Rollover Hedging Strategy

It is one of very important strategies for bargainers to use futures contracts to hedge on futures market, and hedgers are also very important in futures market. With the development of Chinese economy, as one of the largest countries in this world, China has the onus to decide the market price with other countries, otherwise, it were too bad to the development of Chinese economy, therefore, it is absolutely necessary to explore actively the futures market in China. However, hedgers in China are inactive to fully explore the function of Chinese futures market as their experiencing of Chinese downtum futures market. Whereas two advantages in study rolling hedges, one is that it helps enlarge the hedgers in futures market so as to boom the futures market, the other is that it helps provide rational hedging strategies so as to improve the bargainers'risk managing ability. In this thesis, the author has a brief study on basis of rolling hedges, rolling chances, optimizing hedges rate, strip-and-rolling hedge, and the dynamic adjust of rolling process. Firstly, he has an analysis on basis of rolling hedges strategy from the aspect of the change in the value of rolling hedger's position, defines the rollover basis and the rolling hedge basis, gets their equilibriums; then he dissembles the rolling hedges basis according to the structural analysis of rolling basis, meanwhile, he discusses the rolling opportunity, points out the wrong apprehension on rolling opportunity in practice, and brings forward a rational rolling opportunity judgment condition. After that, based on the analysis of rolling hedges basis, the author founds the rolling hedges model so as to obtain the furthest rate of hedges, which mainly discusses the normal Stack-and Rolling Hedge from two aspects, which are assembled risk minimum and domino offect maximum. On the first aspect, the author expands the model to the situation of considering market restrict and interest accumulation; whereas on the second aspect, the author puts forward a bran-new M-V model, and based on which the author discusses two hedges strategies. On serial hedges, two hypotheses are covered in Lien's disposal, that is, spot price risk decreasing and prophase futures price risk centralizing. However, such hypotheses are hard to be satisfied in real lives, when there are strong influences positively between several price interfering factors, it will results in an obvious error. In this thesis, the author brings forward a modificatory model based on basis analyses of rolling hedge to solve the error. Finally, in the end of this thesis, the author has a pilot study on how to use...