Corvinus
Corvinus

Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Száz, János and Király, Júlia (2005) Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives). Szigma, 36 (1-2). pp. 31-60.

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Abstract

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

Item Type:Article
Uncontrolled Keywords:opciós ügyletek, származékos ügyletek, volatilitás, pénzügyi matematika, volatility, financial derivatives
Divisions:Faculty of Business Administration > Institute of Finance and Accounting > Department of Finance
Subjects:Mathematics, Econometrics
Finance
Projects:OTKA T 047193
ID Code:599
Deposited By: Ádám Hoffmann
Deposited On:06 Apr 2012 10:01
Last Modified:03 Jul 2012 01:27

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