Avaliação de opções: o caso brasileiro: utilização de modelos Arch na estimação dos parâmetros

o trabalho se refere à avaliação de opções através do modelo conhecido pelo nome de seus autores, Black-Scholes. É descrito o desenvolvimento da teoria de opções, desde os primórdios da existência de mercados organizados deste derivativo, no século XVII, até os mais importantes trabalhos dos primeiros anos da década de 1990. É destacado o papel fundamental da estimação correta dos parâmetros a serem inseridos no modelo de avaliação. Após esta revisão, um teste do modelo Black-Scholes é realizado no mercado de opções sobre ouro da BM&F, utilizando-se mecanismos tradicionais de estimação dos parâmetros e apurando-se a diferença existente entre o valor dado pelo modelo de avaliação e o observado no mercado. Novos mecanismos de apuração dos parâmetros fundamentais, volatilidade e taxa de juros, são propostos, baseados no comportamento das séries históricas a eles referentes. A análise deste comportamento mostra a adequação destas séries à uma classe de modelos econométricos conhecidos como ARCH - Autorregressive Conditiona! Heterocedasticity Mode! . Três novos testes do modelo Black-Scholes no mercado de opções são realizados: o primeiro usando a volatilidade estimada através de um modelo ARCH(1) e a taxa de juros estimada de forma tradicional, o segundo usando a taxa de juros estimada através de um modelo ARCH-M(1) e a volatilidade estimada de forma tradicional e, finalmente, o terceiro, usando a volatilidade estimada através de um modelo ARCH(1) e a taxa de juros estimada através de um modelo ARCH-M(1). As diferenças, nos três casos, entre os valores dados pelo modelo Black-Scholes e os observados no mercado, foram computadas. Os resultados indicaram que o uso da volatilidade estimada através do modelo ARCH(1) melhora a performance do modelo Black-Scholes, perfomance esta medida pelo erro quadrático médio entre os valores dados pelo modelo e os observados no mercado. O mesmo não ocorreu com a utilização da taxa de juros estimada pelo modelo ARCH-M(1), apesar da compatibilidade teórica apresentada entre a série temporal destas taxas e o modelo. O autor acredita que este resultado seja devido à problemas encontrados na estimação dos parâmetros deste modelo ARCH-M(1). Também a inserção conjunta dos dois parâmetros estimados através dos modelos da classe ARCH não foi frutífera, ainda em função dos problemas de estimação dos modelos referentes à taxa de juros. As conclusões básicas do trabalho indicam que as série temporais em estudo são modeláveis e que os modelos da classe ARCH se apresentam como promissores para este fim, ao menos no que tange à volatilidade.

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Double aortic arch in a dog (Canis familiaris): a case report

We herein report a case of a double aortic arch in a 10-week-old male dog of no defined race, which presented episodes of regurgitation at the time of weaning. This vascular malformation was Characterized by the persistence of two aortic arches, right and left, of varying dimensions. The right aortic arch was observed to be larger. During post mortem examination the vessels of the animal were injected with coloured latex bi-centrifuged CIS 1-4 polisopreno which revealed the patency of the two aortic arches. Concomitantly, dilation of the cranial oesophagus causing constriction was observed, indicating megaesophagus, Apart from the constriction, the oesophagus presented normal morphometric parameters in relation to its dimensions.

Total Endovascular Debranching of the Aortic Arch

Background: Significant morbidity and mortality are related to conventional aortic replacement surgery. Endovascular debranching techniques, fenestrated or branched endografts are time consuming and costly.Objective: We alternatively propose to use endovascular approach with parallel grafts for debranching of aortic arch.Methods: Under general anesthesia, 12 F sheaths were inserted in the femoral, axillary and common carotid arteries for vascular accesses. ViaBahn grafts 10 - 15 cm in length were placed into the aortic arch from right common carotid, left common carotid and left axillary arteries, until the tip of each graft reached into the ascending aorta. Through one femoral artery, the aortic stent-graft was positioned and delivered. Soon after, the parallel grafts were sequentially delivered. Self-spanding Wallstents(R) were used for parallel grafts reinforcement. Ballooning was routinely used for parallel grafts and rarely for aortic graft.Results: This technique was used in 2 cases. The first one was a lady with 72 years old, with an aortic retrograde dissection from left subclavian artery and involving remaining arch branches. Through right common carotid artery a stent-graft was placed in the ascending aorta and through the left common carotid artery a ViaBahn was inserted parallel to the former. A thoracic endograft then covered all the aortic arch dissection extending into the ascending aorta close to the sinu-tubular junction. The second case was a 82 year old male patient with a 7 cm aortic arch aneurysm. Through both common carotid arteries ViaBahn grafts were introduced and positioned into the ascending aorta. Soon after, the deployment of the thoracic stent graft covered all parallel grafts of the aortic arch, excluding the aneurysm. Both cases did not have neurologic or cardiac complications and were discharged 10 days after the procedure.Conclusions: This technique may be a good minimal invasive off-the-shelf technical option for aortic arch "debranching". More data and further improvements are required before this promising technique can be widely advocated. (C) 2011 European Society for Vascular Surgery. Published by Elsevier Ltd. All rights reserved.

