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The Scenario-Based Approach to Trade in Option Contracts

Semenov M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Digest Finance, #1, 2019

Subject Nowadays, traditional methods may hardly forecast how prices for assets will go. The scenario-based approach becomes more widely spread in various sciences, including financial mathematics. The key idea of the scenario-based approach is a scenario tree representing the hierarchical structure of data, outlining how things may unfold, and evaluating the probability. This approach helps model various scenarios of the future situation, thus allowing to make appropriate decisions.
Objectives The research produces a one-period scenario tree showing how the price for the asset may develop. We also analyze the sensitivity of the parameter influencing the number of descendants of vertices.
Methods The research is based on the economic-mathematic model of the geometric (Brownian) motion, which is expressed through the stochastic differential equation. The model and sensitivity analysis are implemented in MATLAB. We also applied methods of comparative and static analysis, graphic interpretation.
Results We constructed a one-period scenario tree for a change in the options price. Having analyzed the sensitivity of the descendant vertex parameter, we determined the optimal range of option strike price intervals.
Conclusions and Relevance We chose the geometric motion model as the basis for the scenario-based approach since it helps construct the one-period scenario tree. This approach allows to evaluate the scenario probability. However, its weakness is that it generates the unoptimal number of descendant vertex of a tree. Furthermore, the market situation requires to test the asset for liquidity through various metrics. For example, the number of deals and trading volume.


The use of the scenario-based approach for trade in options contracts

Semenov M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Financial Analytics: Science and Experience, #1, 2019

Subject Nowadays, traditional methods may hardly forecast how prices for assets will go. The scenario-based approach becomes more widely spread in various sciences, including financial mathematics. The key idea of the scenario-based approach is a scenario tree representing the hierarchical structure of data, outlining how things may unfold, and evaluating the probability. This approach helps model various scenarios of the future situation, thus allowing to make appropriate decisions.
Objectives The research produces a one-period scenario tree showing how the price for the asset may develop. We also analyze the sensitivity of the parameter influencing the number of descendants of vertices.
Methods The research is based on the economic-mathematic model of the geometric (Brownian) motion, which is expressed through the stochastic differential equation. The model and sensitivity analysis are implemented in MATLAB. We also applied methods of comparative and static analysis, graphic interpretation.
Results We constructed a one-period scenario tree for a change in the options price. Having analyzed the sensitivity of the descendant vertex parameter, we determined the optimal range of option strike price intervals.
Conclusions and Relevance We chose the geometric motion model as the basis for the scenario-based approach since it helps construct the one-period scenario tree. This approach allows to evaluate the scenario probability. However, its weakness is that it generates the unoptimal number of descendant vertex of a tree. Furthermore, the market situation requires to test the asset for liquidity through various metrics. For example, the number of deals and trading volume.


Protection of impaired savings of people as a socio-economic factor of Russia's development

Semenov S.K. Astrakhan State Technical University, Astrakhan, Russian Federation ( semenov_sk@mail.ru )

Semenov K.S. Astrakhan State Technical University, Astrakhan, Russian Federation ( ks-semenov@mail.ru )

Journal: Finance and Credit, #9, 2018

Subject This paper examines the problems of economic and monetary policy, investment and savings, in particular, the restoration of the impaired savings of people.
Objectives The paper aims to analyze the issues of compensating the population's bank deposits that impaired at the beginning of market reforms. The paper does not intend to discuss the causes and specific persons involved in the process of impairment of savings.
Methods We use the works of foreign and national scientists as a methodological and theoretical basis of the study. The study involves the dialectic principle, methods of logical and statistical analyses.
Results The paper analyzes the process of compensation and rehabilitation of impaired deposits of people in Russia and the former Soviet Union. We contribute suggestions on the question.
Conclusions and Relevance We conclude that the Russian Federation government should undertake activities to gradually restore the impaired savings. It will ensure the restoration of the citizens' confidence in public and financial institutions. People will be able to commit the accumulated funds to economic reconstruction and development. The results of the study and our suggestions can be helpful in the activities of the organizations concerned.


