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KrzysztofJajuga
–Modelsoffinancialtimeseries.
–Pricingmodels.
–Riskmodels.
Nowwegiveveryshortdescriptionofeachgroup.
Modelsoffinancialtimeseries
Herethemaingoalsare:
–Verificationofthehypothesesderivedbyeconomictheoryusingempirical
data(confirmatorygoal).
–Explorationofdatatofindsomepatternsthatcanbeusedinthedecision
makingprocess(exploratorygoal).
Inouropinion,fromthepracticalpointofview,thesuitableclassification
ofthesemodelscanbebasedontwocriteria:
–whethertheanalyzedtimeseriesisunivariateormultivariate,
–whethertheanalyzedvariablescanorcannotbedividedintotwogroups:
endogenousvariablesandexogenousvariables–thiscriterionleadstothe
naturaldistinctionbetween“regressiontypemodels”and“non-regression
typemodels”.
Pricingmodels
Themaingoalofpricingmodelsisthedeterminationofthefairvalue
offinancialinstrument,whichisthepriceatwhichthisinstrumentshouldbe
tradedbyrationalandwellinformedagentsinthemarketbeinginequilibrium.
Themainapproachesusedinthepricingoffinancialinstrumentsare:
–DiscountedCashFlowvaluation(calledalsoincomevaluation)–thevalue
isgivenaspresentvalueoffuturecashflows;
–Multipliervaluation–valueisgivenindirectlythroughtherelationto
thepriceofsimilarinstrument;
–Arbitragevaluation–thevalueisdeterminedinsuchawaythatarbitrage
isnotpossible,wherebyarbitragewemeanthetransaction,whichisInvest-
ment-free,risk-freeandgivingpositivecashflow.
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