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On Estimation of Volatility of Financial Time Series for Pricing Derivatives
Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21
Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...
Persistent link: https://www.econbiz.de/10005036300
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Some Remarks On the Impact of Risk Management on Firm Value
Hnilica, Jiří - In: Acta Oeconomica Pragensia 2005 (2005) 4, pp. 80-112
The paper focuses on how risk management may influence the value of a company. Situation is discussed with models of Modigliani - Miller - Fama and their assumptions in the background. After the basic explications of the afore mentioned models and of the decision- making rule for investments,...
Persistent link: https://www.econbiz.de/10005036438
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Hedging Strategies and Financial Risks
Zmeškal, Zdenìk - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 1-2, pp. 50-63
Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of … select hedging strategies. Five basic hedging strategies ? delta hedging, minimum variance, minimum value at risk, maximum … and commodity-risk hedging are described. Several applications are suitable for small open economies that lack liquid …
Persistent link: https://www.econbiz.de/10008495620