| | SLO | ENG | Piškotki in zasebnost

Večja pisava | Manjša pisava

Iskanje po katalogu digitalne knjižnice Pomoč

Iskalni niz: išči po
išči po
išči po
išči po
* po starem in bolonjskem študiju

Opcije:
  Ponastavi


1 - 6 / 6
Na začetekNa prejšnjo stran1Na naslednjo stranNa konec
1.
VREDNOTENJE OPCIJ
Duška Nenić, 2013, diplomsko delo

Opis: Opcije so na področju gospodarstva prisotne že dolgo časa, vse od antičnih civilizacij. Večjo veljavo v finančnih tokovih so dobile maja 1972, ko je prišlo do prve uspešne inovacije na področju izvedenih finančnih instrumentov in nastanka prvega terminskega trga, na katerem so trgovali s finančnimi instrumenti, ko so v Chicagu odprli Mednarodni denarni trg (IMM-International Monetary Market) in začeli trgovati s sedmimi različnimi valutami. Z izvedenimi finančnimi instrumenti se je začelo obsežneje trgovati leta 1974 po ukinitvi vezave ameriškega dolarja na zlati standard. Propad dogovora, sklenjenega v Bretton Woodsu, je vplival na povečanje stopnje negotovosti glede cenovnih sprememb na svetovnih trgih. V tem obdobju je tudi nastalo nekaj najuspešnejših oblik izvedenih finančnih instrumentov, s katerimi se še danes trguje na terminskih trgih. Najbolj pogosti izvedeni finančni instrumenti so: CFD – contract for difference – pogodba za razliko v ceni, Futures contract – STP ali standardizirana terminska pogodba , naložbeni certifikati in opcije. Opcija je enostransko oblikovalno upravičenje, z uresničitvijo katerega imetnik opcije doseže sklenitev pogodbe o nakupu, prodaji ali zamenjavi, katere predmet je osnovni instrument. Opcije delimo v dve skupini: opcija, ki omogoča nakup osnovnega instrumenta, se imenuje nakupna opcija (ang. Call); opcija, ki omogoča prodajo osnovnega instrumenta, pa imenujemo prodajna opcija (ang. Put). Osnovni instrument je lahko delnica, obveznica, valuta ali katera koli druga javno znana vrednost. Opcije je mogoče vrednotiti na štiri načine: ceno opcije je mogoče primerjati z vrednostjo osnovnega instrumenta, na katerega je opcija napisana, ali z višino udarne ali izvršilne cene; profitabilnost opcijske strategije preverjamo s cenami osnovnega instrumenta (določimo cene osnovnega instrumenta, v okviru katerih je opcija profitabilna); opcijski finančni prag oziroma njegov potencial primerjamo s cenovnimi spremembami osnovnega instrumenta; določite absolutne prave cene opcije. Opcije pa vrednotimo s pomočjo modelov za vrednotenje. Modela vrednotenja opcij delimo v tri skupine: • ekonometrični modeli (Sheltovnov model, Kassoufov model); • verjetnostni modeli (Sprenklov model, Samuelson–Meronov model, Garman–Kohlhagenov model, Black–Scholesov model); • računalniški modeli vrednotenja.
Ključne besede: izvedeni finančni instrumenti, opcije, prodajna opcija, nakupna opcija, modeli vrednotenja opcij, ekonometrični modeli, verjetnostni modeli, Black–Scholesov model.
Objavljeno: 04.08.2014; Ogledov: 1269; Prenosov: 290
.pdf Celotno besedilo (975,98 KB)

2.
The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997-2010
Silvo Dajčman, 2012, izvirni znanstveni članek

Opis: The paper examines the comovement and spillover dynamics between the returns of the Czech and some major European stock markets (namely, the Austrian, French, German, and UK markets, as well as the Central and Eastern European stock markets of Poland, Hungary, and Slovenia). By applying the Dynamic Conditional Correlation GARCH model and Granger causality tests on wavelet transformed returns series for the period April 1997-May 2010 the following specific questions are answered. Is the co-movement (correlation) between the Czech and European stock markets time-varyinǵ What effect did the financial crises in the period 1997-2010 and the accession of the Czech Republic to the European Union have on the comovement between the Czech and European stock markets investigated? We also investigate whether there were return spillovers between the markets and whether they depended on the horizon over which they are calculated (i.e., are they a multiscale phenomenon). We found that comovement between the Czech and other stock market returns is time-varying. Furthermore, we found significant return spillovers between the Czech and European stock markets in the observed period. The wavelet Granger causality tests show that return spillovers were a multiscale phenomenon.
Ključne besede: borze, borzništvo, ekonometrični modeli, analiza, metode, Češka, EU
Objavljeno: 10.07.2015; Ogledov: 314; Prenosov: 21
URL Povezava na celotno besedilo

