Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

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Number of Results 8

WP(14/2024)450. Construction and Hedging of Equity Index Options Portfolios

Authors: Wysocki Maciej, Ślepaczuk Robert
This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies using the Black-Scholes-Merton (BSM) model and the Variance-Gamma …

WP450. Construction and Hedging of Equity Index Options Portfolios

This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies using the Black-Scholes-Merton (BSM) model and the Variance-Gamma (VG) model, emphasizing varying moneyness levels and different sizing methods based on delta and the VIX Index. The study employs 1-minute data of S&P500 index options and index quotes spanning from 2018 to 2023. The analysis benchmarks hedged strategies against buy-and-hold and naked option-writing strategies, with a focus on risk-adjusted performance metrics including transaction costs. Portfolio delta approximations are derived using implied volatility for the BSM model and market-calibrated parameters for the VG model. Key findings reveal that system atic option-writing strategies can potentially yield superior returns compared to buy-and-hold benchmarks. The BSM model generally provided better hedging outcomes than the VG model, although the VG model showed profitability in certain naked strategies as a tool for position sizing. In terms of rehedging frequency, we found that intraday heding in 130-minute intervals provided both reliable protection against adverse market movements and a satisfactory returns profile.


DOI: https://doi.org/10.33138/2957-0506.2024.14.450
Wysocki Maciej, Ślepaczuk Robert
S&P500 Index options Option Pricing Models Black-Scholes-Merton model Variance-Gamma model Implied Volatility Volatility Risk Premium Volatility Spreads Dynamic Hedging

WP(6/2023)413. Modelling Subjective Attractiveness

Authors: Lewszyk Konrad, Wójcik Piotr
Attractive people obtain greater economic and reproductive success. This article attempts to grasp individual preferences of facial attractiveness and create reliable models that will accurately predict a beauty score on a binary and quintary scale. …

WP413. Modelling Subjective Attractiveness

Attractive people obtain greater economic and reproductive success. This article attempts to grasp individual preferences of facial attractiveness and create reliable models that will accurately predict a beauty score on a binary and quintary scale. Based on extensive research conducted on factors of attractiveness, we derive the most important facial features that have the highest impact in beauty perception. Based on a sample of 681 images of faces using facial a landmark detector. We derive various numerical features represented by face characteristics and. The application of various machine learning algorithms shows that attractiveness can be predicted accurately based on facial characteristics. In addition, we show that indeed the attractiveness is subjective as the same features have different importance for different subjects.


Lewszyk Konrad, Wójcik Piotr
Attractiveness beauty-premium image processing machine learning predictive models

WP(28/2016)219. Educational mismatches and earnings: are the graduates more penalized for being overeducated?

Authors: Wincenciak Leszek
This paper estimates an extended Mincer wage regression model with Heckman correction for non-random selection using LFS data for Poland for the second quarter of 2013. Significant wage penalties are found to overeducation status as well as positive …

WP219. Educational mismatches and earnings: are the graduates more penalized for being overeducated?

This paper estimates an extended Mincer wage regression model with Heckman correction for non-random selection using LFS data for Poland for the second quarter of 2013. Significant wage penalties are found to overeducation status as well as positive wage premia for being undereducated, which confirms findings that are found in the literature for other countries. Using Duncan and Hoffman (1981) approach, we find significant positive returns to years of overschooling and negative for underschooling. Young participants of the labour market (graduates) are less penalized for being overeducated, which suggests their overeducation is not necessarily a manifestation of lower ability.


Wincenciak Leszek
educational mismatch overeducation undereducation wage premium Poland

WP(25/2016)216. Does it pay to study abroad? Evidence from Poland

Authors: Liwiński Jacek
Tertiary education has been perceived in Poland as a key determinant of success in the labour market, as clearly shown by the increase of the net enrolment ratio in tertiary education from 9.8% in 1990 up to 40.9% in 2009. However, as tertiary educat…

