On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

Abordagem farmacoepidemiológica da terapêutica no idoso: um ensaio em meio hospitalar

Introdução: O envelhecimento demográfico e o aumento da esperança de vida, criam condições para uma maior incidência de doenças degenerativas. Vários aspectos críticos envolvem a medicação no idoso, tais como: polimedicação frequente, com risco acrescido de ocorrência de reacções adversas, relacionadas com interacções medicamentosas e eventual medicação desaconselhada, em que o risco pode ser superior ao benefício. Estes aspectos são particularmente críticos no idoso hospitalizado. Objectivo: Este estudo teve como objectivo estimar a prevalência da polimedicação em idosos hospitalizados e analisar a medicação considerada inadequada nesta população. Participantes e metodologia: Seguiu-se um modelo retrospectivo descritivo transversal, reportando-se os dados a um período de um ano e meio, incidindo sobre o último internamento. A natureza da medicação, foi analisada de acordo com o Formulário Terapêutico Nacional, Resumo das Caracteristicas do Medicamento e com critérios de Beers-2002.Englobou 100 idosos (>65 anos) utentes do Hospital Cuf Descobertas, em regime de internamento. Os dados pessoais e clínicos e respectivo mapa farmacoterapêutico, foram introduzidos em base de dados construída para este estudo, em Access 2003 SP2. Procedeu-se à analise estatística (SPSS 13,0), descritiva, com cálculo de medidas de tendência central; análise univariada para todas as variáveis relevantes e análise bi-variada para quantificar a prevalência da polimedicação por sexo e grupo etário. Resultados:Dos doentes estudados (65-98 anos), maioritariamente femininos, 7 apresentavam 4 patologias em simultâneo, 13:3 patologias, 27:2 patologias e 30:1 patologia. Em 23 não se verificou qualquer patologia crónica. A hipertensão (n=49:27,5%) e a patologia cardiovascular (n=41:23%) foram as mais frequentemente encontradas na amostra em estudo sendo as de menor frequência a patologia reumática (n=1:0,56%), a osteoporose e os problemas psíquicos (n=2:1,12%. A prevalência de polimedicação foi de 84% e nº de medicamentos prescrito em simultâneo variou entre 2 e 23.Não se observou associação entre a polimedicação, a idade: e o sexo. Em apenas um caso foi identificado um medicamento desaconselhado em função do diagnóstico (metoclopramida:Parkinson), e independentemente do diagnóstico a amiodariona foi o mais frequente (25%), hidroxizina (22%), ticlopidina (2%) e cetorolac (1%). Conclusões: A polimedicação é um fenómeno muito frequente nos idosos hospitalizados; o número de medicamentos envolvidos pode ser elevado e a prevalência de medicamentos que requerem uma ponderação sobre o risco/benefício no idoso, indicia a vantagem da revisão da terapêutica, impondo-se a implementação de estratégias informativas sobre os mesmos. Background: The demographic aging and expansion of life expectancy create conditions for increased occurrence of degenerative illnesses. Several critical aspects involve the medication of the elderly, such as: frequent polipharmacy with increased occurrence of adverse drug reactions, related to medication interactions and inappropriate prescribing, in which the benefits can be inferior to the risks.These aspects are particularly critical in the hospitalized elderly. Aim: This study aimed to estimate the prevalence of polipharmacy in hospitalized elderly and to analyze the medication considered inappropriate in this population. Participants and Methodology: A cross sectional model was followed, in which the data used relate to a period of a year and a half, focussing on the last hospitalization. The nature of the medication was analysed according to National Therapeutic Formulary, Drug Characteristics Summary and according to Beers-2002.It considered 100 elderly (>65 years) hospitalized at Hospital Cuf Descobertas. The personal and clinical data and the corresponding pharmacotherapeutic registration were introduced in a database created for this study in Access 2003 SP2. Descriptive statistics was calculated trough SPSS 13,0,.Exploraty analysis consisted in measures of average and spread for all variable considered relevant and univariate and bivariate analysis to quantify the prevalence of polipharmacy by sex and age and to relate polipharmacy with inappropriate medication. Results: Of the patients studied (65-98 years), the majority were women, 7 presented 4 pathologies, 13:3 pathologies, 27:2 pathologies and 30:1 pathology. In 23 patients there was any chronic pathology. Hypertension (n=49:27,5%) and cardiovascular disease (n=41:23%) were the most frequent disease in our study, and the minimal values were observed in rheumatism (n=1:0,56%), osteoporosis and psychic disorders (n=2:1,12%. The prevalence of polipharmacy was of 84% and the amount of medication simultaneously prescribed varied between 2 and 23.No association was observed between polipharmacy and age or gender. In only one case inappropriate medication was identified concerning diagnosis (metoclopramid: Parkinson), and independent of diagnosis the amiodaron was the most frequent (25%), hydroxyzin (22%), ticlopidin (2%). and ketorolac (1%). Conclusions: Polipharmacy is very prevalent among elderly people admitted to the hospital; the number of inappropriate medication can also be very high and this evidence should be collected in order to accomplish good drug use reviews and informative strategies in the hospital setting.

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.