Research On Crude Oil Futures Pricing Model Based On RMB Pricing Factors

Based on Shanghai futures market China denominated in renminbi and trading of crude oil futures in Shanghai as the foundation,first examines the RMB currency markets,crude oil spot market and crude oil futures market volatility spillover effect between the use of brent crude oil spot and futures trading data and the price index for empirical research.It is found that RMB currency market and crude oil futures market have two-way spillover fluctuation effect,and the risk factors of the two markets will conduct each other.There is no volatility spillover effect on the spot market of crude oil in the RMB currency market,but there is volatility spillover effect on the spot market of crude oil in the RMB currency market,which indicates that the risk of the spot market of crude oil will be transmitted to the RMB currency market.Secondly,a four-factor crude oil futures price model and a crude oil futures term structure model with stochastic monetary factors are established.The stochastic differential equation expressions satisfying the futures price process are obtained by combining the risk neutral principle and the stochastic discount factor and other related theories and methods,and the general solution of the model is solved.In addition,in order to demonstrate the effectiveness of the two models and methods,the empirical analysis is carried out using the historical trading data of Shanghai crude oil futures in China crude oil futures market.Finally,using the parameter estimation results predict crude oil futures price in Shanghai,and evaluate the two types of model prediction ability,test results show that the four factors in their ability to predict the price of crude oil futures model for short-term contracts did better,but the forecast of long-term contract prices,crude oil futures stronger prediction ability of the term structure model.