WP216. Does it pay to study abroad? Evidence from Poland

Tertiary education has been perceived in Poland as a key determinant of success in the labour market, as clearly shown by the increase of the net enrolment ratio in tertiary education from 9.8% in 1990 up to 40.9% in 2009. However, as tertiary education becomes more and more popular, it does not signal skills as well as before. It seems that employers may treat students' participation in international exchange programs as a new signaling tool since according to them international students’ skills – both cognitive and non-cognitive – are well above the average. On the other hand, students participating in exchange programs underline a positive impact of studying abroad on their personal development, i.e. on their general skills. Thus, from a theoretical point of view we may expect a positive correlation between studying abroad and wages, which follows from both signaling theory and human capital theory. On the average, 16% of European students report a positive impact of participation in Erasmus exchange program on their incomes, but interestingly, those from the CEE countries, including Polish students, report it much more often. The aim of this paper is to determine whether studying abroad for at least one semester has an impact on wages of higher education graduates in Poland. To answer this question, an extended Mincer wage equation was estimated using OLS on the basis of data from the nationwide tracer survey of Polish graduates conducted in 2007 (Graduate Tracer Study 2007). The hourly net wage rate in the first job after graduating from a higher education institution was the dependent variable in the wage equation. In order to reduce the selection bias, a number of variables were included in the model to reflect students’ abilities and skills, as well as their previous international experience. The results of the analysis show that Polish students who completed at least one semester of studies abroad, enjoy a wage premium of 28% in their first workplace after graduation. Interestingly, this wage premium is particularly high in case of graduates with low abilities and skills and – consequently – of a low social and economic status. This may indicate that studying abroad contributes to a reduction of social inequality.


Liwiński Jacek
investment in human capital studying abroad international exchange programs wage premium wage equation

WP(14/2016)205. The wage premium from parents’ investments in the education of their children in Poland

Authors: Bedyk Emilia, Liwiński Jacek
The aim of this paper is to determine whether parents’ investments in the education of children in Poland have an impact on the wages of the latter in adulthood. To answer this question, an extended Mincer wage equation was estimated using OLS …

WP205. The wage premium from parents’ investments in the education of their children in Poland

The aim of this paper is to determine whether parents’ investments in the education of children in Poland have an impact on the wages of the latter in adulthood. To answer this question, an extended Mincer wage equation was estimated using OLS on the basis of data from the nationwide tracer survey of Polish graduates conducted in 2007. The results of the analysis show that parents’ investments in the education of their children have a strong, positive impact on the first earnings after the end of formal education. This relationship is observed when the investment is depicted with the education level of each parent, as well as when represented by the child’s participation in various extra-curricular activities. Furthermore, if any of the above measures of parents’ investment is included in the equation, the wage premium from formal education decreases. In particular, when both these measures of parents’ investments are included in the model, the tertiary education premium declines by about one quarter, while the secondary vocational education and secondary general education are no longer significant determinants of the graduates’ wages (as compared to basic vocational education).


Bedyk Emilia, Liwiński Jacek
investment in human capital formal education extra-curricular activities wage premium wage equation

WP(32/2015)180. She Cares and He Earns? The Family Gaps in Poland

Authors: Cukrowska-Torzewska Ewa
This paper deals with parenthood induced inequalities in the labour market outcomes of men and women in Poland. It extends the existing framework of research by providing a joint analysis of parenthood impact on working hours and wages for men and wo…

WP180. She Cares and He Earns? The Family Gaps in Poland

This paper deals with parenthood induced inequalities in the labour market outcomes of men and women in Poland. It extends the existing framework of research by providing a joint analysis of parenthood impact on working hours and wages for men and women for a transition economy. Using propensity score matching and fixed effects estimation this paper reveals that parenthood is associated with longer working hours and greater wages for men and shorter working hours and lower wages for women. The gaps in working hours may be however partially attributed to unobserved differences between parents and childless individuals. For men, unobserved heterogeneity also explains their greater wages. Mothers are however found to receive significantly lower wages even if their unobserved characteristics and self-selection into employment are accounted.


Cukrowska-Torzewska Ewa
family gap wage inequality fatherhood premium motherhood penalty specialization

WP(18/2014)135. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?

Authors: Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (…

WP135. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP). We use them further to estimate the distance between the actual value and the fair (model) value of the VTS. We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design a simple strategy to invest in VIX index futures and S&P500.


Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
volatility term structure volatility risk premium volatility and index futures realized volatility implied volatility investment strategies returns forecasting efficient risk and return measures

WP(/2008)6. Foreign Debt And Domestic Savings In Developing Countries

Authors: Okafor Luke Emeka, Tyrowicz Joanna
This paper approaches the question of potential causality between foreign debt and domestic savings in the context of developing countries. Literature provides evidence in as far as foreign debt and development is concerned, but little attention was …

WP6. Foreign Debt And Domestic Savings In Developing Countries

This paper approaches the question of potential causality between foreign debt and domestic savings in the context of developing countries. Literature provides evidence in as far as foreign debt and development is concerned, but little attention was given so far to internal potential for capital formation. We provide a theoretical framework and test its relevance using 1975-2004 data for two groups of countries: sub-Saharan Africa and Latin America with the Caribbean. With the use of instrumental variables we find negative impact of foreign debt on domestic savings especially in the long run. The results are not susceptible to the choice of countries or outliers. However, the relationship between foreign debt and savings seems to depend on debt accumulation gaining significance only after passing a country specific threshold.


Okafor Luke Emeka, Tyrowicz Joanna
foreign debt domestic savings Latin America Africa MIU
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