交叉外汇远期合约的定价及应用

目前,我国市场上推出的金融衍生工具很少,没有可用来对冲系统风险的金融工具,因此,2001年后资本市场的衰落导致券商和基金发生大面积亏损.设想,如果政策允许,可以使用一种以外国股票或股指作为标的而以本币进行计价的金融衍生工具(交叉外汇远期合约、期货和期权)对冲系统风险,即利用外国股市与我国股市的相关性对投资组合进行套期保值.这里我们将介绍如何使用该方法对交叉外汇金融衍生工具的一种交叉外汇远期合约进行定价,推导套期保值的原理并介绍用其对冲系统风险的操作方法.

The pricing and applications of cross currency forward contracts

since2001,many security companies and mutual funds have suffered a great loss.On the one hand,the capital market wasn't very well,on the other hand,we are lack of financial instruments for hedging systematic risk.According to the principles of hedging of futures,we have an idea to employ the correlation of our state's stock market and other countries'stock markets to deal with the systematic risks.So we can employ a derivative which is based on foreign stocks or stock indices but denominated in domestic currency to complete this job,it is cross-currency derivatives.This paper focuses on the pricing of cross-currency forward contracts and application of them.