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.

Credit risk & forward price models

Doutoramento em Gestão

The conditional performance of euro bond funds: evidence from Portugal during the debt crisis

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.

The Structure and Short-Term Development of Finnish Industries in the 1920s and 1930s : An Input-output Approach

Tutkimuksen tavoitteena on tuottaa uutta tietoa Suomen kansantalouden rakenteesta ja lyhyen aikavälin kehityksestä 1920- ja 1930-luvulla. Tutkimus toteutettiin laatimalla kansantaloutta kuvaava panos-tuotostaulu vuodelle 1928 sekä sen laajennus, panos-tuotosmalli. Aineiston avulla kuvataan kansantalouden rakenteellisia riippuvuuksia, tuotannon avaintoimialoja sekä näiden vaikutusta kansantalouteen. Lisäksi tutkimuksessa tarkastellaan kansantalouden tuontiriippuvuutta sekä tuontitullien vaikutusta hintoihin 1930-luvun laman aikana. Tutkimuksen perusteella voitiin identifioida Suomen kansantalouden avaintoimialat vuonna 1928: maatalous, metsätalous, elintarviketeollisuus, puuteollisuus, paperiteollisuus ja rakennustoiminta. Erityisesti elintarviketeollisuuden vahva rooli kansantaloudessa oli kenties yllättävää, erityisesti kun huomioidaan kuinka vähän toimiala on saanut huomiota osakseen taloushistorian tutkimuksessa. Tutkimus osoitti, että Suomen vienti oli pääomavaltaisempaa kuin tuonti. Vaikka tämän tuloksen tulkinta on varauksellinen, tutkimus pystyi osoittamaan ja kvantifioimaan toimialojen työ- ja pääomapanoksen osuuden tuotoksesta yksityiskohtaisesti. Panos-tuotosmallilla arvioitiin puuteollisuuden, paperiteollisuuden ja rakennustoiminnan ajanjaksona 1928-32 tapahtuneen loppukäytön muutoksen vaikutusta kansantalouteen. Merkittävä havainto on, että rakennustoiminnan loppukäytön muutoksella oli erittäin suuri kasvua vähentävä vaikutus koko kansantaloudessa. Talonrakennusinvestointien romahtaminen aiheutti lähes 13 prosentin tuotannon laskun kansantaloudessa. Vaikutus oli jopa suurempi kuin puuteollisuuden viennin romahtamisen. Tulokset osoittavat toisaalta, että yksityisen kulutuksen merkitys kansantaloudelle oli erittäin vahva. Esimerkiksi puuteollisuuden viennin romahtaminen aiheutti yli 4 % tuotannon vähenemisen mutta huomioitaessa mallissa myös yksityisen kulutuksen väheneminen, oli kokonaisvaikutus yli 10 %. Yksityisen kulutuksen huomioiminen mallissa siis yli kaksinkertaisti toimialojen vaikutukset kansantalouteen. Tulokset vahvistivat aiemmissa tutkimuksissa esitettyjä johtopäätöksiä tullipolitiikasta ja osoittivat maatalouteen läheisesti liittyvän elintarviketeollisuuden olleen eniten suojeltu toimiala kansantaloudessa. Muut kotimarkkinoiden toimialat eivät kuitenkaan hyötyneet tullipolitiikasta lamakauden aikana. Panos-tuotoshintamallilla osoitettiin, ettei tullipolitiikka ollut niin onnistunutta kuin aikalaistutkimuksissa väitettiin, vaan tullit korkeintaan pystyivät hidastamaan hintojen alenemista. Tutkimuksen liitteenä esitetään kaikki keskeiset Suomen kansantaloutta vuonna 1928 kuvaavat tilastolliset taulukot, mukaan lukien käyttö- ja tarjontataulukot, panos-tuotostaulukot, panoskertoimet, Leontiefin käänteismatriisi sekä työ- ja pääomapanoskertoimet.

