This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example.

Optimal hedge ratio is estimated under different time scales by taking minimum semivariance as hedge target.

Supposing the action of spot price and future price obey Brownian Motion, and by using logarithmic function as the utility functions of spot price and future price, we get hedging ratio, total risk of hedging, short hedging risk and long hedging risk.

Improved method for calculating optimal hedge ratio of freight index future;

Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures;

Improved method for calculating hedge ratio of stock index future;

With the database of daily Copper futures contracts on Chinese market,optimal hedge ratios are cal- culated applying the ordinary least squares(OLS) regression model,the error-correction model(ECM)and the multivariate Garch model.

Combining the character of spot and future market in China,this paper develops a Modified ECM-GARCH model based on the method of Kroner and Sultan(1993),and calculates the dynamic optimal hedging ratios of copper in China using Modified ECM-GARCH m.

We use OLS,VAR,ECM,diagonal-BEKK,full-BEKK,scalar-BEKK to study the hedging ratios of HS300 stock index futures simulation transaction,compare the effectiveness of static models and dynamic models,and also study the effect of different parameterization methods of dynamic hedging models.

This paper resents the study on best hedge rate to.