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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Selected Models of Exchange Rate Determination
 Vrubel, Tomáš ; Taušer, Josef (advisor) ; Černá, Iveta (referee)
The aim of this Master Thesis is to summarize the modern theoretical models of fundamental determination of exchange rates. The Thesis contains of Introduction, four explanatory chapters and the conclusion. The first chapter provides the definition of traditional premises (PPP, IRP, expectations) and in the end of the chapter the 5-equation model is introduced. The second chapter focuses the attention on both equilibrium (Bilson-Frenkel) and non equilibrium (Dornbusch, Frankel) monetary models. In the end of the chapter there are also briefly mentioned Hooper-Morton's and Girton-Ropers models. The third chapter brings in the risk and it is focused on portfolio models. The last chapter describes the Lyons-Evans model of market microstructure based on order flow.
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The usage of derivatives in order to hedge th exchange rate risk
 Vrubel, Tomáš ; Taušer, Josef (advisor) ; Štěrbová, Ludmila (referee)
This thesis proposes to the reader the solution of how to quantify and later eliminate the exchange rate risk using the zero cost option strategies. First chapter is dedicated the conception of the exchange rate risk, to its structure and the potential elimination of the sub- risks. Second chapter deals with the methods of quantification of the exchange rate risk. In this chapter a traditional method and Value at risk are mentioned. Third chapter defines the terms- derivative, option, main option positions, factors influencing the option premium and its importance via making option strategies and taking decisions whether to hedge or not. Last chapter uses all the pieces of knowledge in practice. Several zero cost strategies are shown here also with the illustrative examples.
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