Derivatives Price
Mostrando 1-12 de 27 artigos, teses e dissertações.
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1. Carboidratos como fonte de compostos para a indústria de química fina
Coal, oil, natural gas, and shale gas are biomass that is formed millions of years ago. These are non-renewable and depleting, even considering the recent discovery of new sources of oil in the presalt and new technologies for the exploitation of shale deposits. Currently, these raw materials are used as a source of energy production and are also important f
Quím. Nova. Publicado em: 2013
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2. Uma resenha sobre modelos de apreçamento de derivativos
Apresento aqui uma abordagem que unifica a literatura sobre os vários modelos de apreçamento de derivativos que consiste em obter por argumentos intuitivos de não arbitragem uma Equação Diferencial Parcial(EDP) e através do método de Feynman-Kac uma solução que é representada por uma esperança condicional de um processo markoviano do preço do der
Publicado em: 29/06/2012
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3. Análise da eficiência dos derivativos agropecuários na gestão da variabilidade de preços
Brazilian agribusiness has been showing significant quantitative and qualitative advances, occupying a prominent position in the Brazilian economy and international trade. However, this new reality introduces the process of pricing, new macroeconomic variables that influence the negotiating arrangements and increases price variability, requiring the farmer t
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 2012
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4. GENETIC-NEURAL MODEL FOR PORTFOLIO OPTIMIZATION WITH FINANCIAL OPTIONS IN THE BRAZILIAN MARKET / MODELO GENÉTICO-NEURAL PARA OTIMIZAÇÃO DE CARTEIRAS COM OPÇÕES FINANCEIRAS NO MERCADO BRASILEIRO
This dissertation develops an intelligent, quantitative and probabilistic model to determine an optimal composition of a portfolio consisting of a financial asset and options over this asset. Initially we studied the characteristics of the historical distribution of returns and volatility of the most liquid stocks from the BOVESPA Stock Exchange, from Januar
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 08/02/2011
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5. Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
This article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit
Pesquisa Operacional. Publicado em: 2011-08
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6. Consumo de lácteos caprinos no Rio Grande do Sul : oferta de produtos, aceitabilidade de queijo, perfil do consumidor e consumo de lácteos não bovinos / Consumption of goat milk products in Rio Grande do Sul: offer of products, cheese acceptance, consumer profile and consumption of non-bovine milk products
This dissertation paper is divided into four studies, all of them concerned with the trade of goat milk products and non-bovine milk products. The first study aimed to identify the goat milk products offered to consumers in the retail of Porto Alegre, capital of Rio Grande do Sul state, Brazil, as well as to verify the availability and price variation of the
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 2011
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7. Banks and credit derivatives in a general equilibrium model with incomplete markets and default
We developed a general equilibrium model with incomplete markets and default to study in which conditions banks could appear/be formed. To the banking system be formed endogenously, our model integrate the works of Zame (2007) and Dubey, Geanakoplos e Shubik (2005). The dynamic of the model is the following: the set of Banks or Financial Intermediaries that
Publicado em: 2010
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8. Utilização de derivativos agropecuários nas carteiras de fundos de investimentos multimercados: uma pesquisa exploratória
The present scenario of interest rate reduction has been object of discussion in the financial market, specially in asset management offices, that aim yield alternatives and portfolio risk mitigation. The comprehension of the reasons of the reduced use of derivatives by hedge funds required an exploratory analysis in asset management offices. The exploratory
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 28/08/2007
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9. A aplicação do IAS 39 (International Accouting Standard) em uma empresa não financeira: controles internos e implicações na contabilização de operações com derivativos, um estudo de caso
The derivatives are instruments used for companies management risks of loss related to exposition of price variation, exchange variation, interest and credit, which generate from operational activities. The complexity accounting treatment of these instruments generate difficult related to internal control and request an structure which the companies have to
Publicado em: 2007
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10. A proposal of reducing farmer exposition to financial risk supported by derivatives : application to the biodiesel case / Uma proposta de redução da exposição ao risco financeiro do produtor agricola pelo uso de derivativos : aplicação ao caso do biodisel
The aim of this research was to present a model to guide the agents involved in the market to reduce the financial risk of a project in the agriculture. Due the moment favorable to the bio-combustible and of the richness of the modeling involved, the biodiesel was chosen to analyze. The biodiesel production includes a basket of vegetal oils and also animal f
Publicado em: 2007
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11. A spatial price equilibrium model in the oligopolistic market for oil derivatives: an application to the brazilian scenario
Este artigo apresenta um modelo de equilíbrio espacial de preços em um mercado oligopolizado de derivados de petróleo. Até o ano de 1997, o mercado brasileiro era caracterizado pelo monopólio estatal da Petrobrás, a qual permaneceu, até 2001, como a única empresa autorizada a importar derivados de petróleo. Com vários agentes operando no mercado, o
Pesquisa Operacional. Publicado em: 2007
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12. Modelando descontinuidades em finanças usando distribuições hiperbólicas generalizadas
In this thesis we use generalized hyperbolic distributions, that are laws of Levy processes with jumps, to model Brazilian assets and price derivatives. Then we present the Multivariate Affine Generalized Hyperbolic distributions and also use it to model Brazilian assets and price derivatives. We use data from stocks traded at Bolsa de Valores de São Paulo,
Publicado em: 2006