Search results for: Branka Marasović

Authors: Zdravka Aljinović, Branka Marasović, Blanka Škrabić

Abstract:

The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.

Keywords: the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market.

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Authors: Marasovic Branka, Aljinovic Zdravka, Poklepovic Tea

Abstract:

Numerical methods like binomial and trinomial trees and finite difference methods can be used to price a wide range of options contracts for which there are no known analytical solutions. American options are the most famous of that kind of options. Besides numerical methods, American options can be valued with the approximation formulas, like Bjerksund-Stensland formulas from 1993 and 2002. When the value of American option is approximated by Bjerksund-Stensland formulas, the computer time spent to carry out that calculation is very short. The computer time spent using numerical methods can vary from less than one second to several minutes or even hours. However to be able to conduct a comparative analysis of numerical methods and Bjerksund-Stensland formulas, we will limit computer calculation time of numerical method to less than one second. Therefore, we ask the question: Which method will be most accurate at nearly the same computer calculation time?

Keywords: Bjerksund and Stensland approximations, Computational analysis, Finance, Options pricing, Numerical methods.

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Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović

Abstract:

Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the estimation of weekly yield curves on Croatian financial market from October 2011 to August 2012 using Nelson-Siegel and Svensson models, yield curves are forecasted using Vector autoregressive model and Neural networks. In general, it can be concluded that both forecasting methods have good prediction abilities where forecasting of yield curves based on Nelson Siegel estimation model give better results in sense of lower Mean Squared Error than forecasting based on Svensson model Also, in this case Neural networks provide slightly better results. Finally, it can be concluded that most appropriate way of yield curve prediction is Neural networks using Nelson-Siegel estimation of yield curves.

Keywords: Nelson-Siegel model, Neural networks, Svensson model, Vector autoregressive model, Yield curve.

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Authors: B. Marasović, S. Pivac, S. V. Vukasović

Abstract:

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the presence of transaction costs on the Croatian capital market is analyzed. The model applied in the paper is an extension of the standard portfolio mean-variance optimization model in which transaction costs are incurred to rebalance an investment portfolio. This model allows different costs for different securities, and different costs for buying and selling. In order to find efficient portfolio, using this model, first, the solution of quadratic programming problem of similar size to the Markowitz model, and then the solution of a linear programming problem have to be found. Furthermore, in the paper the impact of transaction costs on the efficient frontier is investigated. Moreover, it is shown that global minimum variance portfolio on the efficient frontier always has the same level of the risk regardless of the amount of transaction costs. Although efficient frontier position depends of both transaction costs amount and initial portfolio it can be concluded that extreme right portfolio on the efficient frontier always contains only one stock with the highest expected return and the highest risk.

Keywords: Croatian capital market, Fractional quadratic programming, Markowitz model, Portfolio optimization, Transaction costs.

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Authors: Snežana T. Tanasković, Sonja M. Gvozdenac, Branka D. Popović, Vesna M. Đurović, Matthias Erb

Abstract:

Western corn rootworm – WCR (Diabrotica virgifera sp.virgifera, Coleoptera, Chrysomelidae) is economically the most important pest of maize worldwide. WCR natural population is already very abundant on Serbian fields, and keeps increasing each year. Tolerance is recognized by larger root size and bigger root regrowth. Severe larval injuries cause lack of compensatory regrowth and lead to reduction of plant growth and yield. The aim of this research was to evaluate tolerance of commercial Serbian maize hybrid NS 640, under natural WCR infestation and under conditions of artificial infestation, and to obtain the information about its tolerance to WCR larval feeding in two consecutive years. Field experiments were conducted in 2015 and 2016, in Bečej (Vojvodina province, Serbia). In experimental field, 96 plants were selected, marked and arranged in 48 pairs. Each pair represented two plants. The first plant was artificially infested with 4 mL WCR egg suspension in agar (550 eggs plant^-1) in the root zone (D plant). The second plant represented control plant (C plant) with injection of 4 mL distilled water in root zone. The experimental field was inspected weekly. A hybrid tolerance was assessed based on root injury level and root mass. Root injury was rated using the Node-Injury Scale 1-6, during the last field inspection (September – October). Comparing the root injuries on D and C plants in 2015, more severe damages were recorded on D plants (12 plants - rate 5 and 17 plants - rate 6) compared to C plants (2 plants - rate 5 and 8 plants - rate 6). Also, the highest number of plants with healthy roots (rate 1), was registered in the control (25 plants), while only 4 D plants were rated as injury level 1. In 2016, root injuries caused by WCR larvae on D and C plants did not differ significantly. The reason is the difference in climatic conditions between the years. The 2015 was extremely dry and more suitable for WCR larval development and movement in the soil, compared to 2016. Thus, more severe damages appeared on artificially infested plants (D plants). Root mass was in strong correlation with the level of root injury, but did not differ significantly between D and C plants, in both years.

Keywords: D. v. virgifera, maize, root injury, tolerance.

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