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

The system of Transfer Pricing in a multinational

Transfer prices are used by the majority of firms worldwide when intermediate products or services are transferred within the same organization. These prices are reported as revenue for the selling entity (division, unit, department etc.) and as cost for the buying entity. Nevertheless, transfer prices lead to many disputes among managers in the same organization as transfer prices influence the performance of their entities. In cross-border transactions, transfer prices can be used by firms to reduce corporate taxes and thus, increase total firm profits. In order to fight against this firms’ practice, tax authorities require firms to establish a transfer pricing system in accordance with OECD1 Transfer Pricing Guidelines.

Phenanthroimidazole derivatives as fluorimetric chemosensors in aqueous medium

In recent years the research of sensors with good sensitivity and good selectivity in aqueous medium has been of great interest. Chemosensors soluble in aqueous media are very interesting, because of the importance in revealing a number of biological processes, disease states and environmental pollutions. 2,4,5-Triaryl-imidazoles are versatile compounds with application in medicine, due to their biological activity, and materials sciences, for their interesting optical properties. These properties can be tuned by careful selection of substituents at positions 2, 4 and 5: replacement of the aryl group by a heterocyclic group results in larger π-conjugated systems with improved optical properties for application in nonlinear optics, OLEDs, DNA intercalators, and chemosensors. In this communication, we report the synthesis of new phenanthroimidazoles, substituted at position 2 with (hetero)aryl groups of different electronic character, in order to evaluate their photophysical properties and chemosensory ability. The new derivatives were characterized by the usual techniques and a detailed photophysical study was undertaken. The evaluation of the compounds as fluorimetric chemosensors was carried out by performing titrations in acetonitrile and acetonitrile/water in the presence of relevant organic and inorganic anions, and of alkaline, alkaline-earth and transition metal cations.

A new and efficient synthesis of benzoimidazopurine derivatives

[Excerpt] Purine nucleobases are essential biomolecules in living organisms. Playing several key roles in the cell, they have been a significant inspiration for drug design.1 Benzimidazole nucleus is an important pharmacophore in the development of molecules with pharmaceutical or biological interest. Benzimidazoles have been reported to display significant pharmacological activities such as antiulcer, antifungal, antiparkinson, anticancer and antibiotic.2 Fused structures incorporating these two scaffolds might be important for medicinal chemistry and, to the best of our knowledge, there are no reports of these systems in the literature. In particular, benzo[4,5]imidazo[2,1]purines seem to be novel and must be important target molecules in the heterocyclic synthesis. (...)

The synthesis of novel 5-aminoimidazoles derivatives with anticancer activity

[Excerpt] The imidazole nucleus is present in a significant number of biomolecules and the inclusion of this moiety in organic scaffolds is considered an important synthetic strategy in drug discovery.[1] 5-Aminoimidazoles are interesting building blocks in medicinal chemistry since they are key components in many bioactive molecules and their derivatives showed a wide pharmacological potential as anticancer drugs.[1] The hydrazones constitute an important class of biological active drug molecules due to their wide range of pharmacological properties that include antitumoral activities.[2] Amidrazone derivatives could be considered very promising in the perspective of new drug discovery, because they are very effective as building blocks to obtain various heterocycles.[2,3] The α-hydrazononitriles are a special case of compounds belonging to the family of hydrazones that is less common in the literature, but has a great interest due to their pharmacological applications.[4] (...)

The contribution of phenolic acids to the anti-inflammatory activity of mushrooms: Screening in phenolic extracts, individual parent molecules and synthesized glucuronated and methylated derivatives

In the present study, the ethanolic extracts of fourteen edible mushrooms were investigated for their anti-inflammatory potential in LPS (lipopolysaccharide) activated RAW 264.7 macrophages. Furthermore the extracts were chemically characterized in terms of phenolic acids and related compounds. The identified molecules (p-hydroxybenzoic, p-coumaric and cinnamic acids) and their glucuronated and methylated derivatives obtained by chemical synthesis were also evaluated for the same bioactivity, in order to establish structure-activity relationships and to comprehend the effects of in vivo metabolism reactions in the activity of the compounds. The extracts of Pleurotus ostreatus, Macrolepiota procera, Boletus impolitus and Agaricus bisporus revealed the strongest anti-inflammatory potential (EC50 values 96 ± 1 to 190 ± 6 µg/mL, and also the highest concentration of cinnamic acid (656 to 156 µg/g), which was also the individual compound with the highest anti-inflammatory activity. The derivatives of p-coumaric acid revealed the strongest properties, specially the derivative methylated in the carboxylic group (CoA-M1) that exhibited similar activity to the one showed by dexamethaxone used as anti-inflammatory standard; by contrast, the derivatives of p-hydroxybenzoic revealed the lowest inhibition of NO production. All in all, whereas the conjugation reactions change the chemical structure of phenolic acids and may increase or decrease their activity, the glucuronated and methylated derivatives of the studied compounds are still displaying anti-inflammatory activity.

