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.

eBEST platform a KKV-klaszterek operatív és együttműködési folyamatainak támogatására (eBEST platform for supporting operational and cooperative processes of SME's clusters)

Az Európai Bizottság jelentése szerint a magyar kis- és középvállalkozások helyzete 2005 óta stagnál. Bár ezek a vállalkozások adják a magyar vállalkozások 99%-át, mégis a közbeszerzési, valamint a növekvő piacokhoz való hozzáférés terén számos akadállyal kerülnek szembe. Az eBEST projekten (Empowering Business Ecosystems of Small Service Enterprises to Face the Economic Crisis) belül kialakított platform olyan funkcionalitással bír, ami mindamellett, hogy lehetővé teszi a vállalkozások szervezett csoportokba, azaz ökoszisztémákba rendeződését, hozzá tud járulni a fogyasztói igények kielégítése érdekében létrejövő ellátási lánc, illetve egyedi folyamatok mentén fellépő információszerzési, kommunikációs vagy együttműködési akadályok lebontásához. ____ It is widely recognised that the most important factor for increasing the productivity of small companies is a deep adoption of computer-based applications and services. The FP7 SME eBEST project proposed a new operational environment specifically conceived for net worked small companies, supported by an advanced suite of ICT services, the eBEST platform. The paper aims at presenting the projects achievements that are validated by a number of company clusters of different EU countries and industry sectors. The general objectives of the eBEST project are attracting customers to work with the clustered companies, facilitating companies to collaborate with each other, and enabling associations to foster the devised innovation.

Processes of social flourishing and their liminal collapse: elements to a genealogy of globalization

This article aims at exploring a long-term historical perspective on which contemporary globalization can be more meaningfully situated. A central problem with established approaches to globalization is that they are even more presentist than the literature on modernization was. Presentism not only means the ignoring of history, but also the unreflective application to history of concepts taken from the study of the modern world. In contrast, it is argued that contemporary globalization is not a unique development, but rather is a concrete case of a historical type. Taking as its point of departure the spirit, rather than the word, of Max Weber, this article extends the scope of sociological investigation into archaeological evidence. Having a genealogical design and introducing the concept of ‘liminality’, the article approaches the modern process of globalization through reconstructing the internal dynamics of another type of historical change called ‘social flourishing’. Taking up the Weberian approach continued by Eisenstadt in his writings on ‘axial age’, it moves away from situations of crisis as reference point, shifting attention to periods of revival by introducing the term ‘epiphany’. Through the case of early Mesopotamia, it shows how social flourishing can be transmogrified into globalizing growth, gaining a new perspective concerning the kind of ‘animating spirit’ that might have driven the shift from Renaissance to Reformation, the rise of modern colonialism, or contemporary globalization. More generally, it will retrieve the long-term historical background of the axial age and demonstrate the usefulness and importance of archaeological evidence for sociology.

Seawater carbonate chemistry and biological processes of Amphisorus hemprichii, Amphisorus kudakajimensis and Calcarina gaudichaudii during experiments, 2011

Ocean acidification, which like global warming is an outcome of anthropogenic CO2emissions, severely impacts marine calcifying organisms, especially those living in coral reef ecosystems. However, knowledge about the responses of reef calcifiers to ocean acidification is quite limited, although coral responses are known to be generally negative. In a culture experiment with two algal symbiont-bearing, reef-dwelling foraminifers, Amphisorus kudakajimensis and Calcarina gaudichaudii, in seawater under five different pCO2 conditions, 245, 375, 588, 763 and 907 µatm, maintained with a precise pCO2-controlling technique, net calcification of A. kudakajimensis was reduced under higher pCO2, whereas calcification of C. gaudichaudii generally increased with increased pCO2. In another culture experiment conducted in seawater in which bicarbonate ion concentrations were varied under a constant carbonate ion concentration, calcification was not significantly different between treatments in Amphisorus hemprichii, a species closely related to A. kudakajimensis, or in C. gaudichaudii. From these results, we concluded that carbonate ion and CO2 were the carbonate species that most affected growth ofAmphisorus and Calcarina, respectively. The opposite responses of these two foraminifer genera probably reflect different sensitivities to these carbonate species, which may be due to their different symbiotic algae.

