Pricing Financial Models
Mostrando 13-20 de 20 artigos, teses e dissertações.
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13. Proposal of models for pricing options embedded in retirement insurance polices in Brazil. / Proposta de modelos de apreçamento de opções embutidas em produtos de previdência no Brasil.
Este trabalho de pesquisa quantitativa em gestão de operações de seguradoras apresenta o desenvolvimento de modelos matemáticos para apreçamento de opções embutidas em produtos de previdência. O problema de pesquisa se refere à opção concedida aos participantes de planos de previdência aberta, que permite a conversão de um saldo futuro de poupan
Publicado em: 2007
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14. Modelo exponencial para opÃÃes: aplicaÃÃes ao Ãndice Ibovespa
In this thesis we perform an empirical analysis of the Brazilian stock and options markets. In the first part of our study we carry out a statistical analysis of the Ibovespa stock index of the SÃo Paulo Stock Exchange. It is shown that the daily returns of Ibovespa follow not a Gaussian distribution but rather an exponential law, in addition, this exponent
Publicado em: 2007
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15. Multidimensional robust control, uncertainty and finance / Multidimensional robust control, uncertainty and finance
Optimal control theory has being a source of useful tools (including Euler equations, ztransforms, lag operators, Bellman equations, Kalman filtering) to study dynamic economics problems. A more recent field of optimal control, namely robust control, has recently been adopted by some leading economists (Thomas Sargent, Lars Hansen and coauthors) to study imp
Publicado em: 2006
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16. HIGH FREQUENCY DATA AND PRICE-MAKING PROCESS ANALYSIS: THE EXPONENTIAL MULTIVARIATE AUTOREGRESSIVE CONDITIONAL MODEL - EMACM / ANÁLISE DE DADOS DE ALTA FREQÜÊNCIA E DO PROCESSO DE FORMAÇÃO DE PREÇOS: O MODELO MULTIVARIADO EXPONENCIAL - EMACM
The availability of high frequency financial transaction data - price, spread, volume and duration -has contributed to the growing number of scientific articles on this topic. The first proposals were limited to pure duration models. Later, the impact of duration over instantaneous volatility was analyzed. More recently, Manganelli (2002) included volume int
Publicado em: 2006
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17. TRÊS ENSAIOS SOBRE A METODOLOGIA DE APREÇAMENTO DE ATIVOS UTILIZANDO OPÇÕES REAIS / THREE ESSAYS ON ASSET PRICING APPLYING REAL OPTIONS METHODOLOGY
The dissertation presents three economic essays examining situations where the real options approach can be useful in the definition of regulatory policies, investment strategies and pricing of sovereign risk. The first essay considers the new regulation oriented to interconnection costs of telecommunications networks and proposes adjustments in calculating
Publicado em: 2006
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18. Gerenciamento do risco de mercado baseado no Value at Risk estÃtico e dinÃmico para carteira de aÃÃes e opÃÃes negociadas na Bovespa / Actions stock market; Value at Risk (VaR)
This thesis approaches the riskâs administration of the market using Value at Risk (VaR), which became widely used technique for measuring future expected risk for both financial and non-financial institutions. The VaR measures the largest expected loss in given period of time that expected loss is depending of suppositions about the distribution of return
Publicado em: 2005
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19. ANALYSIS OF PERFORMANCE AND EVALUATION OF THE INVESTMENTS IN VARIABLE INCOME OF THE 20 GREATERS PENSION FUNDS IN BRAZIL IN THE PERIOD OF 1997 TO 2000 / ANÁLISE DE DESEMPENHO E AVALIAÇÃO DA CARTEIRA DE INVESTIMENTOS EM RENDA VARIÁVEL DOS 20 MAIORES FUNDOS DE PENSÃO NO BRASIL NO PERÍODO DE 1997 A 2000
The present objective work intend to identify the forms that the pension funds can become financial instruments essential to financing the Brazilian economy, taking in consideration the accented development and internationalization of the world-wide markets. For this one becomes necessary to evaluate its performance in the stock markets, as well as of that i
Publicado em: 2002
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20. Developing an academic medical library core journal collection in the (almost) post-print era: the Florida State University College of Medicine Medical Library experience
The Florida State University (FSU) College of Medicine Medical Library is the first academic medical library to be established since the Web's dramatic appearance during the 1990s. A large customer base for electronic medical information resources is both comfortable with and eager to migrate to the electronic format completely, and vendors are designing rad
Medical Library Association.