Concentração de mercado e volatilidade de preços: uma análise de duas agroindústrias utilizando o filtro Hodrick-Prescott

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Verificação e análise dos fatos estilizados no mercado de ações brasileiro

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estrutura e propriedades de filmes finos ferroelétricos do sistema PZT

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

O dualismo partidário no período de 1966 a 1982 e sua representação local

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Desenvolvimento de biodiesel microemulsionado com reaproveitamento de resíduos de óleos vegetais

Pós-graduação em Engenharia Mecânica - FEG

Modelagem matemática aplicada a precificação de opções

The mathematical models are critical to determine theoretical prices of options and analyze whether they are overrated or underrated. This information strongly influence in operations carried out by the investor. Therefore, it is necessary that the employee model present high degree of reliability and be consistent with the reality of investment to which it is intended. In this sense, this dissertation aims to apply the steps of mathematical modeling in the Pricing of options for decision making in the investment of a hydroelectric power plant. Was used a Monte Carlo simulation, with the Latin Hypercube Method, to determine the volatility of returns of the project. In order to validate the proposed model, compared to the results found by the Binomial Model, which is one of the models most used in this type of investment. The results reinforce the hypothesis that the mathematical modeling with the Binomial Model is critical to investment decision-making in hydroelectric power

Análise de risco em carteiras

The work consists of analyzing the risk management of investments by applying statistical concepts, economic and mathematical models considering the assets on the market on renowned financial institution. The assessment of these risks becomes increasingly interesting in view of minimizing your losses thus maximizing your chances of gains in both markets boom as extreme uncertainty, even with the sudden changes of scenery. Introducing concepts of investment funds, as well as the classification of the types of funds as funds management and equity, its guidelines, the concept of market investment funds. The types of assets comprising the investment funds, their taxation rules beyond the incidents that market widely used by investors and skilled people, both physical and legal, who keep their resources in this modality. With the historical data collected yields of investment funds of the Bank of Brazil, is an accomplished inflation adjustment and calculated the mean and variance for the verification of the model of Markowitz efficient frontier, a method used as investment analysis. This scan is used Matlab to obtain the set (or border) efficient portfolios. Once verified such data, there will be a critique of the Markowitz model as a quadratic programming and more coherent risk measures currently studied as VaR and CVaR minimizing the expected error, approaching our studies of current research. It is found that such studies have much to be explored, since there are many discussions about how effectively measure risk investments such as its characteristic and behavior, using a time series and volatility

Soluções do tipo vórtice em um modelo de Maxwell-Chern-Simons-Higgs com campos de Gauge distintos

Pós-graduação em Física - FEG

O jovem midiatizado e as marcas de gênero e sexualidade: o que restou na caixa de Pandora?

Pós-graduação em Desenvolvimento Humano e Tecnologias - IBRC

Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.