VIDOVICS-DANCS ÁGNES
Kizárólag fedezeti céllalJelen tanulmány arra szeretné felhívni a figyelmet, hogy néhány kiemelt pénzügyi fogalom meghatározása közel sem olyan egyértelmű, mint amennyire elsőre tűnhet -és ez olykor jogszabályok értelmezését is bizonytalanná teszi. Az itt leírt gondolatok sokéves pénzügyi kockázatkezelési gyakorlat során fogalmazódtak meg. Vannak a piacokon olyan befektetési formák, amelyeket a szabályozók védeni akarnak bizonyos kockázatoktól, ezért előírják a vagyon kezelőinek, hogy származtatott ügyleteket kizárólag fedezeti céllal köthetnek. Ez a gyakran visszatérő szófordulat adja a tanulmány alapját. Az írásnak nem célja megadni a helyes, egyetlen, igazi definícióját az érintett fogalmaknak, inkább a témában gondolatokat szeretne ébreszteni. * Journal of Economic Literature (JEL) kód: G28, G32.
In finance, the term path dependency is typically used when valuing derivative assets like American or Asian type options. Our simulation based example illustrates that the final payoff of an investment strategy could also depend on the previous historical price movements of the asset in our portfolio even if the final selling price of the asset itself is independent of it. As illustration, we use the real life monthly return data of the shares of the Hungarian oil company (MOL), and we show that it does matter what path the stock price follows from the purchase to the date of selling if we finance our portfolio from a debt requiring regular payments throughout the holding period. In our model the investor covers the required cash outflows by selling some of the shares originally bought. Over a ten year period one may achieve a total return between-100.0 and 1,026.0 per cent depending on the path of the share quotation generated randomly by mixing real life monthly returns. In 7.95 per cent of the cases we would even go bankrupt before the 10 years are over.
In this paper, we focus on the value of inflation-indexed bonds in an extended short rate model, which is a specific case of the general framework provided by Jarrow and Yildirim (2003). In the model, we assume mean-reverting stochastic dynamics under the risk neutral measure for both the short interest rate and the instantaneous inflation rate. We define the zero-coupon inflation-indexed bond, and first estimate its value by Monte Carlo simulation, then deduce an analytical formula as well. We briefly touch on the yield and inflation curves the model is able to produce.
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