天气风险管理与天气衍生产品定价研究
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摘要
天气风险是指因天气气候变化给人们的生命财产安全、生产经营活动以及经济发展带来的不确定性。根据天气风险发生的概率及造成的后果,可以把天气风险分为三类。其分别为天气灾害风险、一般天气风险和气候变化风险。对于一般的天气风险,传统的风险管理策略不能很好地规避,而天气衍生产品可以很好的规避这类风险。
天气衍生产品就是指以一定区域内的温度、风速、湿度、雨量、降雪量等气象条件为基础数值的新兴衍生产品。我国对天气衍生品及其作用的了解尚处于起步阶段,天气衍生品市场尚未建立起来。
本文研究国内外研究天气衍生产品定价的文献,选取天津市2000年1月1日至2009年12月31日的气温数据,使用Ornstein-Uhlenbeck过程建立气温的随机模型,并对模型中的参数进行估计,得到气温的参数分布,然后利用蒙特卡罗方法预测气温。接着以天津市某电力公司为例,应用风险中性的定价原理对天气衍生产品进行定价。结果显示:随着期权截止日的临近,天津地区的气温期权价格与真实价值越趋接近。电力公司应该购买期权进行套期保值,以此规避企业遇到的气温变化引起的财务风险。这说明利用蒙特卡罗方法,可以对气温期权进行较为合理定价,对于我国的气温金融衍生品具有一定的实用性,并为其提供了一些参考价值。但我们同时也注意到气温的物理形成过程极其复杂,特别我国气候复杂多变。气温期权的技术设计研究还远远不够,需要更进一步的理论探索和实践。
Weather risk is the uncertainty which is brought by weather and climate change to people's lives and property, production and business activities and economic development. According to the probability of occurrence of weather risk and the consequences of it,the weather risk can be divided into three categories. They are the weather disaster risk, the general weather risk and climate change risks. For the general weather risk, traditional risk management strategies are not well avoid, and weather derivatives can be very good to avoid such risks.
Weather derivatives are the new derivative products which are based on the basic value of the temperature, wind speed, humidity, rainfall, snowfall and other weather conditions of a certain region. In China, the study of weather derivatives is still in its in fancy, the weather derivatives market has not been established.
In this paper, we study the papers of pricing of weather derivatives both home and abroad, select the temperature data from January 1, 2000 to December 31,2009 in Tianjin ,use Ornstein-Uhlenbeck process to establish the stochastic model of temperature , estimate the parameters of the model,get the parameters distribution of the temperature, predict the temperature with the Monte Carlo method .Then take a power company in Tianjin for example, apply risk-neutral pricing method for pricing weather derivatives. The results show that with deadline of the option approaching, the temperature in Tianjin and the value of the option price are increasingly close. Power companies should buy options to hedge in order to avoid temperature changes encountered by enterprises due to financial risk. This shows that the Monte Carlo method is a good method for the pricing of options for the temperature derivatives in China ,and it provides some reference value to the research of China's temperature derivatives. But we also note that the physical formation of temperature is extremely complex, especially in China. The study of the technical design of temperature options is not enough, we need to further explore the theory and practice. Weather risk is the uncertainty which is brought by weather and climate change to people's lives and property, production and business activities and economic development. According to the probability of occurrence of weather risk and the consequences of it, the weather risk can be divided into three categories. They are the weather disaster risk, the general weather risk and climate change risks. For the general weather risk, traditional risk management strategies are not well avoid, and weather derivatives can be very good to avoid such risks. Weather derivatives are the new derivative products which are based on the basic value of the temperature, wind speed, humidity, rainfall, snowfall and other weather conditions of a certain region. In China, the study of weather derivatives is still in its in fancy, the weather derivatives market has not been established. However, due to China's vast territory, the weather is quite different in different regions, the enormous economic losses to many industries and regions which are brought by the weather risk are enormous and quite serious. If we can develop weather derivatives as soon as possible , we will effectively reduce the losses of agriculture and other related businesses. Weather derivatives have many types, they are futures, options, swaps, etc. In this paper, these products were introduced one by one. On the basis of the literature about weather derivatives pricing at home and abroad, we take the history temperature of Tianjin for example, establish the stochastic model of temperature to predict the temperature, and use Monte Carlo methods for option pricing. The results show that with deadline of the option approaching, the temperature in Tianjin and the value of the option price are increasingly close. This shows that the Monte Carlo method , is a good method for the pricing of options for the temperature derivatives in China ,and it provides some reference value to the research of China's temperature derivatives. But we also note that the physical formation of temperature is extremely complex, especially in China. The study of the technical design of temperature options is not enough, we need to further explore the theory and practice.