Seawater carbonate chemistry, nutrient uptake and biological processes of coral Stylophora pistillata during experiments, 2011

The effects of ocean acidification and elevated seawater temperature on coral calcification and photosynthesis have been extensively investigated over the last two decades, whereas they are still unknown on nutrient uptake, despite their importance for coral energetics. We therefore studied the separate and combined impacts of increases in temperature and pCO2 on phosphate, ammonium, and nitrate uptake rates by the scleractinian coral S. pistillata. Three experiments were performed, during 10 days i) at three pHT conditions (8.1, 7.8, and 7.5) and normal temperature (26°C), ii) at three temperature conditions (26°, 29°C, and 33°C) and normal pHT(8.1), and iii) at three pHT conditions (8.1, 7.8, and 7.5) and elevated temperature (33°C). After 10 days of incubation, corals had not bleached, as protein, chlorophyll, and zooxanthellae contents were the same in all treatments. However, photosynthetic rates significantly decreased at 33°C, and were further reduced for the pHT 7.5. The photosynthetic efficiency of PSII was only decreased by elevated temperature. Nutrient uptake rates were not affected by a change in pH alone. Conversely, elevated temperature (33°C) alone induced an increase in phosphate uptake but a severe decrease in nitrate and ammonium uptake rates, even leading to a release of nitrogen into seawater. Combination of high temperature (33°C) and low pHT(7.5) resulted in a significant decrease in phosphate and nitrate uptake rates compared to control corals (26°C, pHT = 8.1). These results indicate that both inorganic nitrogen and phosphorus metabolism may be negatively affected by the cumulative effects of ocean warming and acidification.

Seawater carbonate chemistry and biological processes of Emiliania huxleyi (strains RCC1256 and NZEH) during experiments, 2011

With respect to their sensitivity to ocean acidification, calcifiers such as the coccolithophore Emiliania huxleyi have received special attention, as the process of calcification seems to be particularly sensitive to changes in the marine carbonate system. For E. huxleyi, apparently conflicting results regarding its sensitivity to ocean acidification have been published (Iglesias-Rodriguez et al., 2008a; Riebesell et al., 2000). As possible causes for discrepancies, intra-specific variability and different effects of CO2 manipulation methods, i.e. the manipulation of total alkalinity (TA) or total dissolved inorganic carbon (DIC), have been discussed. While Langer et al. (2009) demonstrate a high degree of intra-specific variability between strains of E. huxleyi, the question whether different CO2 manipulation methods influence the cellular responses has not been resolved yet. In this study, closed TA as well as open and closed DIC manipulation methods were compared with respect to E. huxleyi's CO2-dependence in growth rate, POC- and PIC-production. The differences in the carbonate chemistry between TA and DIC manipulations were shown not to cause any differences in response patterns, while the latter differed between open and closed DIC manipulation. The two strains investigated showed different sensitivities to acidification of seawater, RCC1256 being more negatively affected in growth rates and PIC production than NZEH.

Seawater carbonate chemistry and biological processes of sand dollars Dendraster excentricus during experiments, 2011

Reduction in global ocean pH due to the uptake of increased atmospheric CO2 is expected to negatively affect calcifying organisms, including the planktonic larval stages of many marine invertebrates. Planktonic larvae play crucial roles in the benthic-pelagic life cycle of marine organisms by connecting and sustaining existing populations and colonizing new habitats. Calcified larvae are typically denser than seawater and rely on swimming to navigate vertically structured water columns. Larval sand dollars Dendraster excentricus have calcified skeletal rods supporting their bodies, and propel themselves with ciliated bands looped around projections called arms. Ciliated bands are also used in food capture, and filtration rate is correlated with band length. As a result, swimming and feeding performance are highly sensitive to morphological changes. When reared at an elevated PCO2 level (1000 ppm), larval sand dollars developed significantly narrower bodies at four and six-arm stages. Morphological changes also varied between four observed maternal lineages, suggesting within-population variation in sensitivity to changes in PCO2 level. Despite these morphological changes, PCO2 concentration alone had no significant effect on swimming speeds. However, acidified larvae had significantly smaller larval stomachs and bodies, suggesting reduced feeding performance. Adjustments to larval morphologies in response to ocean acidification may prioritize swimming over feeding, implying that negative consequences of ocean acidification are carried over to later developmental stages.

