This paper presents the empirical analysis of interest rate models: Vasicek (1977), and Cox, Ingersoll and Ross (1985). The parameters of the instantaneous interest rate processes were estimated using time series techniques. ...

The purpose of this paper is to present dynamic approach to selection of efficient portfolios using a multivariate GARCH model. The paper examines if taking into consideration time varying variances and covariance's of ...

The Data Envelopment Analysis (DEA) for the portfolio valuation is a brand new application of the method, which was so far widely used in the assessment of decisions made by microeconomic units. We present the empirical ...

Chaos theory has become a new approach to financial processes analysis. Due to complicated dynamics, chaotic time series seem to be random and, in consequence, unpredictable. In fact, unlike truly random processes, chaotic ...

This paper deals with new immunization strategies for a noncallable and default-free bond portfolio. This approach refers to the Fong and Vasicek (1984), the Nawalkha and Chambers (1996), the Balbàs and Ibáňez (1998), and ...

In this paper we study the relationship between multivariate a-stable probability distributions and their spectral measure. Analytical method based on nonabelian harmonic analysis is used to express the spectral measure ...

In this paper option pricing is treated as an application of Bayesian predictive analysis. The distribution of the discounted payoff, induced by the predictive density of future observables, is the basis for direct option ...

Garsztka, Matuszewski, and Wieloch (2003) proposed a new method of constructing a liquidity measure, based on the probability of closing a transaction that depends on the price limit and turnover volume. To extend the ...

Stochastic volatility (SV) models form a class of models applied to financial instrument volatility forecasting that is alternative to the one consisting of better known GARCH models. In contrast to GARCH models, the ...

The notion of daily realized volatility introduced by Andersen and Bollerslev gave a new impulse to research connected with modeling and forecasting the volatility of financial returns using GARCH models. Daily realized ...