Presence and morphology of the molar tubercle according to dentition, hemi-arch and sex

The purpose of this study was to assess the presence and the degree of expression of the molar tubercle according to sex, dentition and hemi-arches. Study casts of 126 patients were assessed, and those were under orthodontic treatment at the University of Franca, UNIFRAN; they were from both sexs, from 4 to 13 years old. The upper second primary molars and the upper first permanent molars, from both sides, were evaluated regarding the presence and the degree of expression of the molar tubercle. For an association study, the qui-square test was utilized. The concordance about the presence or absence of the molar tubercle according to dentition, hemi-arch and sex, was estimated by the Kappa Statistics. There was a sexual dimorphism concerning the presence/absence of the molar tubercle (p=0.009), however there was no significant association between the degree of expression of the tubercle and the sex (p=0.791). The molar tubercle was more frequently observed in the male sex, in upper second primary molars and in the form of depression. There was a significant and "moderate" concordance between the left and right sides in primary dentition (k=0.596), there was a "good" concordance in permanent dentition (k=0.708) and a "weak" and significant concordance between the presence of the molar tubercle and dentition (k=0.207).

Hypoxic cardiorespiratory reflexes in the facultative air-breathing fish jeju (Hoplerythrinus unitaeniatus): role of branchial O-2 chemoreceptors

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

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

The role of branchial and orobranchial O-2 chemoreceptors in the control of aquatic surface respiration in the neotropical fish tambaqui (Colossoma macropomum): progressive responses to prolonged hypoxia

The present study examined the role of branchial and orobranchial O-2 chemoreceptors in the cardiorespiratory responses, aquatic surface respiration (ASR), and the development of inferior lip swelling in tambaqui during prolonged (6 h) exposure to hypoxia. Intact fish (control) and three groups of denervated fish (bilateral denervation of cranial nerves IX+X (to the gills), of cranial nerves V+VII (to the orobranchial cavity) or of cranial nerves V alone), were exposed to severe hypoxia (Pw(O2) = 10 mmHg) for 360 min. Respiratory frequency (fR) and heart rate (fH) were recorded simultaneously with ASR. Intact (control) fish increased fR, ventilation amplitude (V-AMP) and developed hypoxic bradycardia in the first 60 min of hypoxia. The bradycardia, however, abated progressively and had returned to normoxic levels by the last hour of exposure to hypoxia. The changes in respiratory frequency and the hypoxic bradycardia were eliminated by denervation of cranial nerves IX and X but were not affected by denervation of cranial nerves V or V+VII. The VAMP was not abolished by the various denervation protocols. The fH in fish with denervation of cranial nerves V or V+VII, however, did not recover to control values as in intact fish. After 360 min of exposure to hypoxia only the intact and IX+X denervated fish performed ASR. Denervation of cranial nerve V abolished the ASR behavior. However, all (control and denervated (IX+X, V and V+VII) fish developed inferior lip swelling. These results indicate that ASR is triggered by O-2 chemoreceptors innervated by cranial nerve V but that other mechanisms, such as a direct effect of hypoxia on the lip tissue, trigger lip swelling.

Rift to post-rift evolution of a passive continental margin: the Ponta Grossa Arch, SE Brazil

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

Morphology of Aortic Arch in Rabbits with Atherosclerosis Treated with Resveratrol

Objective: Atherosclerosis is a chronic inflammatory condition associated with the production of oxidative species. The phenoliccompound, resveratrol, seems to have cardioprotective activities preventing the oxidation of low-density lipoproteins.In this study we investigated the effect of resveratrol on prevention of induced atheromatosis, through the morphological study of the segment of aortic arch in White New Zealand rabbits.Study design: 20 rabbits were divided into four groups which received the following diet for 60 days: control group (CT) normal ration; resveratrol group (R) normal ration and resveratrol (3 mg/kg/day); cholesterol group (CL) 1.5% of cholesterol added to the ration; group cholesterol plus resveratrol (CR) 1.5% of cholesterol added to the ration and resveratrol (3 mg/kg/day). The analysis of the atherosclerotic lesions were performed by the means of appropriate histological techniques.Results and conclusions: The animals belonging to group CL showed atherosclerotic lesions with tunica intima thickening due to the presence of foam cells, placed in several disorganized layers, and extracellular lipid droplets in subendothelial conjunctive tissue.We also observed the invasion of foam cells in the beginning of tunica media. In animals belonging to group CR there were changes in the subendothelial of tunica intima, although in a minor degree of development as for the number of foam cells layers and extracellular lipid droplets. An invasion of foam cells in tunica media was observed in this group. We haven't seen any changes in tunica adventitia in any of the studied groups. There were not evident histological changes in any of the analised tunicas for groups CT and RConclusions: This study may help demonstrate that the phenolic compound, resveratrol, works as a preventive agent in the development of atherosclerotic lesions.

Loss of space and dental arch length after the loss of the lower first primary molar: A longitudinal study

The premature loss of primary teeth may harm the normal occlusal development, although there are debates relating to the necessity of using space maintainer appliances. The aim of the study is to evaluate the changes in the dental arch perimeter and the space reduction after the premature loss of the lower first primary molar in the mixed dentition stage. The sample consists of 4 lower arch plaster models of 31 patients, within the period of pre-extraction, 6, 12 and 18 months after the lower first primary molar extraction. A reduction of space was noted with the cuspid dislocation and the permanent incisors moving toward the space of the extraction site. It was concluded that the lower first molar primary premature loss, during the mixed dentition, implicates an immediate placement of a space maintainer.

Hydroxylapatite implants with or without collagen in the zygomatic arch of rats. Histological study.

The authors studied the behavior of calcium phosphate materials used as inlay implants into bone cavities prepared in the zygomatic arch of rats. Fifty male albino rats were divided into four groups as follows: group I-preparation of bone cavities which did not receive any implant material as controls; group II-implants of Interpore 200; group III-implants of experimental hydroxylapatite; group IV-implants of experimental hydroxylapatite combined with collagen. The animals were sacrificed after 5, 15, 30, 60 and 120 days and the specimens were submitted to histological analysis. Results showed that the experimental hydroxylapatite used in group III presented better osteogenic properties compared to the other materials. All tested materials were biocompatible, although group IV presented a more intense inflammatory response.