Tanulmányomban bemutatom azokat a tényezőket, melyek befolyásolják a magyar államkötvények árfolyamait. Arra a kérdésre keresem a választ, hogy a válság során mely felárak mozgatták a hosszú lejáratú állampapírok hozamait. Egy Magyarországhoz hasonló, kis, nyitott, nettó...

Experimental evidence and opinions of market professionals suggest that people rely on mental accounting while valuing a call option. I show that mental accounting generates a closed-form alternative to the Black Scholes formula that does not require a complete market. The new formula is...

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

This note attempts to further elaborate why it is a myth that YTM is viewed as only a promised but not really earned interest rate. It addresses some misconceptions regarding what, between YTM and RCY, is a true rate of return of a coupon bond, why YTM is NOT just a “fictitious mathematical...

This study investigates whether there is empirical evidence that federal budget deficits in the U.S. actually lead to the crowding out of private investment in new plant and equipment. Several specifications are undertaken. Each of these estimations finds that private investment is apparently...

Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to a “Value” premium in equity returns. In particular, firms with relatively more firm-specific human capital or more positive covariance between asset growth and returns on human capital are...

Many derivatives products are directly or indirectly associated with integrated diffusion processes. We develop a general perturbation method to price those derivatives. We show that for any positive diffusion process, the hitting time of its integrated process is approximately normally...

We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices...

This study adopts a loanable funds model to investigate the impact of budget deficits in the U.S. on long term real interest rates. The study investigates both ex post real 10 year Treasury note yields and ex post real 20 year Treasury bond yields. The study period runs from 1955 through 1987,...

This article is a supplement to previously published paper [1]. It represents a theoretical example that demonstrates a strategy based on exploiting of found market inefficiency. It is fundamental. Thus, what markets without this inefficiency should be is an open question. It is connected to...