3.
A formal test of asymmetric correlation in stock market returns and the relevance of time interval of returns - a case of Eurozone stock markets
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: The paper examines the asymmetry of correlation between the Eurozoneʼs stock market returns. The asymmetry of correlation is investigated pair-wise, by estimating the exceedance correlation between returns of two stock markets at a time. As markets can be very volatile, especially in crisis periods, and because there are investors with different investment horizons, we investigate whether the results are sensitive to time interval of stock market returns. We found that the results of the exceedance correlation estimates and the asymmetric correlation test do depend on the time interval of returns. When longer time interval returns (20-day moving average returns) are used , the Eurozone stock markets ʼreturnsʼ dynamics are more (pair-wise) correlated in the falling markets than in the up markets, while for daily returns , the correlations in the up markets are higher for most of the investigated Euro zoneʼs stock indices pairs. An important implication of the results of the paper is that investors in stock markets should investigate the exceedance correlations and asymmetry of correlation for those return intervals (daily, weekly, monthly, etc.) that correspond to their investment horizon.
Ključne besede: borze, borzništvo, ekonometrični modeli, korelacije, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 413; Prenosov: 138
URL Povezava na celotno besedilo

4.
Co-exceedances in Eurozone sovereign bond markets
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: The paper examines contagion between the sovereign bond markets of six Eurozone countries (France, Germany, Ireland, Italy, Spain, and Portugal) in the period from January 2000 to August 2011. A multinomial logistic model is applied to analyze contagion based on measuring joint occurrences of large yield changes (i.e., co-exceedances), while controlling for developments in common and regional factors th at affect all sovereign bond markets simultaneously. I found that the Eurozoneʼs stock markets (EUROSTOXX50) returns, United Statesʼ Treasury note yields, and the Euro - U.S. dollar (EUR - USD) exchange rate significantly impact the probability of extreme posi tive yield moves in the Eurozoneʼs sovereign bond markets. Positive EUROSTOXX50 returns and upside moves in U.S. Treasury note yields increased the probability of extreme positive sovereign bond yield moves in the Eurozone, whereas an increase in the EUR-USD exchange rate significantly reduced the probability. Conditional volatility in the Eurozone stock markets and the money market interest rate do not significantly impact the probability of extreme yield increases in the Eurozoneʼs sovereign bond markets. Furthermore, the probability of observing exceedance across Eurozone sovereign bond markets increased dramatically during the Eurozone debt crisis compared to the pre-crisis period. This studyʼs results also indicate less synchronous extreme yield dynamics across the Eurozone sovereign bond markets during the global financial crisis, especially during the Eurozone debt crisis compared to the pre-crisis period.
Ključne besede: borze, borzništvo, krize, finančna kriza, ekonometrični modeli, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 423; Prenosov: 22
URL Povezava na celotno besedilo

5.
Co-exceedances in Eurozone sovereign stock markets - a multinomial logit analysis of contagion
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: This paper examines contagion between stock markets of six Eurozone countries (France, Germany, Greece, Ireland, Italy, and Spain ) during period from December 3, 2003 to January 27, 2012. A multinomial logistic model is applied to analyze contagion based on a measure of joint occurrences of extreme negative stock market returns (i.e. co-exceedances) while controlling for common and regional factors that affect all stock markets simultaneously. The results indicate that the DJI returns, the EUROSTOXX50 conditional volatility, and the EUR - USD exchange rate significantly impacted the probability of extreme negative returns in Eurozone stock markets. The probability of co-exceedance (or contagion) between the investigated Eurozone stock markets during the global financial crisis and the Eurozone debt crisis did not increase significantly.
Ključne besede: borze, borzništvo, krize, finančna kriza, ekonometrični modeli, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 356; Prenosov: 25
URL Povezava na celotno besedilo

6.
Diferencirano cestninjenje tovornih vozil in drugi instrumenti učinkovitejše cenovne in prometne politike na transportnem trgu v Sloveniji
Mateja Matajič, Jani Bekő, Timotej Jagrič, 2013, izvirni znanstveni članek

Opis: Izdelali smo ekonometrično analizo panelnih podatkov za transportno povpraševanje po prevozih s tovornimi vozili na 10 odsekih cestninskih cest v Sloveniji, ki je prva te vrste za Slovenijo. Transportno povpraševanje po prevozih s tovornimi vozili na slovenskih avtocestah je cenovno neelastično. Zviševanje cene za uporabo cest bi upravljavcu avtocest v Sloveniji lahko zagotavljalo več finančnih virov. Potrjena različna cenovna elastičnost povpraševanja narekuje uvedbo diferenciranih cestnin, ki omogoča hkratno upoštevanje cilja finančne vzdržnosti, cilja stroškovnih cen in večje internalizacije zunanjih stroškov transporta. Odzivnost transportnega povpraševanja glede na ceno goriva nakazuje, da lahko cenovna politika povpraševanje po transportu upravlja tudi z višino cene goriva. Na rast elastičnosti blagovnega transportnega povpraševanja lahko v Sloveniji vplivamo s širjenjem transportne ponudbe in večanjem konkurenčnosti alternativnega železniškega prevoza ter alternativnih transportnih poti.
Ključne besede: modeli, ekonometrija, ekonometrični modeli, cestninjenje, cestna infrastruktura, Slovenija
Objavljeno: 21.12.2015; Ogledov: 447; Prenosov: 28
URL Povezava na celotno besedilo

Iskanje izvedeno v 0.1 sek.
Na vrh
Logotipi partnerjev Univerza v Mariboru Univerza v Ljubljani Univerza na Primorskem Univerza v Novi Gorici