Results 51 to 60 of about 1,540 (110)

Modelo de apreçamento de opções embutidas em produtos de previdência no Brasil A model for pricing options embedded in pension products in Brazil

Production, 2011
Este artigo apresenta um modelo para determinação do passivo e do risco financeiro associado às opções implícitas atreladas a produtos de previdência complementar no Brasil (PGBL/VGBL).
Nicolas Soudki Saad, Celma de Oliveira Ribeiro   +1 more
doaj  

Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy [PDF]

This paper presents empirical evidence suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents
Benjamin M. Tabak, Daniel Oliveira Cajueiro   +1 more
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O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes

Revista de Economia Mackenzie, 2009
The main goal of this paper is to evaluate the impact of the exchange rate volatility in price prediction of derivative securities in the Brazilian capital markets using an artificial neural network technique, given the Black & Scholes Model ...
Carlos Alberto Aragón de Planas, Léo da Rocha Ferreira, Gerson Lachtermacher   +2 more
doaj  

Forecasting Bonds Yields in the Brazilian Fixed Income Market [PDF]

This paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson-Siegel exponential framework developed by ...
Benjamin M. Tabak, Jose Vicente
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Evaluating Asset Pricing Models in a Fama-French Framework [PDF]

In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S.
Carlos Enrique Carrasco Gutierrez, Wagner Piazza Gaglianone   +1 more
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Evidências empíricas: arbitragem no mercado brasileiro com fundos ETFs Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market

Revista Contabilidade & Finanças, 2013
De acordo com a literatura de gestão de risco, a diversificação contribui para a mitigação do risco. Neste sentido, os fundos de índice Exchange Traded Funds (ETF), recém-introduzidos no mercado brasileiro, permitem sua fácil execução.
Yuri Sampaio Maluf, Pedro Henrique Melo Albuquerque   +1 more
doaj  

Tarifas e Taxas de Ocupação de Hoteis, Conforme suas Formas de Organização e Viajantes que Acolhem.

Revista Turismo em Análise, 2012
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Dárlei Geovanne Vianna dos Santos, Eder Paschoal Pinto   +1 more
doaj  

Inflation Targeting, Credibility and Confidence Crises [PDF]

We study the interplay between the central bank transparency, its credibility, and the inflation target level. Based on a model developed in the spirit of the global games literature, we argue that whenever a weak central bank adopts a high degree of ...
Aloisio Araujo, Rafael Santos
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Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas [PDF]

One of the main variables observed in the performance evaluation of banking credit is the index that measures the default rate. Different approaches are used, or were proposed, to perform the calculation of this index. However, the difficulty of defining
Clodoaldo Aparecido Annibal
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Evaluation of Default Risk for The Brazilian Banking Sector [PDF]

This paper employs new methods to measure and monitor risk in the Brazilian banking sector. We prove that the option-based risk measure is negatively sensitive to interest rates.
Benjamin M. Tabak, Marcelo Y. Takami
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