According to the stochastic fluctuant characteristics of spot and futures price,this paper puts forward a new dynamic correlation and sets up a dynamic hedging model basd on the dynamic correlation multivariate stochastic volatility model.

The only possible solution in present China—to use dynamic hedging to create synthetic options is introduced in detail.

As the standard process of funds management in the world, dynamic hedging strategy has become a hotspot in international financial research.

The diagonal dynamic conditional correlation model is applied to estimate the dynamic conditional correlations among oil markets,calculate the dynamic hedging ratios between spot market and futures market,and evaluate the hedging performance of different kinds of markets portfolio,including WTI and Brent markets and cross markets.

The Research on the Futures Hedging Model Based on Conditional Value at Risk

This article introduces mark-to-market risk into the conventional futures hedging framework.

Futures hedging is the use of stock futures to avoid the risk of the transaction to be an effective strategy for investors in specific operations,through mathematical models to derive the optimal volume for futures hedging program design.