天气衍生产品就是指以一定区域内的温度、风速、湿度、雨量、降雪量等气象条件为基础数值的新兴衍生产品。我国对天气衍生品及其作用的了解尚处于起步阶段,天气衍生品市场尚未建立起来。
本文研究国内外研究天气衍生产品定价的文献,选取天津市2000年1月1日至2009年12月31日的气温数据,使用Ornstein-Uhlenbeck过程建立气温的随机模型,并对模型中的参数进行估计,得到气温的参数分布,然后利用蒙特卡罗方法预测气温。接着以天津市某电力公司为例,应用风险中性的定价原理对天气衍生产品进行定价。结果显示:随着期权截止日的临近,天津地区的气温期权价格与真实价值越趋接近。电力公司应该购买期权进行套期保值,以此规避企业遇到的气温变化引起的财务风险。这说明利用蒙特卡罗方法,可以对气温期权进行较为合理定价,对于我国的气温金融衍生品具有一定的实用性,并为其提供了一些参考价值。但我们同时也注意到气温的物理形成过程极其复杂,特别我国气候复杂多变。气温期权的技术设计研究还远远不够,需要更进一步的理论探索和实践。
Weather risk is the uncertainty which is brought by weather and climate change to people's lives and property, production and business activities and economic development. According to the probability of occurrence of weather risk and the consequences of it,the weather risk can be divided into three categories. They are the weather disaster risk, the general weather risk and climate change risks. For the general weather risk, traditional risk management strategies are not well avoid, and weather derivatives can be very good to avoid such risks.
Weather derivatives are the new derivative products which are based on the basic value of the temperature, wind speed, humidity, rainfall, snowfall and other weather conditions of a certain region. In China, the study of weather derivatives is still in its in fancy, the weather derivatives market has not been established.
In this paper, we study the papers of pricing of weather derivatives both home and abroad, select the temperature data from January 1, 2000 to December 31,2009 in Tianjin ,use Ornstein-Uhlenbeck process to establish the stochastic model of temperature , estimate the parameters of the model,get the parameters distribution of the temperature, predict the temperature with the Monte Carlo method .Then take a power company in Tianjin for example, apply risk-neutral pricing method for pricing weather derivatives. The results show that with deadline of the option approaching, the temperature in Tianjin and the value of the option price are increasingly close. Power companies should buy options to hedge in order to avoid temperature changes encountered by enterprises due to financial risk. This shows that the Monte Carlo method is a good method for the pricing of options for the temperature derivatives in China ,and it provides some reference value to the research of China's temperature derivatives. But we also note that the physical formation of temperature is extremely complex, especially in China. The study of the technical design of temperature options is not enough, we need to further explore the theory and practice. Weather risk is the uncertainty which is brought by weather and climate change to people's lives and property, production and business activities and economic development. According to the probability of occurrence of weather risk and the consequences of it, the weather risk can be divided into three categories. They are the weather disaster risk, the general weather risk and climate change risks. For the general weather risk, traditional risk management strategies are not well avoid, and weather derivatives can be very good to avoid such risks. Weather derivatives are the new derivative products which are based on the basic value of the temperature, wind speed, humidity, rainfall, snowfall and other weather conditions of a certain region. In China, the study of weather derivatives is still in its in fancy, the weather derivatives market has not been established. However, due to China's vast territory, the weather is quite different in different regions, the enormous economic losses to many industries and regions which are brought by the weather risk are enormous and quite serious. If we can develop weather derivatives as soon as possible , we will effectively reduce the losses of agriculture and other related businesses. Weather derivatives have many types, they are futures, options, swaps, etc. In this paper, these products were introduced one by one. On the basis of the literature about weather derivatives pricing at home and abroad, we take the history temperature of Tianjin for example, establish the stochastic model of temperature to predict the temperature, and use Monte Carlo methods for option pricing. The results show that with deadline of the option approaching, the temperature in Tianjin and the value of the option price are increasingly close. This shows that the Monte Carlo method , is a good method for the pricing of options for the temperature derivatives in China ,and it provides some reference value to the research of China's temperature derivatives. But we also note that the physical formation of temperature is extremely complex, especially in China. The study of the technical design of temperature options is not enough, we need to further explore the theory and practice.
