论文题目：中国气温期货定价方案策划
论文类型:方案策划
学科专业：金融专硕（投资管理）
学位申请人：彭璐璐
指导教师：孙泽生
摘要
天气变化对农业、能源、交通运输和旅游等行业的正常生产运营均产生极
大的影响，且随着全球变暖和气候问题的加剧，对天气衍生品及天气风险配置
的需求正与日俱增。作为工农业生产大国和受天气风险影响深刻的国家，中国
也存在大量的天气衍生品市场需求。但对这一新期货品种如何确定合理的定价
方法进行定价，是中国天气衍生品市场孕育和发展的前置条件。
由于中国尚未推出气温期货品种，缺乏真实的气温期货价格数据，本文在
参考国外气温期货合约的基础上，结合我国的实际情况设计出适当的气温期货
合约要素。在定价模型的选择上，本文使用了时间序列模型、均值回复模型和
马尔科夫状态转移模型（MRS）三种天气期货定价方法，以气温指数期货品种
为研究对象，用中国沈阳和上海的天气数据为研究样本进行定价方案设计。接
下来，本文以美国芝加哥商品交易所中的芝加哥气温期货进行定价分析，并用
模型的预测数据进行检验，得到 MRS模型的气温期货定价和预测效果较好；之
后，本文选取中国沈阳市的历史气温数据进行模型的拟合及样本内和样本外预
测，并以上海市的气温数据进行稳健性检验，得到的结果仍为 MRS模型的气温
拟合和预测效果优于时间序列模型和均值回复模型。最后，本文从政策、市场
和技术三个方面对该定价方案的可行性进行分析，并给出了相应的建议。
关键词：天气衍生品；气温期货；定价方案；MRS模型
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Abstract
Weather change has a great impact on the normal production and operation of
agriculture, energy, transportation, tourism and other industries. With the
intensification of global warming and climate problems, the demand for weather
derivatives and weather risk allocation is increasing day by day. As a large industrial
and agricultural production country and a country deeply affected by weather risks,
China also has a large number of weather derivatives market demand. However, how
to determine a reasonable pricing method for this new futures variety is the
precondition for the breeding and development of China's weather derivatives market.
Due to the lack of real temperature futures price data, this paper designs
appropriate temperature futures contract elements on the basis of referring to foreign
temperature futures contracts and combined with the actual situation of our country.
In the selection of pricing model, this paper uses three weather futures pricing
methods: time series model, mean reversion model and Markov regime switching
model (MRS). Taking the temperature index futures as the research object and the
weather data of Shenyang and Shanghai as the research sample, this paper designs the
pricing scheme. Next, this paper analyzes the pricing of Chicago temperature futures
in the Chicago Mercantile Exchange of the United States, and tests it with the
prediction data of the model. It is found that the temperature futures pricing and
prediction effect of MRS model is better; After that, this paper selects the historical
temperature data of Shenyang, China for model fitting and in sample and out of
sample prediction, and tests the robustness of the temperature data of Shanghai. The
result is still that the temperature fitting and prediction effect of MRS model is better
than time series model and mean value recovery model. Finally, this paper analyzes
the feasibility of the pricing scheme from three aspects: policy, market and technology,
and gives corresponding suggestions.
Key words: Weather Derivatives; Temperature Futures; Pricing Scheme; MRS Model
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目录
摘要........................................................................................................................I
Abstract.................................................................................................................II
第 1章绪论.......................................................................................................... 1
1.1研究背景................................................................................................. 1
1.2研究的目的和意义................................................................................. 2
1.3研究的内容、方法和技术路线............................................................. 2
1.3.1研究内容...................................................................................... 2
1.3.2研究方法...................................................................................... 3
1.3.3技术路线...................................................................................... 4
1.4本文的创新点......................................................................................... 4
第 2章相关理论回顾与文献综述...................................................................... 6
2.1理论回顾................................................................................................. 6
2.1.1风险管理理论.............................................................................. 6
2.1.2套期保值理论.............................................................................. 7
2.1.3基差风险...................................................................................... 7
2.2文献综述................................................................................................. 7
2.2.1时间序列模型.............................................................................. 8
2.2.2均值回复模型.............................................................................. 9
2.2.3马尔科夫状态转移模型............................................................ 10
2.3中国天气衍生品研究及前景............................................................... 10
2.3.1中国天气衍生品研究................................................................ 10
2.3.2中国天气衍生品发展前景........................................................ 11
2.4小结....................................................................................................... 12
第 3章问题描述与方案设计思路.................................................................... 14
3.1气温期货定价问题描述....................................................................... 14
3.2气温期货定价方案设计思路............................................................... 14
3.2.1我国天气期货合约的要素设计................................................ 15
3.2.2天气期货定价模型选取............................................................ 16
3.2.2数据选取.................................................................................... 18
3.2.3预测检验指标............................................................................ 19
第 4章基于美国天气数据的天气期货定价研究............................................ 20
4.1实证结果............................................................................................... 20
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