發(fā)布時(shí)間：2018-04-26 09:17

  本文選題：天氣風(fēng)險(xiǎn) + 天氣衍生品��； 參考：《南京信息工程大學(xué)》2013年碩士論文

【摘要】：眾所周知,天氣風(fēng)險(xiǎn)對(duì)人類(lèi)生產(chǎn)與生活的影響越來(lái)越明顯,為了規(guī)避天氣風(fēng)險(xiǎn)給生產(chǎn)生活帶來(lái)的不確定影響,一個(gè)新的金融工具——天氣衍生品正逐漸進(jìn)入大家的視野。隨著天氣衍生品的不斷推廣和普及,天氣衍生品越來(lái)越被人們熟知和需要。雖然氣溫指數(shù)仍然占據(jù)著主導(dǎo)地位,運(yùn)作機(jī)制較為成熟,但是降雨指數(shù)也在不斷的發(fā)展,目前降雨指數(shù)已經(jīng)是除溫度指數(shù)以外的第二大指數(shù)。農(nóng)業(yè)和天氣的關(guān)系最為密切,農(nóng)作物的生長(zhǎng)需要光、熱、水分等條件,是否風(fēng)調(diào)雨順直接影響到農(nóng)作物的收成。我國(guó)農(nóng)業(yè)用地幅員遼闊,對(duì)農(nóng)業(yè)生產(chǎn)來(lái)說(shuō),溫度和降雨都是必不可少的因素,適度的溫度和降水量是農(nóng)作物生長(zhǎng)的必要條件,溫度過(guò)高或過(guò)低、降水量過(guò)多或過(guò)少都會(huì)給農(nóng)作物生產(chǎn)造成損失。因此在關(guān)心溫度指數(shù)的同時(shí),降雨指數(shù)也是我們要關(guān)注的一個(gè)重要部分。 本文首先論述了天氣衍生品市場(chǎng)的產(chǎn)生與發(fā)展,并對(duì)天氣衍生品的種類(lèi)以及它在農(nóng)業(yè)風(fēng)險(xiǎn)管理方面的功能進(jìn)行了具體論述。接下來(lái)介紹了國(guó)內(nèi)外天氣衍生品市場(chǎng)的發(fā)展現(xiàn)狀,重點(diǎn)對(duì)我國(guó)的天氣衍生品市場(chǎng)進(jìn)行了需求分析。接著,根據(jù)國(guó)外已有的比較完善的溫度指數(shù)期貨合約規(guī)則,嘗試對(duì)我國(guó)的降雨指數(shù)期貨合約進(jìn)行初步開(kāi)發(fā)和設(shè)計(jì)。然后本文在已有的氣溫指數(shù)的研究基礎(chǔ)上,利用時(shí)間序列模型ARIMA對(duì)南京市1979年1月至2012年12月的月降雨量進(jìn)行回歸分析,得出南京市月降雨量的變化模型,并進(jìn)行了預(yù)測(cè),同時(shí)介紹了天氣衍生品的幾種定價(jià)方法并借助蒙特卡羅方法對(duì)降雨指數(shù)的天氣衍生品期權(quán)合約進(jìn)行定價(jià)。最后對(duì)天氣衍生品在我國(guó)的應(yīng)用前景進(jìn)行了展望,認(rèn)為在我國(guó)發(fā)展天氣衍生品市場(chǎng)的非常必要并提出了相關(guān)建議。
[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.
【學(xué)位授予單位】：南京信息工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：P49;F832.5

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前4條

1 逯貴雙;基于天氣衍生品方法的農(nóng)業(yè)風(fēng)險(xiǎn)管理[D];山東財(cái)經(jīng)大學(xué);2016年

2 魯亮濤;基于降雨指數(shù)天氣衍生品的建模和定價(jià)研究[D];華北水利水電大學(xué);2016年

3 孫佩;基于氣象指數(shù)的棉花期權(quán)定價(jià)[D];南京信息工程大學(xué);2014年

4 邢周華;基于氣溫的天氣衍生品及其定價(jià)研究[D];西南財(cái)經(jīng)大學(xué);2014年

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本文編號(hào)：1805397