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

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.

A kivonulás-tiltakozás-hűség fogalomhármas közgazdaságtani relevanciája a 21. században = The relevance of "exit, voice and loyalty" theory in 21st-century economics

A dolgozat a politikatudomány és közgazdaság-tudomány határán álló kivonulás-tiltakozás-hűség modell lényegét járja körbe. Az Albert O. Hirschman által felépített gondolati keret szemléleti frissessége és sajátos megközelítési módja rendkívül termékenyítően hatott az elmúlt évtizedekben a társadalomtudományok fejlődésére. Mégis viszonylag periferikus helyet foglal el a közgazdaság-tudományon belül, miközben például a rendszerváltás és az azt követő társadalmi feszültségek megjelenése szempontjából is sokoldalúan használható fogalmi keretről van szó. A válság indukálta turbulens környezet még inkább rávilágít arra, hogy ma is időszerű perspektívát kínál a hanyatlás politikai gazdaságtana, azaz hasznos elemzési kapaszkodó nyújt az úgynevezett Hirschman-trilemma a társadalmi és gazdasági folyamatok értelmezéséhez. ________ The article concerns the "exit, voice, and loyalty" concept, which straddles the border of political science and economics. This theoretical framework, invented by Albert O. Hirschman, has exercised a fruitful influence in the social sciences in the last few decades, through its fresh features and original approach. However, it holds a peripheral position in economics and plays an undervalued role in eco-nomic education in Hungary, even though it can be flexibly applied in analyses of such phenomena as the economic transition and the ensuing social tensions. Moreover the very turbulence of the conditions brought about by the crisis show that the political economy of decline offers a relevant perspective, so that the Hirschman trilemma is a practical analytical tool for understanding social and economic processes.

Chaos Theory and Socio-Economic Renewal in Hungary

We utilised methods of chaos theory that were originally used in a 1990’s study to analyse the behaviour of various Hungarian socio-economic macro indicators, both historically and their expected behaviour in the future. In this study, we present the method adapted to PC and the behaviour of the selected macro indicators. We characterize the pathways our society and economy has experienced and where they are heading to into the future by the means of these indicators. Comparing the present results of analysis with the results twenty years ago (when today’s present was the future) we came to the conclusion that most of the indicators became less chaotic, thus the socio-economic courses were getting more stable over the past two decades. We conclude that the opportunity to change them is slowly diminishing, it will be more and more difficult to renew the Hungarian socio-economic indicators, and to turn the processes to more desirable courses. Recommendations for change interventions are then provided.

Kornai’s DRSE Theory Versus General Equilibrium Theory

János Kornai’s DRSE theory (Kornai, 2014) follows the ex post model philosophy which radically rejects the ex ante set of conditions laid down by the dominant neoclassical school and the stringent limits of equilibrium, and defines its own premises for the functioning of capitalist economy. In other words, the DRSE theory represents an extremely novel trend among the various schools of economics. The theory is still only a verbal model with the following supporting pillars as the immanent features of the capitalist system: dynamism, rivalry and the surplus economy. (The English name of the theory uses the initial letters of the terms Dynamism, Rivalry, Surplus Economy). The dominance of the surplus economy, that is, oversupply is replaced by monopolistic competition, uncertainty over the volume of demand, Schumpeterian innovation, dynamism, technological progress, creative destruction and increasing return to scale with rivalry between producers and service providers for markets. This paper aims to examine whether the DRSE theory can be formulated as a formal mathematical model. We have chosen a special route to do this: first we explore the unreal ex ante assumptions of general equilibrium theory (Walras, 1874; Neumann, 1945), and then we establish some of the possible connections between the premises of DRSE, which include the crucial condition that just like in biological evolution, there is no fixed steady state in the evolutionary processes of market economy, not even as a point of reference. General equilibrium theory and DRSE theory are compared in the focus of Schumpeterian evolutionary economics.