Population structure, long-term connectivity, and effective size of mutton snapper (Lutjanus analis) in the Caribbean Sea and Florida Keys

Genetic structure and average long-term connectivity and effective size of mutton snapper (Lutjanus analis) sampled from offshore localities in the U.S. Caribbean and the Florida Keys were assessed by using nuclear-encoded microsatellites and a fragment of mitochondrial DNA. No significant differences in allele, genotype (microsatellites), or haplotype (mtDNA) distributions were detected; tests of selective neutrality (mtDNA) were nonsignificant after Bonferroni correction. Heuristic estimates of average long-term rate of migration (proportion of migrant individuals/generation) between geographically adjacent localities varied from 0.0033 to 0.0054, indicating that local subpopulations could respond independently of environmental perturbations. Estimates of average longterm effective population sizes varied from 341 to 1066 and differed significantly among several of the localities. These results indicate that over time larval drift and interregional adult movement may not be sufficient to maintain population sustainability across the region and that there may be different demographic stocks at some of the localities studied. The estimate of long-term effective population size at the locality offshore of St. Croix was below the minimum threshold size considered necessary to maintain the equilibrium between the loss of adaptive genetic variance from genetic drift and its replacement by mutation. Genetic variability in mutton snapper likely is maintained at the intraregional level by aggregate spawning and random mating of local populations. This feature is perhaps ironic in that aggregate spawning also renders mutton snapper especially vulnerable to overexploitation.

Short-term effects of drawing water for connectivity of rivers and lakes on zooplankton community structure

During 28-29, September 2005, water was drawn from Hanjiang River and Houguan Lake to the Yangzi River via Sanjiao Lake and Nantaizi Lake in Wuhan in order to provide favorable conditions for ecosystem restoration. To evaluate the feasibility and validity of drawing water as a means of ecosystem restoration, zooplankton populations were studied 3 times (before, immediately after finishing and a month after drawing water) at seven locations from 27 Sept. 2005 to 2 Nov. 2005. Water quality in the lakes was mostly improved and zooplankton species richness decreased as soon as drawing water had finished but increased a month after drawing water. Zooplankton density and biomass was reduced in the lakes by drawing water but was increased at the entrance to Sanjiao Lake because of landform geometry change. Before drawing water, most species in Sanjiao Lake e.g., Brachionus sp. and Keratella sp. were tolerant of contamination. After drawing water oligotrophic-prone species such as Lecane ludwigii and Gastropus stylifer emerged. We conclude that drawing water could be important for improving water quality and favour ecosystem restoration. Dilution of nutrient concentrations may be an important role in the effect.

Measurement of a reciprocal four-port transmission line structure using the 16-term error model

A new method to measure reciprocal four-port structures, using a 16-term error model, is presented. The measurement is based on 5 two-port calibration standards connected to two of the ports, while the network analyzer is connected to the two remaining ports. Least-squares-fit data reduction techniques are used to lower error sensitivity. The effect of connectors is deembedded using closed-form equations. (C) 2007 Wiley Periodicals, Inc.

Assessing marine plankton community structure from long-term monitoring data with multivariate autoregressive (MAR) models: a comparison of fixed station versus spatially distributed sampling data

We examined how marine plankton interaction networks, as inferred by multivariate autoregressive (MAR) analysis of time-series, differ based on data collected at a fixed sampling location (L4 station in the Western English Channel) and four similar time-series prepared by averaging Continuous Plankton Recorder (CPR) datapoints in the region surrounding the fixed station. None of the plankton community structures suggested by the MAR models generated from the CPR datasets were well correlated with the MAR model for L4, but of the four CPR models, the one most closely resembling the L4 model was that for the CPR region nearest to L4. We infer that observation error and spatial variation in plankton community dynamics influenced the model performance for the CPR datasets. A modified MAR framework in which observation error and spatial variation are explicitly incorporated could allow the analysis to better handle the diverse time-series data collected in marine environments.

