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.

Kamatlábak és árszint kis, nyitott gazdaságban = Interest rates and price levels in a small open economy

A tanulmány azt vizsgálja, hogy a különböző kamatlábaknak milyen hatásai vannak az árszintre, illetve a nominális árakra egy nyitott elsősorban kis, nyitott gazdaságban szabad tőkeáramlás mellett. Míg a zárt gazdaságban csupán a nominális és reálkamatláb megkülönböztetése a lényeges, nyitott gazdaságban a kamatlábak vizsgálatakor meg kell fontolnunk a kamatlábparitás kérdését is. Tisztáznunk kell a reálkamatláb összetevőit, amelyben fontos szerepet kap mind az árfolyam-begyűrűzés (pass-through), mind pedig a kockázati prémium mértéke. A kamatlábhatások vizsgálatakor először azt a mechanizmust elemezzük, amely által a kamatláb befolyásolja a tartós jószágok költségét (explicit vagy implicit bérleti díját). Másodszor az exportszektor termelési döntése és a hazai kamatláb viszonyára vonatkozó mechanizmust vizsgáljuk. Belátjuk, hogy az exportáló szektor döntései függetlenek lehetnek a belföldi kamatlábaktól. Harmadszor bizonyos árazási viselkedéseket tanulmányozunk. Bebizonyítjuk, hogy a kamatláb olyan növelése, ami nem változtat a jelenlegi árfolyamon, árszintnövelő az importőr ország számára. Megfogalmazható az a nézet, hogy ha van is a kamatlábaknak keresleti hatása a zárt gazdaságban, a kis, nyitott gazdaságban ez vélhetőleg sokkal gyengébb. _____ The study examines what effects various interest rates have on the price level and nomi-nal prices in an open (primarily small) economy with free flows of capital. A closed economy calls for a distinction only between nominal and real rates of interest, but in an open economy, questions of interest-rate parity have to be considered as well. It is nec-essary to clarify the factors behind the real interest rate important for price-level pass-through and for the scale of risk premium. Analysis of interest-rate effects begins with the mechanism whereby the interest rate influences the cost of fixed assets (explicit or implicit rents). Secondly, the mechanism behind the relation of export-sector production decisions and domestic interest rates is examined. It emerges that decisions of the export sector are independent of domestic interest rates. Thirdly, certain types of pricing behav-iour are studied. It is shown that a rise in the interest rate that does not alter the present exchange rate is a price-raising factor for the importing country. It can be assumed that if the interest rate has a demand effect in a closed economy, this will presumably be much weaker in a small open economy.

Development and Application of a Methodology to Identify Projects of Energy Community Interest

Projects of Energy Community Interest” (PECIs) is a label attached to those projects which have the highest positive impact in the largest possible number of Contracting Parties. The assessment of one hundred projects submitted as candidates, and final selection of 35 PECIs was achieved in a collaborative process undertaken by the same Task Force that contributed to the preparation of the Energy Strategy. Chaired by the European Commission, the Task Force was facilitated by the Energy Community Secretariat and benefited from technical assistance of a Consultant sponsored from the Energy Community budget.

Auswirkungen von Eigenkapitalregulierung auf optimale Bankkreditzinsniveaus (Effect of capital regulation on optimal bank loan interest rate levels)

