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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

Replication Methods in the Pricing and Hedging of Barrier Options

Tomáš, Tichý - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 7-8, pp. 305-324

This paper considers various options replication methods. Firstly, a specific type of barrier option, an up-and-out call, is considered. Other barrier options are briefly also described, and various types of barriers are considered. Secondly, a general definition of replication methods is...

Persistent link: https://www.econbiz.de/10008549672

Interest-Rate Swaps and Arbitrage

Málek, Jiøí - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 2, pp. 99-110

Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit...

Persistent link: https://www.econbiz.de/10008549883

Investigating a thin-capitalization rule: An option-based analysis

Vlachý, Jan - In: Politická ekonomie 2008 (2008) 5, pp. 656-668

The Czech tax system is undergoing radical transformation. Among the many forthcoming changes, several features can be identified, which alter the structure of tax asymmetries. This paper uses an option-based model of direct taxation to examine a controversial new thin-capitalization rule,...

Persistent link: https://www.econbiz.de/10008754958

Examination of selected improvement approaches to Monte Carlo simulation in option pricing

Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794

In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful....

Persistent link: https://www.econbiz.de/10008754960

Comparison of Selected Simple Models of Inflation in the Czech Economy

Melecký, Martin - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 5, pp. 279-297

This paper begins with a description of simple select models of inflation and their ability to fit the data. The paper in turn measures the stability of particular parsimonious models. One-step forecast tests are applied, which establish the instability of the money demand model compared with...

Persistent link: https://www.econbiz.de/10008540713

Credit and Household Consumption

Pašalièová, Renata; Stiller, Vladimír - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 11-12, pp. 520-540

The paper emphasizes how changes in credit conditions in the Czech Republic are likely to influence aggregate consumption. Aggregate consumption plays an important role in macroeconomic fluctuations and in the transmission mechanism. Czech household debt has increased in the past five years. The...

Persistent link: https://www.econbiz.de/10008549889

The Nobel Prize Laureates, 2003

Komárek, Luboš - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 7-8, pp. 355-356

The article summarizes the main points discussed at the seminar on The Nobel Prize Laureates, 2003, held by the Czech Economic Association in March 2004. The seminar featured two main speakers: Josef Arlt (University of Economics, Prague, and Charles University, Prague), who lectured on the work...

Persistent link: https://www.econbiz.de/10008495635

Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994?2000 ? èást II: firmy

Melecký, Martin - In: Czech Journal of Economics and Finance (Finance a uver) 52 (2002) 9, pp. 478-501

Práce se zabývá analýzou poptávky po penìzích firem v ÈR a její výsledky následnì srovnává s výsledky analogické analýzy v sektoru domácností. Zjištìné odlišnosti v obou sektorech jsou pak komentovány zejména ve smyslu potenciálních problémù, které tyto diskrepance...

Persistent link: https://www.econbiz.de/10008495772

Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994-2000 (èást I: domácnosti)

Melecký, Martin - In: Czech Journal of Economics and Finance (Finance a uver) 52 (2002) 7-8, pp. 428-449

Tato práce se zamìøuje na specifika poptávky po penìzích domácností a analyzuje souèasné charakteristiky této poptávkové funkce vèetnì trendù dalšího vývoje, pøedevším vzhledem k potenciálním problémùm pøi výzkumu poptávky po penìzích na agregátní úrovni....

Persistent link: https://www.econbiz.de/10008495824

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