Synthesis of new peptide derivatives that self-assemble into nanostructured hydrogels for biomedical applications

Tese de Doutoramento em Ciências (área de especialização em Química)

Synthesis and biological evaluation of mono and bis-naphthalimide derivatives against SH-SY5Y, human brain cancer cells

Dissertação de mestrado em Medicinal Chemistry

Reactivity studies on chromene derivatives

Dissertação de mestrado em Medicinal Chemistry

The Determinants of pricing in pharmaceuticals: are U.S. prices really higher than those of Canada?

This paper studies price determination in pharmaceutical markets using data for 25 countries, six years and a comprehensive list of products from the MIDAS IMS database. We show that market power and the quality of the product has a significantly positive impact of prices. The nationality of the producer appears to have a small and often insignificant impact on prices, which suggests that countries which regulates prices have relatively little power to do it in a way that advances narrow national interest. We produce a theoretical explanation for this phenomenon based on the fact that low negotiated prices in a country would have a knock-on effect in other markets, and is thus strongly resisted by producers. Another key finding is that the U.S. has prices that are not significantly higher than those of countries with similar income levels. This, together with the former observation on the effect of the nationality of producers casts doubt on the ability of countries to purs

A Retail benchmarking approach to eficient two-way access pricing

We study a retail benchmarking approach to determine access prices for interconnected networks. Instead of considering fixed access charges as in the existing literature, we study access pricing rules that determine the access price that network i pays to network j as a linear function of the marginal costs and the retail prices set by both networks. In the case of competition in linear prices, we show that there is a unique linear rule that implements the Ramsey outcome as the unique equilibrium, independently of the underlying demand conditions. In the case of competition in two-part tariffs, we consider a class of access pricing rules, similar to the optimal one under linear prices but based on average retail prices. We show that firms choose the variable price equal to the marginal cost under this class of rules. Therefore, the regulator (or the competition authority) can choose one among the rules to pursue additional objectives such as consumer surplus, network covera.

Multinational Firms’ Heterogeneity in Tax Responsiveness: the Role of Transfer Pricing

In this paper we show that the ability of multinational firms to manipulate transfer prices affects the tax sensitivity of foreign direct investment (FDI). We offer a model of international capital allocation where firms are heterogeneous in their ability to manipulate transfer prices. Perhaps paradoxically, we show that the ability to shift profits can make parent companies' investment more sensitive to host-country tax rates, as long as investors expect fisscal authorities to use price and profit detection methods. We then offer a comprehensive empirical study to test our predictions in the case of Japanese FDI. We exploit the finding that the unobservable ability to manipulate transfer prices is correlated with whole ownership of a±liates and R&D expenditure. Based on country, parent firm and sector characteristics, we estimate an investment equation on a sample of 3614 Japanese affiliates in 49 emerging countries. We obtain a greater semi-elasticity of investment to the statutory tax rate in a±liates that are wholly-owned and that have R&D intensive parents. We interpret these results as indirect evidence that abusive transfer pricing is one of the determinants of FDI activity.

Valuing American Derivatives by Least Squares Methods

Least Squares estimators are notoriously known to generate sub-optimal exercise decisions when determining the optimal stopping time. The consequence is that the price of the option is underestimated. We show how variance reduction methods can be implemented to obtain more accurate option prices. We also extend the Longsta¤ and Schwartz (2001) method to price American options under stochastic volatility. These are two important contributions that are particularly relevant for practitioners. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian options and basket options.

Local Currency Pricing, Foreign Monetary Shocks and Exchange Rate Policy

The implications of local currency pricing (LCP) for monetary regime choice are analysed for a country facing foreign monetary shocks. In this analysis expenditure switching is potentially welfare reducing. This contrasts with the existing LCP literature, which focuses on productivity shocks and thus analyses a world where expenditure switching is welfare enhancing. This paper shows that, when home and foreign producers follow LCP, expenditure switching is absent and a floating rate is preferred by the home country. But when only home producers follow LCP, expenditure switching is present and a fixed rate can be welfare enhancing for the home country.