The Study of The Stochastic Process on The Basis and The Corresponding investment Opportunity

• Main Authors: Feng-Ming Hsieh, 解豐銘
• Other Authors: Kuo-Hwa Chang
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/52831589835810466414

碩士 === 中原大學 === 工業工程研究所 === 92 === When the market experiences recession and the interest rate for saving deposit drops gradually, we keep trying to find out some alternative investment opportunities. According to the key findings in this thesis,we not only try to find good investment opportunities with the help of derivatives, but also draw up a strategy which is independent of stock market and has better returns than saving deposit. We search for such opportunities by investigating the difference between the market index and the future index. This difference is so called basis. We developed a stochastic process by using a two-dimensional Ito process to describe the dynamic of the basis in which the maturity effects are embedded. When basis is bigger than the decided extremes from the distribution, we made a change of transaction between the market and the future index. For the market index, we set up a linear program to determine a portfolio a portfolio, which is linked to the market index changes, and we can benefit by utilizing this portfolio. We also demonstrated our approaches by using the data obtained from the local market.