Option pricing is one of the most important issues while dealing with this sort of terminal assets. At present, the probabilistic Black–Scholes model and the binominal Cox–Ross–Rubinstein model are the most popular and widely used to this end. Therefore, the paper discusses the impact of...

Celem opracowania jest analiza zasadnosci wykorzystania metody Valua at Risk w szacowaniu ryzyka zwiazanego z inwestycja w spolki branzy metalurgicznej. W artykule przedstawiono sposob konstruowania modelu, rozne metody jego estymacji oraz ich wady i zalety. W czesci badawczej artykulu...

The paper presents empirical results on the discounting of delayed payoffs which show that: (1) the best approximation of the discounting process is a hyperbolic function, (2) (both animals and humans) can reverse their preferences in time. The article presents theoretical conditions on the...

We examine the estimation problem for shape-restricted functions that are continuous, non-negative, monotone non-decreasing, and strictly concave. A sieve estimator based on bivariate Bernstein polynomials is proposed. This estimator is drawn from a sieve, a set of shape-restricted Bernstein...

The econometric literature offers various modeling approaches for analyzing micro data in combination with time series of aggregate data. This paper discusses the estimation of a VAR model that allows unobserved heterogeneity across observation unit, as well as unobserved time-specific...

We discuss the origins and the possible reasons for the sudden death of the VOLAX contract.

We analyze the implied volatility surface structure of ODAX options as traded on DTB (currently Eurex). We apply PCA to cross sections of the implied volatility surface taken along the same moneyness (m) or the same time to maturity (T). For data from the period October 3rd 1997 – November...

The paper presents methods of stratification of the research target group and selection of experts for modelling of decision-making processes with Analytic Hierarchy Process method. Research aims at finding a proper and effective method of structuring the research target group. Additionally, it...

The objective of this paper is identification of risk factors in a bilateral monopoly of a lignite mine and a power plant. The paper described a bilateral monopoly market and risk factors which appear on each step of value creation chain from the lignite deposit, through mine and power plant...