Rodyti trumpą aprašą

dc.contributor.authorStádník, Bohumil
dc.date.accessioned2024-06-20T09:04:08Z
dc.date.available2024-06-20T09:04:08Z
dc.date.issued2014
dc.identifier.isbn9786094576508en_US
dc.identifier.issn2029-4441en_US
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/154513
dc.description.abstractIn this financial engineering research we newly derive that a market price volatility of a typical coupon bond is not always deterministically decreasing during its life (investors’ common concept); but we also identify a non-typical volatility development style which is characterized by a deterministic increase of volatility during its life to maturity. In addition: we also numerically calculate value of the “switching” points between these two styles with respect to the economic interest rates level and parameters of adequate bond. The purpose of this study is also to simplify for practitioners a complicated theoretical background of this portfolio management issue. The results of this research are also applicable to a bond portfolio behaviour at a certain point of time.en_US
dc.format.extent7 p.en_US
dc.format.mediumTekstas / Texten_US
dc.language.isoenen_US
dc.relation.urihttps://etalpykla.vilniustech.lt/handle/123456789/154365en_US
dc.source.urihttp://old.konferencijos.vgtu.lt/bm.vgtu.lt/public_html/index.php/bm/bm_2014/paper/view/463en_US
dc.subjectbond volatility styleen_US
dc.subjectbond portfolioen_US
dc.subjectmaturityen_US
dc.subjectyield to maturityen_US
dc.subjectprice sensitivityen_US
dc.titleThe volatility puzzle of bondsen_US
dc.typeKonferencijos publikacija / Conference paperen_US
dcterms.accessRightsLaisvai prieinamas / Openly availableen_US
dcterms.accrualMethodRankinis pateikimas / Manual submissionen_US
dcterms.alternativeFinance engineeringen_US
dcterms.issued2014-05-16
dcterms.references20en_US
dc.description.versionTaip / Yesen_US
dc.contributor.institutionThe University of Economics in Pragueen_US
dcterms.sourcetitle8th International Scientific Conference “Business and Management 2014”en_US
dc.identifier.eisbn9786094576492en_US
dc.identifier.eissn2029-929Xen_US
dc.publisher.nameVilnius Gediminas Technical Universityen_US
dc.publisher.nameVilniaus Gedimino technikos universitetasen_US
dc.publisher.countryLithuaniaen_US
dc.publisher.countryLietuvaen_US
dc.publisher.cityVilniusen_US
dc.identifier.doihttp://dx.doi.org/10.3846/bm.2014.039en_US


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