Apreçamento de opção implícita de resgate de um CDB flutuante atrelado ao CDI após o período de carência

O funcionamento dos bancos comerciais implica no sucesso de suas estratégias de captação de depósitos a prazo. O Certificado de Depósito Bancário (CDB) é um dos instrumentos mais utilizados para este fim. 95% dos CDBs são flutuantes e atrelados ao CDI, sendo que grande parte destes CDBs tem data de carência pré-definida para o resgate. Esta característica é responsável pela opção implícita de resgate oferecida ao investidor. Ou seja, o investidor tem a prerrogativa de resgatar seu investimento entre a data de carência e o vencimento do CDB sem que seja penalizado por isso. Este trabalho apresenta um método de apreçamento da opção de resgate implícita no CDB utilizando o modelo de Black Derman Toy. A técnica empregada inova ao considerar o nível da estrutura a termo de taxa de juros tanto em relação à curva de CDBs observada no mercado, quanto a sua volatilidade. Entretanto, a volatilidade é preservada e, por isso, não é contaminada pelas oscilações da estrutura a termo. No procedimento foram utilizados os CDBs do banco de dados da Cetip com valores maiores que quinhentos mil reais emitidos entre 2007 e 2009. Assumiu-se que todos os investidores eram racionais e não precisaram recorrer aos seus investimentos, portanto só resgataram seus recursos após o fim do prazo de carência. Com o intuito de verificar a validade dos preços calculados através do modelo Black Derman Toy, foi aplicada a técnica da simulação de Monte Carlo com a criação de dez mil trajetórias para o preço do ativo. Os resultados obtidos através do modelo proposto foram confirmados quando confrontados com a simulação de Monte Carlo.

Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Quantum toy model for black-hole backreaction

We propose a simple quantum field theoretical toy model for black-hole evaporation and study the backreaction of Hawking radiation onto the classical background. It turns out that the horizon is also pushed back in this situation (i.e., the interior region shrinks) though this backreaction is not caused by energy conservation but by momentum balance. The effective heat capacity and induced entropy variation can have both signs-depending on the parameters of the model.

Black-hole back-reaction - a toy model

Using a kink of arbitrary shape as a toy model for a black hole ( horizon), we study the back-reaction of the evaporation process and find that the horizon is always pushed back ( as in the gravitational case). The associated heat capacity and entropy variation, on the other hand, can be positive or negative, depending on the parameters.

Mike Bardach with unidentified children sitting in toy car; Holland Portraits Children

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Higher spin resolution of a toy big bang

Diffeomorphisms preserve spacetime singularities, whereas higher spin symmetries need not. Since three-dimensional de Sitter space has quotients that have big-bang/big-crunch singularities and since dS(3)-gravity can be written as an SL(2, C) Chern-Simons theory, we investigate SL(3, C) Chern-Simons theory as a higher-spin context in which these singularities might get resolved. As in the case of higher spin black holes in AdS(3), the solutions are invariantly characterized by their holonomies. We show that the dS(3) quotient singularity can be desingularized by an SL(3, C) gauge transformation that preserves the holonomy: this is a higher spin resolution the cosmological singularity. Our work deals exclusively with the bulk theory, and is independent of the subtleties involved in defining a CFT2 dual to dS(3) in the sense of dS/CFT.

Studies on scattering and thermodynamics of black holes in f(R) theory and Einstein's theory

One of the interesting consequences of Einstein's General Theory of Relativity is the black hole solutions. Until the observation made by Hawking in 1970s, it was believed that black holes are perfectly black. The General Theory of Relativity says that black holes are objects which absorb both matter and radiation crossing the event horizon. The event horizon is a surface through which even light is not able to escape. It acts as a one sided membrane that allows the passage of particles only in one direction i.e. towards the center of black holes. All the particles that are absorbed by black hole increases the mass of the black hole and thus the size of event horizon also increases. Hawking showed in 1970s that when applying quantum mechanical laws to black holes they are not perfectly black but they can emit radiation. Thus the black hole can have temperature known as Hawking temperature. In the thesis we have studied some aspects of black holes in f(R) theory of gravity and Einstein's General Theory of Relativity. The scattering of scalar field in this background space time studied in the first chapter shows that the extended black hole will scatter scalar waves and have a scattering cross section and applying tunneling mechanism we have obtained the Hawking temperature of this black hole. In the following chapter we have investigated the quasinormal properties of the extended black hole. We have studied the electromagnetic and scalar perturbations in this space-time and find that the black hole frequencies are complex and show exponential damping indicating the black hole is stable against the perturbations. In the present study we show that not only the black holes exist in modified gravities but also they have similar properties of black hole space times in General Theory of Relativity. 2 + 1 black holes or three dimensional black holes are simplified examples of more complicated four dimensional black holes. Thus these models of black holes are known as toy models of black holes in four dimensional black holes in General theory of Relativity. We have studied some properties of these types of black holes in Einstein model (General Theory of Relativity). A three dimensional black hole known as MSW is taken for our study. The thermodynamics and spectroscopy of MSW black hole are studied and obtained the area spectrum which is equispaced and different thermo dynamical properties are studied. The Dirac perturbation of this three dimensional black hole is studied and the resulting quasinormal spectrum of this three dimensional black hole is obtained. The different quasinormal frequencies are tabulated in tables and these values show an exponential damping of oscillations indicating the black hole is stable against the mass less Dirac perturbation. In General Theory of Relativity almost all solutions contain singularities. The cosmological solution and different black hole solutions of Einstein's field equation contain singularities. The regular black hole solutions are those which are solutions of Einstein's equation and have no singularity at the origin. These solutions possess event horizon but have no central singularity. Such a solution was first put forward by Bardeen. Hayward proposed a similar regular black hole solution. We have studied the thermodynamics and spectroscopy of Hay-ward regular black holes. We have also obtained the different thermodynamic properties and the area spectrum. The area spectrum is a function of the horizon radius. The entropy-heat capacity curve has a discontinuity at some value of entropy showing a phase transition.