Normative regulation of the banking activities and the financial crisis

Semenov S.K. Doctor of Economic Sciences, Associate Professor, Astrakhan State Technological University ( semenov_sk@mail.ru )

Journal: Finance and Credit, #23, 2009

During the financial crisis, the role and responsibility of the state regulation of economy, in particular, monetary and credit regulation, increases. The article offers to assess the usage of banks’ mandatory economic norms as one of additional instruments of the monetary and credit policy, which is at the same time applied in the prudential bank supervision.


US Treasury Bonds like the World Finance Phenomenon

Semenov V. Doctor of Economics. Professor of Higher mathematics Department in Russian Plekhanov Academy of Economics.

Ulianetsky M. Ph.D in Economics. Assistant of Stock Exchange and Securities Department in Russian Plekhanov Academy of Economics

Gryncyavichus R. Ph.D in Physics and Math. Associate professor of Higher mathematics Department in Russian Plekhanov Academy of Economics.

Journal: Finance and Credit, #31, 2009

The article considers the US Public debt phenomenon like the core factor of the overcoming financial crisis strategy. The authors used H. Markowitz diversification strategy and calculated parameters and proportions of portfolios incorporated the US Treasury bonds. It enabled to carry out the analyses of the debt instruments which represent the largest part of the world financial market.


Economic problems of exploit gas fields with high contain admixtures

Semenov S.K. Doctor of Economic Sciences, Associate Professor, Astrakhan State Technological University ( semenov_sk@mail.ru )

Permin S.M. chief plan and economic department of Astrakhan gas-works Gazprom dobycha Astrakhan Ltd ( 8 (8512) 31-51-89 )

Soselia V.V. associate professor of Astrakhan State Technical University ( semenov_sk@mail.ru )

Journal: National Interests: Priorities and Security, #20, 2009

In this article are learned economic problems of exploit gas fields with high contain admixtures, and are offered State stimulus of exploit them, system this economic aspects and economic risks.


Accounting of intangible assets in accordance with IFRS

Semenov A.S. senior expert, IFRS department, Borets Company ( artem.semenov@rt.ru )

Journal: International Accounting, #9, 2009

The article describes the special requirements for accounting of intangible assets in accordance with IFRS, actions necessary to be taken during restatement of Russian statutory accounting data into international format; the article also lists the information that is required to be disclosed regarding intangibles in financial statements according to IFRS. In the article it is said in which cases and in what amounts the intangibles have to be stated in the balance sheet, when their impairment has to be recognized. The article contains criteria for capitalization of expenses related to intangibles development. The article also describes the process of recognition and subsequent accounting of goodwill arising on acquisition of entities.


Inflation management based on the Basket of Consumer Goods

Semenov V.P. Doctor of Economics, Professor (Department of Mathematics) Russian Plekhanov Academy of Economics ( emf@rea.ru )

Solovyev Y.P. Doctor of Economics, Professor (Department of Mathematical Methods in Economics) Russian Plekhanov Academy of Economics ( emf@rea.ru )

Journal: Finance and Credit, #15, 2010

The paper demonstrates that inflation on the consumer market can be managed by reducing its rate and lowering inflation-related risks. An approach is introduced based on treating the inflation risks of particular ingredients of the consumer goods basket as components of a whole complex, rather than separate units. The proposed management strategy is focused on the degree of correlation between the rates of price increase of the consumer goods in the basket.


The restoration devaluable bank deposits of citizens as social, political and ant crisis factor

Semenov S.K. doctor of economic sciences, associate professor, ITC Gazprom dobycha Astrakhan Ltd ( 8 (8512) 25-16-64 )

Journal: National Interests: Priorities and Security, #10, 2010

In this article are learned problems of the restoration devaluable bank deposits, that necessity for the restoration and strengthening trust citizens to State, bank system and ant crisis, ant inflation factor and stimulus for the ant dollarization of economics.


Book-keeping calculation and account, balances organizations and banks: unity, particulars, unification

Semenov S.K. doctor of economic sciences, associate professor, ITC Gazprom dobycha Astrakhan Ltd ( 8 (8512) 25-16-64 )

Journal: International Accounting, #7, 2010

In this article are learned systematic unity characteristic particulars book-keeping calculation and accounts, construction of balances organizations, banks, and offers about them unification.


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