Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

O aluno de aprendizagem lenta no âmbito da marginalização cultural

O presenté trabalho estuda o aluno de aprendiza~ gem lenta no âmbito da marginalização cultural, utilizando literatura específica e amostra de educandos da rede escolar oficial do Município do Rio de Janeiro. A literatura específica procurou esclarecer pontos importantes relativos ao desenvolvimento intelectua~ i marginalização cultural, aos distúrbios de aprendizagem, i relação da criança com a família, ã relação do aluno com o professor bem como estudos relativos ao aluno de aprendiz~ gem lenta. Com base na literatura específica foram elaboradas entrevistas com as mães e os professores dos alunos, assim como escolhidos testes objetivos para aferição do ní vel mental e nível de prontidão para a aprendizagem de lei tura, escrita e números .dos alunos. Os resultados da analise confirmaram as hipóteses levantadas de que a carência de estimulação ambiental prejudica o desenvolvimento intelectual e acarreta maior difi culdade de aprendizagem, que a relação professor-aluno tan to pode reforçar como minimizar a problematica apresentada e que a criança oriunda de classe de baixa renda econ~mica tem maiores possibilidades de enquadrar-se na marginalização cultural. Ao final do trabalho, algumas sugestoes foram tra çadas quanto a procedimentos que possam ser adotados tanto com a população estudada como com populações semelhantes.

Governança da internet no espaço regulatório global: o idiossincrático modelo de gestão da ICANN

O presente trabalho pretende descrever e analisar a evolução institucional da Internet Corporation for Assigned Names and Numbers (ICANN), organização responsável pela gestão dos nomes de domínio e protocolos de comunicação entre computadores em rede ao redor do mundo. Iniciando sua trajetória como instituição privada estadunidense e vinculada ao departamento de comércio do mesmo país, a ICANN passa por diversas modificações estruturais ao longo da última década, de forma a englobar representantes de diversos setores sociais em suas atividades. Algumas peculiaridades em sua estrutura que ainda a vinculam aos Estados Unidos, no entanto, são objeto de controvérsia entre aqueles que buscam uma democratização da internet em nível global.