引文
[1]黄荣辉,我国重大气候灾害特征、形成机理和预测研究,自然灾害学报,2002,11(1):1~9
[2]Dornier F, Querel M. Pricing weather derivatives by marginal value,Quantitative Finance,2001,1(3):305~308
[3]Campbell .S., Diebold,F.X. Weather forecasting for weather derivatives,Journal of the American Statistical Association, 2005,100:6~16.
[4] Achilleas Zapranis,Weather derivatives pricing:Modeling the seasonal residual variance of an Ornstein-Uhlenbeck temperature process with neural networks, Neurocomputing,2009,100(73):37~48
[5]余沪荣,天气衍生产品及在我国的应用前景展望,生态经济,2005,24(4):20~23
[6]刘国光,气温随机模型和我国气温期权定价研究,数理统计与管理,2008,27(6):959~967
[7]Bibby B, Martingale Estimation functions for discretely observed diffusion processes, Bernoulli,1995,135(1):17~39
[8]Campbell,S.D.,Diebold,F.X.,Weather forecasting for weather derivatives.J. Am.Stat. Assoc.2005,469(100):6~16
[9]Benth,F.E.,Saltyt -Benth, J.,The volatility of temperature and pricing of weather derivatives, Quant Finance 2007,7(5):553~561
[10]Saltyt Benth, J.Benth,F.E, A critical view on temperature modeling for application in weather derivatives markets,Energy Economics,2011,12(5):1~11
[11]Alaton,P, Djehieh, M.Stillberger D., On modeling and pricing weather derivatives,Applied Mathematical Finance,2002,9(l):l~20
[12]Benth,F.E.,On arbitrage-free pricing of weather Brownian motion, Applied Mathematical Finance,2003,10(4):303-324
[13]Benth,F.E., Benth,J., Koekebakker,S., Putting a Price On Temperature, Scandinavian Journal of Statistics,2007,34(4):746~767
[14]Black,F., M.Scholes, The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973,100(81):637~655
[15]Brockett,P.L., M.Wang, C.Yang, Weather derivatives and weather risk management, Risk Management and Insurance Review,2005,8(l):127~140
[16]Brody D.C., Syroka J., Zervos M.,Dynamical Pricing of Weather Derivatives, Quantitative Finance,2002,10(2):189~198
[17]Caballero,R., Jewson,S., Brix, A long memory in surface air temperature: detection, modeling, and application to weather derivative valuation, Climate Research,2002,21(2):127~140
[18]Davis,M., Prieing weather derivatives by marginal value,Quantitative Finance, 2001,10(1):l~4
[19]Sloan,D.,L. Palmer, H.Burrow, A Broker's View,Global Reinsurance, 2002, 10(2): 22~25
[20]Campbell, S.D., Diebold,F.X., Weather forecasting for weather derivatives, Journal of the American Statistical Association,2005,100(469):6~11
[21]Sveca J., Stevens M., Modeling and forecasting temperature based Weather derivatives, Global Finance Journal, 2007,18(2):185~204
[22]Cao M, J.Wei, Pricing Weather Dericvative: an intuitive and practical approach, Risk, 2000, 10(5):67~70
[23]Dischel.B, At last: a model for weather risk, Energy Power and Risk Management,1998,11(3):20~21
[24]Jewson.S, Caballero.R., Seasonality in the statistics of surface air temperature and the Pricing of weather derivatives, Meteorol Appl,2003,12(10):367~376
