Ryszard Kokoszczynski

Warsaw University - Dept. of Economics

Warsaw, 00-241

Poland

National Bank of Poland

Warsaw

Poland

  • Warsaw University - Dept. of Economics

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    • Tel: (4822)8314725
    • Fax: (4822)8314752

  • National Bank of Poland

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    • Tel: (4822)5854381
    • Fax: (4822)5854374
SCHOLARLY PAPERS

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Scholarly Papers (11)

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1.

Options Delta Hedging with No Options at All

University of Warsaw Faculty of Economic Sciences Working Paper No. 27/2014
Number of pages: 29 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 351 (165,057)
Citation 1

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options hedging efficiency, optimal hedging frequency, realized and implied volatility, index futures, investment strategies,

2.

Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options

Univ. of Warsaw Working Paper No. 16/2010 (39)
Posted: 04 May 2011 Last Revised: 07 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 348 (166,641)

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option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, stochastic volatility, microstructure bias, emerging markets

3.

Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies

Number of pages: 30 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 327 (178,158)

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volatility, VIX futures, investment strategies, optimal portfolio selection, Markowitz model, Black-Litterman model

4.

Simple Heuristics for Pricing VIX Options

Number of pages: 20 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 297 (197,197)

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VIX, VIX options, implied volatility surface

5.

Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures?

Number of pages: 25 Posted: 29 Sep 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 281 (208,903)
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volatility term structure, volatility risk premium, volatility and index futures, realized volatility

6.

Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, Vol. 5, Issue 1, pp. 70-90, 2012
Number of pages: 21 Posted: 10 Mar 2012 Last Revised: 27 Mar 2014
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 245 (239,498)

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option pricing models, financial market volatility, high frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets, Warsaw Stock Exchange

7.

Structural Econometric Models in Forecasting Inflation at the National Bank of Poland

National Bank of Poland Materialy i Studia Paper No. 31
Number of pages: 48 Posted: 30 Apr 2005
Bohdan Klos, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Tomasz Lyziak, Jan Przystupa and Ewa Wrobel
National Bank of Poland, Warsaw University - Dept. of EconomicsNational Bank of Poland, National Bank of Poland - Bureau of Macroeconomic Research, National Bank of Poland - Bureau of Macroeconomic Research and National Bank of Poland - Bureau of Macroeconomic Research
Downloads 244 (240,466)
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inflation, forecasting, macroeconomic models

8.

Option Pricing Models with HF Data - A Comparative Study - The Properties of the Black Model with Different Volatility Measures

University of Warsaw, Economic Sciences Working Paper No. 3/2010
Number of pages: 33 Posted: 13 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk, Pawel Strawinski and Natalia Nehrebecka
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences, University of Warsaw, Department of Economics and affiliation not provided to SSRN
Downloads 185 (311,187)
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option pricing models, financial market volatility, high-frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets

9.

Midquotes or Transactional Data? The Comparison of Black Model on HF Data

University of Warsaw, Economic Sciences Working Paper No. 15/2010
Posted: 11 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 136 (402,791)
Citation 3

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option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, microstructure bias, emerging markets

10.

From Central Planning to Market: Poland's Transformation in a Comparative Perspective and the Lessons for Myanmar

Number of pages: 162 Posted: 23 Mar 2020
Andrzej Bolesta, Marcin Piatkowski, Guenter Heiduk, Jerzy Bayer, Thida Myint, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Thomas Foerch and Than Hai Nguyen
affiliation not provided to SSRN, Kozminski University, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Warsaw University - Dept. of EconomicsNational Bank of Poland, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 50 (735,885)
Citation 1

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development, transformation, reforms, Myanmar, Poland

11.

Striking a Balance: Optimal Tax Policy with Labor Market Duality

IZA Discussion Paper No. 13631
Number of pages: 37 Posted: 31 Aug 2020 Last Revised: 16 Apr 2023
Gilbert Mbara, Joanna Tyrowicz, Ryszard Kokoszczynski and Ryszard Kokoszczynski
University of Warsaw, University of Warsaw and Warsaw University - Dept. of EconomicsNational Bank of Poland
Downloads 19 (992,600)

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tax evasion, labor market duality, Laffer Curve