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Vield curve construction using government bonds in the Czech republic

Málek, Jiří; Radová, Jarmila; Štěrba, Filip - In: Politická ekonomie 2007 (2007) 6, pp. 792-808

The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do...

Persistent link: https://www.econbiz.de/10005036582

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 volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

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

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 …

Persistent link: https://www.econbiz.de/10008495620

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

Monetární vazby na českém mezibankovním trhu

Hanousek, Jan - In: Finance a úvěr 48 (1998) 2, pp. 99-109

Persistent link: https://www.econbiz.de/10001235137

Výnosová křivka : teorie a praxe českého finančního trhu v kontextu měnové politiky ČNB v r. 1993

Matalik, Ivan - In: Finance a úvěr 44 (1994) 11, pp. 597-609

Persistent link: https://www.econbiz.de/10001203282

New Approach to Evalution of Risk Loans

Schönfeld, Jaroslav - In: Ekonomika a managment 2008 (2008) 4

During the last few years the Czech Republic has witnessed a great boom in the area of a problematic and irrecoverable credit settlement. Late and substandard payments have become rather a tradition in the Czech way of doing business. Consequently the solution by selling receivables to the third...

Persistent link: https://www.econbiz.de/10009398904