Die Vielfalt von möglichen wirtschaftlichen Konsequenzen von Banksolvenzproblemen trägt auch dazu bei, dass wissenschaftliche Fragen über die Eigenkapitalregulierung im Bankensektor schon seit einigen Jahren ziemlich intensiv diskutiert werden. Die Effekte von Eigenkapitalregulierung können sich auf zahlreiche Weise zeigen, zum Beispiel ist ein Effekt auf das Kreditzinsniveau auch nicht auszuschließen. Um diesen potenziellen Zusammenhang, an den die frühere Literatur noch nicht fokussierte, klarer analysieren zu können, wird in der vorliegenden Studie ein theoretisches Modell präsentiert, in der eine Verbindung zwischen einem optimalen Bankkreditzinsniveau und der Eigenkapitalregulierung existiert. Die Optimalität von Kreditzinsniveaus wird aus zwei Aspekten betrachtet: als Optimalitätskriterien werden Gewinnmaximierung und Maximierung von Solvenzwahrscheinlichkeit verglichen. Aufgrund der Ergebnisse kann darauf geschlossen werden, dass diese zwei optimale Kreditzinsniveaus nicht identisch sind und unterschiedlich von Eigenkapitalregulierung beeinflusst werden. Nach theoretischen Ergebnissen ist es möglich, dass im Falle einer Erhöhung des Eigenkapitals bei gleichbleibenden Bankeinlagen das gewinnmaximierende Optimum sich nicht ändert, während das zu der Maximierung der Solvenzwahrscheinlichkeit gehörende Optimum sich verringert.

Nagyobb kockázat, nagyobb növekedési ütem - kockázat nélkül nincs növekedés! Hozzászólás Thomas Piketty A tőke a 21. században című könyvéhez (Why are interest rates higher than growth rates? A comment on Thomas Piketty's Capital in the Twenty-First Century)

E rövid írás aktualitását az adja, hogy nemrégen jelent meg magyarul Thomas Piketty híres könyve: A tőke a 21. században. A könyv központi gondolata, hogy az elmúlt kétszáz év átlagában a gazdaság átlagos növekedési üteme, a g jelentősen elmarad az r értékétől, vagyis a tőke átlagos hozamától. A nevezetes r>g összefüggés egyik lehetséges oka, hogy az r szórása nagyobb, mint a g-é. A nagyobb szórás mögött nagyobb kockázati motívumok állhatnak. Ebből következően a Piketty által javasolt adókat jelentős mértékben a pénzügyi tőkének kellene viselnie. ____ The immediacy of this note derives from the fact that Picatty's famous Capital in the Twenty-First Century has been recently published in Hungarian. The central issue in the book is that taking the average of 200 years, the mean growth rate g is lower than the average return on capital r. One possible explanation of this famous r > g inequality may be that the standard deviation of r is greater than that of g because of the greater appetite for risk. The implication to draw from this is that financial capital should bear the majority of the taxes being suggested by Piketty.

Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Illicit interest groups: The political impact of the Medellin drug trafficking organizations in Colombia

Although drug trafficking organizations (DTOs) exist and have an effect on health, crime, economies, and politics, little research has explored these entities as political organizations. Legal interest groups and movements have been found to influence domestic and international politics because they operate within legal parameters. Illicit groups, such as DTOs, have rarely been accounted for—especially in the literature on interest groups—though they play a measurable role in affecting domestic and international politics in similar ways. Using an interest group model, this dissertation analyzed DTOs as illicit interest groups (IIGs) to explain their political influence. The analysis included a study of group formation, development, and demise that examined IIG motivation, organization, and policy impact. The data for the study drew from primary and secondary sources, which include interviews with former DTO members and government officials, government documents, journalistic accounts, memoirs, and academic research. To illustrate the interest group model, the study examined Medellin-based DTO leaders, popularly known as the "Medellin Cartel." In particular, the study focused on the external factors that gave rise to DTOs in Colombia and how Medellin DTOs reacted to the implementation of counternarcotics efforts. The discussion was framed by the implementation of the 1979 Extradition Treaty negotiated between Colombia and the United States. The treaty was significant because as drug trafficking became the principal bilateral issue in the 1980s; extradition became a major method of combating the illicit drug business. The study's findings suggested that Medellin DTO leaders had a one-issue agenda and used a variety of political strategies to influence public opinion and all three branches of government—the judicial, the legislative, and the executive—in an effort to invalidate the 1979 Extradition Treaty. The changes in the life cycle of the 1979 Extradition Treaty correlated with changes in the political power of Medellin-based DTOs vis-à-vis the Colombian government, and international forces such as the U.S. government's push for tougher counternarcotics efforts.