Seawater carbonate chemistry and biological processes of zooplankton Amphiascoides atopus and Schizopera knabeni during experiments, 2010

Increased atmospheric CO2 concentrations are causing greater dissolution of CO2 into seawater, and are ultimately responsible for today's ongoing ocean acidification. We manipulated seawater acidity by addition of HCl and by increasing CO2 concentration and observed that two coastal harpacticoid copepods, Amphiascoides atopus and Schizopera knabeni were both more sensitive to increased acidity when generated by CO2. The present study indicates that copepods living in environments more prone to hypercapnia, such as mudflats where S. knabeni lives, may be less sensitive to future acidification. Ocean acidification is also expected to alter the toxicity of waterborne metals by influencing their speciation in seawater. CO2 enrichment did not affect the free-ion concentration of Cd but did increase the free-ion concentration of Cu. Antagonistic toxicities were observed between CO2 with Cd, Cu and Cu free-ion in A. atopus. This interaction could be due to a competition for H+ and metals for binding sites.

Seawater carbonate chemistry and biological processes of Mytilus edulis during experiments, 2011

Ocean acidification (OA) resulting from anthropogenic emissions of carbon dioxide (CO2) has already lowered and is predicted to further lower surface ocean pH. There is a particular need to study effects of OA on organisms living in cold-water environments due to the higher solubility of CO2 at lower temperatures. Mussel larvae (Mytilus edulis) and shrimp larvae (Pandalus borealis) were kept under an ocean acidification scenario predicted for the year 2100 (pH 7.6) and compared against identical batches of organisms held under the current oceanic pH of 8.1, which acted as a control. The temperature was held at a constant 10°C in the mussel experiment and at 5°C in the shrimp experiment. There was no marked effect on fertilization success, development time, or abnormality to the D-shell stage, or on feeding of mussel larvae in the low-pH (pH 7.6) treatment. Mytilus edulis larvae were still able to develop a shell in seawater undersaturated with respect to aragonite (a mineral form of CaCO3), but the size of low-pH larvae was significantly smaller than in the control. After 2 mo of exposure the mussels were 28% smaller in the pH 7.6 treatment than in the control. The experiment with Pandalus borealis larvae ran from 1 through 35 days post hatch. Survival of shrimp larvae was not reduced after 5 wk of exposure to pH 7.6, but a significant delay in zoeal progression (development time) was observed.

Seawater carbonate chemistry, growth rate and hatching processes of Symsagittifera roscoffensis during experiments, 2012

As a consequence of anthropogenic CO2 emissions, oceans are becoming more acidic, a phenomenon known as ocean acidification. Many marine species predicted to be sensitive to this stressor are photosymbiotic, including corals and foraminifera. However, the direct impact of ocean acidification on the relationship between the photosynthetic and nonphotosynthetic organism remains unclear and is complicated by other physiological processes known to be sensitive to ocean acidification (e.g. calcification and feeding). We have studied the impact of extreme pH decrease/pCO2 increase on the complete life cycle of the photosymbiotic, non-calcifying and pure autotrophic acoel worm, Symsagittifera roscoffensis. Our results show that this species is resistant to high pCO2 with no negative or even positive effects on fitness (survival, growth, fertility) and/or photosymbiotic relationship till pCO2 up to 54 K µatm. Some sub-lethal bleaching is only observed at pCO2 up to 270 K µatm when seawater is saturated by CO2. This indicates that photosymbiosis can be resistant to high pCO2. If such a finding would be confirmed in other photosymbiotic species, we could then hypothesize that negative impact of high pCO2 observed on other photosymbiotic species such as corals and foraminifera could occur through indirect impacts at other levels (calcification, feeding).

Seawater carbonate chemistry and biological processes of coccolithophore (Gephyrocapsa oceanica and Coccolithus pelagicus ssp. braarudii) during experiments, 2011

All species of coccolithophore appear to respond to perturbations of carbonate chemistry in a different way. Here, we show that the degree of malformation, growth rate and stable isotopic composition of organic matter and carbonate produced by two contrasting species of coccolithophore (Gephyrocapsa oceanica and Coccolithus pelagicus ssp. braarudii) are indicative of differences between their photosynthetic and calcification response to changing DIC levels (ranging from ~1100 to ~7800 µmol/kg) at constant pH (8.13 ± 0.02). Gephyrocapsa oceanica thrived under all conditions of DIC, showing evidence of increased growth rates at higher DIC, but C. braarudii was detrimentally affected at high DIC showing signs of malformation, and decreased growth rates. The carbon isotopic fractionation into organic matter and the coccoliths suggests that C. braarudii utilises a common internal pool of carbon for calcification and photosynthesis but G. oceanica relies on independent supplies for each process. All coccolithophores appear to utilize bicarbonate as their ultimate source of carbon for calcification resulting in the release of a proton. But, we suggest that this proton can be harnessed to enhance the supply of CO2(aq) for photosynthesis either from a large internal HCO3- pool which acts as a pH buffer (C. braarudii), or pumped externally to aid the diffusive supply of CO2 across the membrane from the abundant HCO3- (G. oceanica), likely mediated by an internal and external carbonic anhydrase respectively. Our simplified hypothetical spectrum of physiologies may provide a context to understand different species response to changing pH and DIC, the species-specific delta p and calcite "vital effects", as well as accounting for geological trends in coccolithophore cell size.

