Miloš Kopa
Biographic Data
| ID | 6593827 |
|---|---|
| NAME | Miloš Kopa |
| GIVEN NAMES | Miloš |
| FAMILY NAME | Kopa |
| SIGNATURE | KOPA M |
| AFFILIATIONS | Department of Econometrics, Institute of Information Theory and Automation AS CR, Prague, Czech Republic |
| ORCID | 0000-0002-9438-4484 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
The risk–return profile of Lithuanian private pension funds
The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profitably invest funds, but does not give the evidential risk-return evaluation. This paper refers to the…
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are generally not fulfilled, the BS-type models mostly p…
No prominent works on this page.
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are generally not fulfilled, the BS-type models mostly p…
The risk–return profile of Lithuanian private pension funds
The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profitably invest funds, but does not give the evidential risk-return evaluation. This paper refers to the…
Actuarial science (1 work) · Arbitrage (1 work) · Black–Scholes model (1 work) · Business (1 work) · Capital Investment and Risk Analysis (1 work) · Corporate governance (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial economics (1 work)