Artykuły naukowe (Inst. PiZ)

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https://repozytorium.wsb-nlu.edu.pl//handle/11199/92

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Przeglądaj Artykuły naukowe (Inst. PiZ) wg Autor "Capiński, Marek"

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    Predicting exchange rates via a futures market
    (2006) Capiński, Marek; Patena, Wiktor
    Predicting future spot exchange rates has always been useful for companies trading internationally. Now finding future exchange rates is essential for countries that are to join common currency zones (Eurosystem) and need to set reference rates for the ERM II. This paper presents a model that attempts to determine exchange rates and, unlike others, is based on an analysis of the futures market. The model is based on the assumption that the futures market is dominated by two categories of traders: arbitrageurs and fundamental traders. The divergence of the futures rate from its theoretical value is gauged and then considered to be an indication of the direction and strength of the two forces in the market. The arbitrageurs' influence is filtered out and thus the model outputs the rate based on the fundamental traders' expectations.
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    Real options - realistic valuation
    (2003) Capiński, Marek; Patena, Wiktor
    In valuation of real options, a widely accepted assumption is that the underlying real asset is perfectly correlated with a financial one. As a result, valuation techniques from the financial world can be used. Since this assumption is in general unrealistic and may lead to substantial mispricing, even if the correlation is very high but not perfect, we argue that a different approach is more adequate. It is based on a simple principle of invariance of the market price of risk computed for certain portfolios involving the underlying asset and the options. This is illustrated on a simple model where we can clearly see the relations between the prices obtained by various methods.