Seawater carbonate chemistry and biological processes of Sepia officinalis during experiments, 2010

Acidification of ocean surface waters by anthropogenic carbon dioxide (CO2) emissions is a currently developing scenario that warrants a broadening of research foci in the study of acid-base physiology. Recent studies working with environmentally relevant CO2 levels, indicate that some echinoderms and molluscs reduce metabolic rates, soft tissue growth and calcification during hypercapnic exposure. In contrast to all prior invertebrate species studied so far, growth trials with the cuttlefish Sepia officinalis found no indication of reduced growth or calcification performance during long-term exposure to 0.6 kPa CO2. It is hypothesized that the differing sensitivities to elevated seawater pCO2 could be explained by taxa specific differences in acid-base regulatory capacity. In this study, we examined the acid-base regulatory ability of S. officinalis in vivo, using a specially modified cannulation technique as well as 31P NMR spectroscopy. During acute exposure to 0.6 kPa CO2, S. officinalis rapidly increased its blood [HCO3] to 10.4 mM through active ion-transport processes, and partially compensated the hypercapnia induced respiratory acidosis. A minor decrease in intracellular pH (pHi) and stable intracellular phosphagen levels indicated efficient pHi regulation. We conclude that S. officinalis is not only an efficient acid-base regulator, but is also able to do so without disturbing metabolic equilibria in characteristic tissues or compromising aerobic capacities. The cuttlefish did not exhibit acute intolerance to hypercapnia that has been hypothesized for more active cephalopod species (squid). Even though blood pH (pHe) remained 0.18 pH units below control values, arterial O2 saturation was not compromised in S. officinalis because of the comparatively lower pH sensitivity of oxygen binding to its blood pigment. This raises questions concerning the potentially broad range of sensitivity to changes in acid-base status amongst invertebrates, as well as to the underlying mechanistic origins. Further studies are needed to better characterize the connection between acid-base status and animal fitness in various marine species.

Seawater carbonate chemistry and biological processes of Emiliania huxleyi (PML B92/11) during experiments, 2011

The present study investigates the combined effect of phosphorous limitation, elevated partial pressure of CO2 (pCO2) and temperature on a calcifying strain of Emiliania huxleyi (PML B92/11) by means of a fully controlled continuous culture facility. Two levels of phosphorous limitation were consecutively applied by renewal of culture media (N:P = 26) at dilution rates (D) of 0.3 d- and 0.1 d-1. CO2 and temperature conditions were 300, 550 and 900 µatm pCO2 at 14 °C and 900 µatm pCO2 at 18 °C. In general, the steady state cell density and particulate organic carbon (POC) production increased with pCO2, yielding significantly higher concentrations in cultures grown at 900 µatm pCO2 compared to 300 and 550 µatm pCO2. At 900 µatm pCO2, elevation of temperature as expected for a greenhouse ocean, further increased cell densities and POC concentrations. In contrast to POC concentration, C-quotas (pmol C cell-1) were similar at D = 0.3 d-1 in all cultures. At D = 0.1 d-1, a reduction of C-quotas by up to 15% was observed in the 900 µatm pCO2 at 18 °C culture. As a result of growth rate reduction, POC:PON:POP ratios deviated strongly from the Redfield ratio, primarily due to an increase in POC. Ratios of particulate inorganic and organic carbon (PIC:POC) ranged from 0.14 to 0.18 at D = 0.3 d-1, and from 0.11 to 0.17 at D = 0.1 d-1, with variations primarily induced by the changes in POC. At D = 0.1 d-1, cell volume was reduced by up to 22% in cultures grown at 900 µatm pCO2. Our results indicate that changes in pCO2, temperature and phosphorus supply affect cell density, POC concentration and size of E. huxleyi (PML B92/11) to varying degrees, and will likely impact bloom development as well as biogeochemical cycling in a greenhouse ocean.