The foraging behaviour of the Black rat (Rattus rattus) within Australian macadamia orchards

The black rat (Rattus rattus) has been shown to be the primary species responsible for causing significant crop losses within the Australian macadamia industry. This species success within macadamia orchards is directly related to the flexibility expressed in its foraging behaviour. In this paper a conceptual foraging model is presented which proposes that the utilisation of resources by rodents within various components of the system is related not only to their relative abundance, but also to predator avoidance behaviour. Nut removal from high predation risk habitats during periods of low resource abundance in low risk compartments of the system is considered an essential behaviour that allows high rodent densities to be maintained throughout the year.

'Black is beautiful', and Indigenous : Aboriginal authorship in Australian popular music

The ‘black is beautiful’ movement began in the United States in the early sixties, and changed mainstream attitudes towards the body, fashion and personal aesthetics, gaining African American people a new sense of pride in being – and being called – ‘black’. In Australia the movement also had implications for changing the political meanings of ‘black’ in white society. However, it is not until the last decade, through the global influence of Afro-American music, that a distinctly Indigenous sense of black sexiness has captured the attention of mainstream audiences. The article examines such recent developments, and suggests that, through the appropriation of Afro-American aesthetics and styles, Indigenous producers and performers have developed new forms of Indigenous public agency, demonstrating that black is beautiful, and Indigenous.

Cherbourg time : young black and deadly art 2003-2007

Art is most often at the margins of community life, seen as a distraction or entertainment only; an individual’s whim. It is generally seen as without a useful role to play in that community. This is a perception of grown-ups; children seem readily to accept an engagement with art making. Our research has shown that when an individual is drawn into a crafted art project where they have an actual involvement with the direction and production of the art work, then they become deeply engaged on multiple levels. This is true of all age groups. Artists skilled in community collaboration are able to produce art of value that transcends the usual judgements of worth. It gives people a licence to unfetter their imagination and then cooperatively be drawn back to a reachable visual solution. If you engage with children in a community, you engage the extended family at some point. The primary methodology was to produce a series of educationally valid projects at the Cherbourg State School that had a resonance into that community, then revisit and refine them where necessary and develop a new series that extended all of the positive aspects of them. This was done over a period of five years. The art made during this time is excellent. The children know it, as do their families, staff at the school, members of the local community and the others who have viewed it in exhibitions in far places like Brisbane and Melbourne. This art and the way it has been made has been acknowledged as useful by the children, teachers and the community, in educational and social terms. The school is a better place to be. This has been acknowledged by the children, teachers and the community The art making of the last five years has become an integral part of the way the school now operates and the influence of that has begun to seep into other parts of the community. Art needs to be taken from the margins and put to work at the centre.

Investigating international accounting standard setting : the black box of IFRS 6

This paper examines the role of powerful entities and coalitions in shaping international accounting standards. Specifically, the focus is on the process by which the International Accounting Standards Board (IASB) developed IFRS 6, Exploration for and Evaluation of Mineral Resources. In its Issues Paper, the IASB recommended that the successful efforts method be mandated for pre-production costs, eliminating the choice previously available between full cost and successful efforts methods. In spite of the endorsement of this view by a majority of the constituents who responded to the Issues Paper, the final outcome changed nothing, with choice being retained. A compelling explanation of this disparity between the visible inputs and outputs of the standard setting process is the existence of a “black box”, in which powerful extractive industries entities and coalitions covertly influenced the IASB to secure their own ends and ensure that the status quo was maintained