Effects of the Interaction Between Reaction Component of Personal Need for Structure and Role Perceptions on Employee Attitudes in Long-Term Care for Elderly People

This study examined the interaction of reaction component of personal need for structure (reaction to lack of structure, RLS) and role perceptions in predicting job satisfaction, job involvement, affective commitment, and occupational identity among employees working in long-term care for elderly people. High-RLS employees experienced more role conflict, had less job satisfaction, and experienced lower levels of occupational identity than did low-RLS employees. We found individual differences in how problems in roles affected employees' job attitudes. High-RLS employees experienced lower levels of job satisfaction, job involvement, and affective commitment, irrespective of role-conflict levels. Low-RLS employees experienced detrimental job attitudes only if role-conflict levels were high. Our results suggest that high-RLS people benefit less from low levels of experienced role conflicts.

The long-term impacts of fisheries on epifaunal assemblage function and structure, in a special area of conservation

Fisheries can have profound effects on epifaunal community function and structure. We analysed the results from five dive surveys (1975–1976, 1980, 1983, 2003 and 2007), taken in a Special Area of Conservation, Strangford Lough, Northern Ireland before and after a ten year period of increased trawling activity between 1985 and 1995. There were no detectable differences in the species richness or taxonomic distinctiveness before (1975–1983) and after (2003–2007) this period. However, there was a shift in the epifaunal assemblage between the surveys in 1975–1983 and 2003–2007. In general, the slow-moving, or sessile, erect, filterfeeders were replaced by highly mobile, swimming, scavengers and predators. There were declines in the frequency of the fished bivalve Aequipecten opercularis and the non-fished bivalves Modiolus modiolus and Chlamys varia and some erect sessile invertebrates between the surveys in 1975–1983 and 2003–2007. In contrast, there were increases in the frequency of the fished and reseeded bivalves Pecten maximus and Ostrea edulis, the fished crabs Cancer pagurus and Necora puber and the non-fished sea stars Asterias rubens, Crossaster papposus and Henricia oculata between the surveys in 1975–1983 and 2003–2007. We suggest that these shifts could be directly and indirectly attributed to the long-termimpacts of trawl fishing gear, although increases in the supply of discarded bait and influxes of sediment may also have contributed to changes in the frequency of some taxa. These results suggest that despite their limitations, historical surveys and repeat sampling over long periods can help to elucidate the inferred patterns in the epifaunal community. The use of commercial fishing gear was banned from two areas in Strangford Lough in 2011, making it a model ecosystem for assessing the long-term recovery of the epifaunal community from the impacts of mobile and pot fishing gear.

Effects of long-term diabetes on the structure and cell proliferation of the myometrium in the early pregnancy of mice

P>It is known that the development of diabetic complications in human pregnancy is directly related to the severity and the duration of this pathology. In this study, we developed a model of long-term type 1 diabetes to investigate its effects on the cytoarchitecture, extracellular matrix and cell proliferation during the first adaptation phase of the myometrium for pregnancy. A single dose of alloxan was used to induce diabetes in mice prior to pregnancy. To identify the temporal effects of diabetes the mice were divided into two groups: Group D1 (females that became pregnant 90-100 days after alloxan); Group D2 (females that became pregnant 100-110 days after alloxan). Uterine samples were collected after 168 h of pregnancy and processed for light and electron microscopy. In both groups the histomorphometric evaluation showed that diabetes promoted narrowing of the myometrial muscle layers which was correlated with decreased cell proliferation demonstrated by PCNA immunodetection. In D1, diabetes increased the distance between muscle layers and promoted oedema. Contrarily, in D2 the distance between muscle layers decreased and, instead of oedema, there was a markedly deposition of collagen in the myometrium. Ultrastructural analysis showed that diabetes affects the organization of the smooth muscle cells and their myofilaments. Consistently, the immunoreaction for smooth muscle alpha-actin revealed clear disorganization of the contractile apparatus in both diabetic groups. In conclusion, the present model demonstrated that long-term diabetes promotes significant alterations in the myometrium in a time-sensitive manner. Together, these alterations indicate that diabetes impairs the first phenotypic adaptation phase of the pregnant myometrium.