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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

Kauzalní vztah peněžní nabídky a amerického akciového trhu

Širůček, Martin - 2015

Monograph on the Causal Relation of Money Supply and American Stock Market deals with the effect of the change of nominal money supply on the American stock index in the studied period 1967–2014. The „Industrial“ stock index Dow Jones Industrial Average, which is considered a barometer of...

Persistent link: https://www.econbiz.de/10015248810

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

Provazanost trhu potravin, biopaliv a fosilnich paliv

Chrz, Stepan; Hruby, Zdenek; Janda, Karel; Kristoufek, … - 2013

The interconnections within food, biofuel and fossil fuel markets are first described in the context of biofuels technologies and economic policy framework. Consequently, the econometric analysis consisting of Johansen cointegration, error correction model, vector autoregression and Granger...

Persistent link: https://www.econbiz.de/10015235445

Modifying IS-MP-IA Model for the Czech Economy

Hušek, Roman; Švarcová, Radka - In: Acta Oeconomica Pragensia 2007 (2007) 1, pp. 20-26

Modifying IS-MP-IA model by using EU economic characteristics allows for better interpretation of the results. Specifically, from the point of view of the IS and MP curves we obtain useful information about the influence of EU economy on the Czech economy (i.e. on its GDP). We may conclude that...

Persistent link: https://www.econbiz.de/10005036446

Modelling of Stock Returns Time-Series

Trešl, Jiří; Blatná, Dagmar - In: Acta Oeconomica Pragensia 2007 (2007) 1, pp. 114-120

In the study submitted, selected methods of financial time-series analysis are applied to daily returns of the most liquid stocks at Czech capital market. In most cases, symmetric GARCH(1,1) models are quite satisfactory. Further, ARFIMA models enabling to catch "long memory" of underlying...

Persistent link: https://www.econbiz.de/10005036485

The relationship of budget deficit and current account balance - panel data analysis

Arlt, Josef; Arltová, Markéta - In: Politická ekonomie 2005 (2005) 6, pp. 747-764

panel cointegration. According to the main stream of the economic theory the budget deficits leads to deterioration in the …

Persistent link: https://www.econbiz.de/10005036639