[25]Zeng,L.,Pricing weather derivatives, The Journal of Risk Finance, 2000,3(1):72~78
[26]高铁梅,计量经济分析方法与建模——EViews应用及实例,北京:清华大学出版社,2006:58~62
[27]郭树华,禄晓龙,天气衍生品的发展、应用及前景研究,经济师,2008,11(2):68~69
[28]刘海龙,论天气衍生品在我国的开发与应用:[博士学位论文],四川;西南财经大学,2007
[29]李黎,张羽,农业自然风险的金融管理:天气衍生品的兴起,证券市场导报,2006,12(3):49~53
[30]钱利明,天气衍生品定价及在我国的开发:[硕士学位论文],浙江;浙江大学,2010
[31]刘元元,天气类衍生产品与金融衍生工具功能的再认识,国际金融研究2005,53(8):53~56
[32]齐绍洲,凌棱,美国天气衍生金融工具模型及其应用,证券市场导报,2003,56(11):25~28
[33]王卉彤,应对全球气候变化的金融创新,北京:中国财政经济出版社,2008:122-148
[34]王莹,浅谈气候衍生品在我国的开发及应用,上海金融,2008,10(8):47~49
[35]徐怀礼,国外天气衍生品市场现状及对我国农业灾害风险管理的启示,现代商贸工业,2007,35(5):69~70
[36]余沪荣,姚从容,天气衍生产品及在我国的应用前景展望,生态经济,2005,71(2):74~76
[37]周开利,邓春晖,matlab7.0基础及其应用教程,北京:北京大学出版社,2007:101~104
[38]埃里克班克斯,李国华,天气风险管理:市场、产品和应用,北京:经济管理出版社,2004:243~251
[39]陈靖,天气期货在中国的开发与应用,上海金融,2004,53(12):35~36
[40]马圆圆,天气衍生产品及其定价:[硕士学位论文],上海;华东师范大学,2008
[41]尹晨,许晓茵,论天气衍生产品与农业风险管理,财经理论与实践,2007,11(1):25~28
[42]刘李智,梁伟,略论发展我国天气衍生产品市场,特区经济,2006,12(10),37~40
[43]易丹辉,数据分析与EVIES应用,北京:中国统计出版社,2002:352~353
[44]王燕,应用时间序列分析,北京:中国人民大学出版社,2005:167~170
[45]段兵,气候变化与天气衍生产品创新,金融市场,2010,11(9):65~66
[46]祝燕德等,经济发展与天气风险管理,北京:中国财政经济出版社,2006,
[47]Turvey,CG.,The pricing of degree-day weather options,Agricultural Finance Review Spring,2005,235(143):59~85
[48]Marsh,T.A., Merton,R., Dividend behavior for the aggregate stock market,Journal of Business,1987,60(23):l~40
[49]韩金山,谭忠富,刘严,略论发展我国的天气风险市场,国际电力,2004,42(6):10~13
[50]于力,天气风险管理与天气指数期货,期货日报,2003,20(8),1~3
[2]Dornier F, Querel M. Pricing weather derivatives by marginal value,Quantitative Finance,2001,1(3):305~308
[3]Campbell .S., Diebold,F.X. Weather forecasting for weather derivatives,Journal of the American Statistical Association, 2005,100:6~16.
[4] Achilleas Zapranis,Weather derivatives pricing:Modeling the seasonal residual variance of an Ornstein-Uhlenbeck temperature process with neural networks, Neurocomputing,2009,100(73):37~48
[5]余沪荣,天气衍生产品及在我国的应用前景展望,生态经济,2005,24(4):20~23
[6]刘国光,气温随机模型和我国气温期权定价研究,数理统计与管理,2008,27(6):959~967
[7]Bibby B, Martingale Estimation functions for discretely observed diffusion processes, Bernoulli,1995,135(1):17~39
[8]Campbell,S.D.,Diebold,F.X.,Weather forecasting for weather derivatives.J. Am.Stat. Assoc.2005,469(100):6~16
[9]Benth,F.E.,Saltyt -Benth, J.,The volatility of temperature and pricing of weather derivatives, Quant Finance 2007,7(5):553~561
[10]Saltyt Benth, J.Benth,F.E, A critical view on temperature modeling for application in weather derivatives markets,Energy Economics,2011,12(5):1~11
[11]Alaton,P, Djehieh, M.Stillberger D., On modeling and pricing weather derivatives,Applied Mathematical Finance,2002,9(l):l~20
[12]Benth,F.E.,On arbitrage-free pricing of weather Brownian motion, Applied Mathematical Finance,2003,10(4):303-324
[13]Benth,F.E., Benth,J., Koekebakker,S., Putting a Price On Temperature, Scandinavian Journal of Statistics,2007,34(4):746~767
