Research On Financial Futures Hedging

In recent years, innovative business including treasury bond futures, stock index futures, margin financing and the upcoming options in China securities industry are launched. These new services not only enrich the Chinese financial investment tools, but also provide hedging channels for investors and offer profits for securities company. So the hedging theory and practice becomes more and more important..Using the theory of hedging financial futures as the main line, the article based on the minimum variance hedging method and the interest rate sensitivity hedging method to separately introduce the stock index futures and the treasury bond futures. Then the article give us two example to combine the stock index futures, treasury bond futures, margin trading and options. This article can be divided into three parts:The first part is about the financial futures hedging background, theory, performance measures, we introduce from the static hedging, dynamic hedging and interest rate sensitivity hedging methods.The second part first introduce the china stock index futures market, and then estimate the hedging ratio of minimum variance method. Then, an optimization model about margin trading using the stock index futures as a hedging tools established, which achieved a good results.The third part mainly introduces the treasury bond futures hedging method-basic point value method, duration method and beta modified hedging method, and the quality option is studied. Then, the article give the example of the application bond futures in portfolio management, duration adjustments and synthetic assets.Based on the applied research project, through the introduction of the stock index futures and treasury bond futures hedging methods and applications, the article have a great significance for the investors to have a theoretical understanding of the framework and application method of financial futures hedging.