The Pricing Of Index Future And Risk Measure Of The Protifolio Cluding Index Future

After 90 years of the 20th century,with the rapid development of the global securities markets,international investment is becoming more extensive,and investors in the stock market surge in demand for risk management tools,making the foreign stock index futures trading for over the last decade has shown a good momentum of development,and gradually formed a complete system for derivatives markets, including the stock futures,stock options and stock index futures,stock index options.Reform of the shareholder structure of China's capital market promoted smoothly, the quality of listed companies is continuously improving,internal control standards of securities firms and futures companies are developing well,gradual growth institutional investors are growing gradually,commodity futures is developing maturely.Therefore, in April 2010,listing of stock index futures in China will not only be a milestone in the history of China's futures market,but also be a rich portfolio,which will improve market liquidity and has important strategic significance for maintaining the safety of China's financial system.In this paper,on the analysis of the data of HuShen 300 index futures,firstly by the Cost of Carry Model and the model added friction,we derive the arbitrage-free price interval of index futures contract, and make an empirical test through the latest data; Then using Copula theory,I select the appropriate Copula functions,use portfolio Monte Carlo simulation to calculate the portfolio value at risk(VAR),lastly,I make test by different Copula functions and latest data,analyse the investment portfolio value at risk,when stock index futures use speculative strategies.