[14]Black,F., M.Scholes, The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973,100(81):637~655
[15]Brockett,P.L., M.Wang, C.Yang, Weather derivatives and weather risk management, Risk Management and Insurance Review,2005,8(l):127~140
[16]Brody D.C., Syroka J., Zervos M.,Dynamical Pricing of Weather Derivatives, Quantitative Finance,2002,10(2):189~198
[17]Caballero,R., Jewson,S., Brix, A long memory in surface air temperature: detection, modeling, and application to weather derivative valuation, Climate Research,2002,21(2):127~140
[18]Davis,M., Prieing weather derivatives by marginal value,Quantitative Finance, 2001,10(1):l~4
[19]Sloan,D.,L. Palmer, H.Burrow, A Broker's View,Global Reinsurance, 2002, 10(2): 22~25
[20]Campbell, S.D., Diebold,F.X., Weather forecasting for weather derivatives, Journal of the American Statistical Association,2005,100(469):6~11
[21]Sveca J., Stevens M., Modeling and forecasting temperature based Weather derivatives, Global Finance Journal, 2007,18(2):185~204
[22]Cao M, J.Wei, Pricing Weather Dericvative: an intuitive and practical approach, Risk, 2000, 10(5):67~70
[23]Dischel.B, At last: a model for weather risk, Energy Power and Risk Management,1998,11(3):20~21
[24]Jewson.S, Caballero.R., Seasonality in the statistics of surface air temperature and the Pricing of weather derivatives, Meteorol Appl,2003,12(10):367~376
[25]Zeng,L.,Pricing weather derivatives, The Journal of Risk Finance, 2000,3(1):72~78
[26]高铁梅,计量经济分析方法与建模——EViews应用及实例,北京:清华大学出版社,2006:58~62
[27]郭树华,禄晓龙,天气衍生品的发展、应用及前景研究,经济师,2008,11(2):68~69
[28]刘海龙,论天气衍生品在我国的开发与应用:[博士学位论文],四川;西南财经大学,2007
[29]李黎,张羽,农业自然风险的金融管理:天气衍生品的兴起,证券市场导报,2006,12(3):49~53
[30]钱利明,天气衍生品定价及在我国的开发:[硕士学位论文],浙江;浙江大学,2010
[31]刘元元,天气类衍生产品与金融衍生工具功能的再认识,国际金融研究2005,53(8):53~56
[32]齐绍洲,凌棱,美国天气衍生金融工具模型及其应用,证券市场导报,2003,56(11):25~28
[33]王卉彤,应对全球气候变化的金融创新,北京:中国财政经济出版社,2008:122-148
[34]王莹,浅谈气候衍生品在我国的开发及应用,上海金融,2008,10(8):47~49
[35]徐怀礼,国外天气衍生品市场现状及对我国农业灾害风险管理的启示,现代商贸工业,2007,35(5):69~70
[36]余沪荣,姚从容,天气衍生产品及在我国的应用前景展望,生态经济,2005,71(2):74~76
[37]周开利,邓春晖,matlab7.0基础及其应用教程,北京:北京大学出版社,2007:101~104
[38]埃里克班克斯,李国华,天气风险管理:市场、产品和应用,北京:经济管理出版社,2004:243~251
[39]陈靖,天气期货在中国的开发与应用,上海金融,2004,53(12):35~36
[40]马圆圆,天气衍生产品及其定价:[硕士学位论文],上海;华东师范大学,2008
[41]尹晨,许晓茵,论天气衍生产品与农业风险管理,财经理论与实践,2007,11(1):25~28
[42]刘李智,梁伟,略论发展我国天气衍生产品市场,特区经济,2006,12(10),37~40
[43]易丹辉,数据分析与EVIES应用,北京:中国统计出版社,2002:352~353
[44]王燕,应用时间序列分析,北京:中国人民大学出版社,2005:167~170
[45]段兵,气候变化与天气衍生产品创新,金融市场,2010,11(9):65~66
[46]祝燕德等,经济发展与天气风险管理,北京:中国财政经济出版社,2006,
[47]Turvey,CG.,The pricing of degree-day weather options,Agricultural Finance Review Spring,2005,235(143):59~85
[48]Marsh,T.A., Merton,R., Dividend behavior for the aggregate stock market,Journal of Business,1987,60(23):l~40
[49]韩金山,谭忠富,刘严,略论发展我国的天气风险市场,国际电力,2004,42(6):10~13
[50]于力,天气风险管理与天气指数期货,期货日报,2003,20(8),1~3