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Analiza svojstava konveksnosti obveznica bez primjene diferencijalnog računa

Author

Listed:
  • Vedran Kojić

    (Faculty of Economics and Business, University of Zagreb)

Abstract

U radu Gardijan, M., Kojić, V., Šego, B. (2012) Trajanje obveznica: pravila i primjene. Zbirna znanstvena knjiga (urednici: Aljinović, Z., Marasović, B.), Sveučilište u Splitu, Ekonomski fakultet, Split, ISBN 978-953-281-049-3, str. 5-26 (1. poglavlje) analizirana su svojstva trajanja kuponskih obveznica kao jedne od temeljnih mjera rizičnosti. Druga vrlo bitna mjera rizičnosti je svakako konveksnost obveznice, pa je u skladu s tim bitno poznavati svojstva konveksnosti. Iako se u literaturi ta svojstva deskriptivno objašnjavaju, analitički izvodi i dokazi relevantnih zaključaka gotovo da i nema. Stoga je cilj ovog rada dati pregledan opis svojstava konveksnosti obveznica, te ih matematički dokazati. Jedan od načina dokazivanja je svakako primjenom diferencijalnog računa. Međutim, primjena diferencijalnog računa neizbježno vodi na komplicirane međurezultate koji su nužni kako bi se došlo do krajnjeg zaključka, pa se stoga dokazi provode na elementaran, algebarski način, razumljiv i široj publici koja nema nužno predznanje iz područja matematičke analize.

Suggested Citation

  • Vedran Kojić, 2015. "Analiza svojstava konveksnosti obveznica bez primjene diferencijalnog računa," EFZG Working Papers Series 1501, Faculty of Economics and Business, University of Zagreb.
    • Handle: RePEc:zag:wpaper:1501
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    More about this item

    Keywords

    trajanje obveznice; konveksnost obveznice; svojstva konveksnosti; algebarski način; bez primjene derivacija;
    All these keywords.

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G00 - Financial Economics - - General - - - General

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