Stock Index Futures: Theory and Practice Research

Author: Zhang Xuedong
Publisher:
Publish Date: 2005-06-01
Features: Financial engineering, a newly emerging interdisciplinary field in the 1990s, was born as an engineering discipline. The research and application of financial engineering in China were almost blank or just beginning. Designing and introducing stock index futures (abbreviated as stock index futures) is one of the main contents and important achievements of financial engineering research. Since stock index futures were born in the United States in 1982, they have had a significant impact on international financial activities and financial markets. This book mainly studies the theoretical and practical issues faced by China in introducing and developing stock index futures exchanges as quickly and scientifically as possible, hoping to contribute to the construction of the stock index futures market and the improvement of the capital market. The book is divided into eight chapters: Chapter 1 introduces financial engineering, financial innovation, and stock index futures; Chapter 2 introduces the development history, characteristics, and functions of stock index futures; Chapter 3 introduces time series analysis methods; Chapter 4 introduces mathematical models of the interaction between stock index futures markets and stock markets; Chapter 5 introduces the design of stock index futures contracts and the selection of underlying index; Chapter 6 introduces the pricing models and extensions of stock index futures; Chapter 7 introduces the optimal hedging strategies and effectiveness research; Chapter 8 introduces the main results of this book and issues needing further research.