainfall index is the second largest index besides the temperature index. Agriculture is most closely related to the weather. The growth of crops needs light, heat, moisture and other conditions. China has a vast agricultural land area. For agricultural production, temperature and rainfall are essential factors. Moderate temperature and precipitation are the necessary conditions for crop growth, and the temperature is too high or too low. Too much or too little precipitation can cause losses to crop production. Therefore, rainfall index is an important part of our attention while we are concerned about temperature index. This paper first discusses the emergence and development of weather derivatives market, and discusses the types of weather derivatives and its function in agricultural risk management. Then it introduces the present situation of weather derivatives market at home and abroad, and analyzes the demand of weather derivatives market in China. Then, according to the relatively perfect rules of temperature index futures contract in foreign countries, we try to develop and design the rainfall index futures contract in our country. Then, on the basis of the existing research on air temperature index, using the time series model ARIMA to analyze the monthly rainfall in Nanjing from January 1979 to December 2012, the variation model of monthly rainfall in Nanjing is obtained and forecasted. At the same time, several pricing methods of weather derivatives are introduced, and the option contracts of weather derivatives with rainfall index are priced by Monte Carlo method. Finally, the application prospect of weather derivatives in China is prospected. It is very necessary to develop weather derivatives market in China and some suggestions are put forward.
【学位授予单位】：南京信息工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：P49;F832.5

【引证文献】