Mean Reverting Stochastic Process
Mostrando 1-3 de 3 artigos, teses e dissertações.
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1. Teoria de opções aplicada ao apreçamento de linhas de crédito contingentes
Contingent Credit Lines are a promising source of funding for corporate segment in Brazilian money market as an alternative to traditional loans and hedge. Careful pricing and managing of these financial tools are in place (much the same happens in the international arena). Here, CCL are presented as options, guided by the article of Lokoianova, Neftci, and
Publicado em: 2007
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2. Apreçamento de créditos de carbono por meio de modelos estocásticos: European Allowances Units da segunda fase do European Union Emission Trade Scheme / Valuation of carbon credits through stochastic models: 2nd phase European Allowances Units of the European Union Emission Trade Scheme
In 2006, the carbon credit global market has negotiated around 22.5 billions (twenty two billions and five hundred million euros), equivalent to 1.6 billions tons of CO2 credits or allowances. Due to the importance of this new market, starting from an adapted version of the models and methodology of Xu (2004), this monograph empirical evaluate through daily
Publicado em: 2007
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3. MODELOS ESTOCÁSTICOS PARA A VOLATILIDADE DO MERCADO DE AÇÕES BRASILEIRO / STOCHASTIC MODELS FOR THE BRAZILIAN STOCK MARKET VOLATILITY
The volatility of a financial time series is a key variable in the modeling of the financial markets. It controls the risk measure associated with the dynamics of price of a financial asset and also affects the rational price of derivative products. The volatility of a financial asset is a statistical quantity that describes the characteristic magnitude of p
Publicado em: 2004