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Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift

Derviz, Alexis - In: Bulletin of the Czech Econometric Society 6 (1999)

The paper introduces a transition from an exchange rate target zone to the free float in a dynamic general equilibrium model of production, trade and consumption under diffusion uncertainty in a small open economy. The loss of credibility and subsequent collapse of the target zone is modeled by...

Persistent link: https://www.econbiz.de/10008540585

Equilibrium Asset Prices in a Continuous Time Portfolio Optimization Model with Decentralized Dealership Markets

Derviz, Alexis - In: Bulletin of the Czech Econometric Society 8 (2001)

The paper introduces a model of price formation in an economy with a decentralized dealership market for each of the traded securities, in continuous time. Each dealer is a competitive liquidity provider for non-dealer investors in the partial market for the given security. Quotes are in the...

Persistent link: https://www.econbiz.de/10008540608

Expenditure Decision and Energy in Portfolio Game

Jančar, Martin - In: Bulletin of the Czech Econometric Society 7 (2000)

After formalizing transactions, production, investment process and another economic activities author has returned back to general dynamic in portfolio play. Idea of this article is to postulate the assumption on agent's strategy on money expenditure or other asset's strategy. There are two main...

Persistent link: https://www.econbiz.de/10008528846

Neural Networks as Semiparametric Option Pricing Tool

Barunikova, Michaela; Barunik, Jozef - In: Bulletin of the Czech Econometric Society 18 (2011)

We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index covering the daily data for the period from June 2004 to June 2007. The greatest advantage of option pricing with neural networks is that we do not need to make any...

Persistent link: https://www.econbiz.de/10009643445

Risk premiums for multiperiod risks

Kopa, Miloš - In: Bulletin of the Czech Econometric Society 11 (2004)

be evaluated when utility function of decision maker is known. The construction of multiperiod risk premium is based on …

Persistent link: https://www.econbiz.de/10008473452

Utility functions and portfolio selection problem

Kopa, Miloš - In: Bulletin of the Czech Econometric Society 10 (2003)

This paper deals with utility functions and their application in stochastic programming. In section 1, classification of utility functions is based on switching between gambles due to changes in wealth with a special focus on zero-switch and one-switch utility functions. All gambles are...

Persistent link: https://www.econbiz.de/10008528816

Characterization of arbitrage-free market

Henclová, Alena - In: Bulletin of the Czech Econometric Society 10 (2003)

King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims. The fundamental theorem of asset pricing was reformulated in a very general form. We mentioned in [2] that their characterization of the arbitrage-free market is not correct....

Persistent link: https://www.econbiz.de/10008473454

The Asset-Liability Management Aspects of Monetary Transmission in Transitional Economies: the Czech and the Austrian Credit Channels

Derviz, Alexis - In: Bulletin of the Czech Econometric Society 7 (2000)

The paper deals with the transmission of monetary policy inside the fmancial sector. The objective is to link an optimizing stochastic model of portfolio decisions by a representative financial institution with a number of features that this optimizing behavior implies for the monetary...

Persistent link: https://www.econbiz.de/10008473455

Generalized Asset Return Parity And The Exchange Rate In A Financially Open Economy

Derviz, Alexis - In: Bulletin of the Czech Econometric Society 6 (1999)

decision-theoretical foundation of the uncovered parity condition should be formulated in terms of secondary market yields on … the same as from the consumer and investor perspective. This opens a way for the exchange rate expectation-extraction by …

Persistent link: https://www.econbiz.de/10008540590

The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic

Dvořáková, Sylvie; Seidler, Jakub - In: Bulletin of the Czech Econometric Society 20 (2013)

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Persistent link: https://www.econbiz.de/10011152549