Metacognitive Functions, Interest, and Student Engagement in the Writing Process: A Review of the Literature

The purpose of this paper is to draw on research that discusses the relationship between interest and metacognitive functions and its effect on engaging students in the writing process. Results indicate students who are interested in their writing activities engage in metacognitive strategies, remain focused, and complete their tasks.

Foreign aid and the national interest : the cases of the United States and Japan

Developed countries give foreign assistance for many reasons, one of which is the protection of national interests. Foreign aid gives a donor country leverage in international relations and is used as a tool of foreign policy. The United States and Japan are the two largest aid donors in the world. Each of these countries exert influence over specific regions through foreign assistance. Although the national interests of each country are different, both use foreign aid to protect these interests. This thesis discusses the means by which the United States and Japan use foreign aid in foreign policy. It looks specifically at U.S. food aid to Central America and Japanese aid to Asia.

Explaining Interest Group Interactions with Party Group Members in the European Parliament : Dominant Party Groups and Coalition Formation

Peer reviewed

Explaining Interest Group Interactions with Party Group Members in the European Parliament : Dominant Party Groups and Coalition Formation

Peer reviewed

Turing's menagerie:Talking lions, virtual bats, electric sheep and analogical peacocks: Common ground and common interest are necessary components of engagement

This theoretical paper attempts to define some of the key components and challenges required to create embodied conversational agents that can be genuinely interesting conversational partners. Wittgenstein's argument concerning talking lions emphasizes the importance of having a shared common ground as a basis for conversational interactions. Virtual bats suggests that-for some people at least-it is important that there be a feeling of authenticity concerning a subjectively experiencing entity that can convey what it is like to be that entity. Electric sheep reminds us of the importance of empathy in human conversational interaction and that we should provide a full communicative repertoire of both verbal and non-verbal components if we are to create genuinely engaging interactions. Also we may be making the task more difficult rather than easy if we leave out non-verbal aspects of communication. Finally, analogical peacocks highlights the importance of between minds alignment and establishes a longer term goal of being interesting, creative, and humorous if an embodied conversational agent is to be truly an engaging conversational partner. Some potential directions and solutions to addressing these issues are suggested.

Polymyalgia Rheumatica (PMR) Special Interest Group at OMERACT 11: outcomes of importance for patients with PMR

We worked toward developing a core outcome set for clinical research studies in polymyalgia rheumatica (PMR) by conducting (1) patient consultations using modified nominal group technique; (2) a systematic literature review of outcome measures in PMR; (3) a pilot observational study of patients presenting with untreated PMR, and further discussion with patient research partners; and (4) a qualitative focus group study of patients with PMR on the meaning of stiffness, using thematic analysis. (1) Consultations included 104 patients at 4 centers. Symptoms of PMR included pain, stiffness, fatigue, and sleep disturbance. Function, anxiety, and depression were also often mentioned. Participants expressed concerns about diagnostic delay, adverse effects of glucocorticoids, and fear of relapse. (2) In the systematic review, outcome measures previously used for PMR include pain visual analog scores (VAS), morning stiffness, blood markers, function, and quality of life; standardized effect sizes posttreatment were large. (3) Findings from the observational study indicated that asking about symptom severity at 7 AM, or "on waking," appeared more relevant to disease activity than asking about symptom severity "now" (which depended on the time of assessment). (4) Preliminary results were presented from the focus group qualitative study, encompassing broad themes of stiffness, pain, and the effect of PMR on patients' lives. It was concluded that further validation work is required before a core outcome set in PMR can be recommended. Nevertheless, the large standardized effect sizes suggest that pain VAS is likely to be satisfactory as a primary outcome measure for assessing response to initial therapy of PMR. Dissection of between-patient heterogeneity in the subsequent treatment course may require attention to comorbidity as a potential confounding factor.

David Phillips: The German example, English interest in educational provision in Germany since 1800, London / New York: Continuum 2011 [Rezension]

David Phillips: The German Example, English Interest in Educational Provision in Germany Since 1800, London / New York: Continuum 2011 (230 S.; ISBN 978-1-44114-130-9; 70,00 EUR)