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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

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

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

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

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

A Simple Stock Market Model Involving Delay

Melecký, Jan - In: Bulletin of the Czech Econometric Society 13 (2006)

We suggest a model that describes dynamics of the stock price and its intrinsic value in the stock market. The model is based on characterization of the market participants behavior and on the relationship between the stock market and business environment. The model deals with two commonly...

Persistent link: https://www.econbiz.de/10008528808

Effective duration for callable bonds

Řežábková, Jitka - In: Bulletin of the Czech Econometric Society 7 (2000)

A method of callable bonds pricing based on a binomial process is derived and the behaviour of this price when the yield curve changes is studied. The conclusion is that the effective duration corresponding to this pricing method may be a misguided characteristic, because the value of a callable...

Persistent link: https://www.econbiz.de/10008528811