In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...

Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in financial practice. It should provide a positive...

In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...

In this research, we return to a relatively old financial question, which is still unresolved, namely whether certain periods of time with normally distributed returns (referred to as Gaussian periods in the following) exist within market time series of returns in the case of liquid investment...

Catastrophic natural events in the Czech Republic have always caused a considerable burden on public finance. However, this risk can be transferred to capital market investors through CAT bonds, which have never been used for this purpose in the Czech Republic. The paper deals with the...

Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in financial practice. It should provide a positive...