Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the “pure” RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.

Neutral Higgs bosons in the SU(3)(L)circle times U(1)(N) model

The SU(3)(L)circle times U(1)(N) electroweak model predicts new Higgs bosons beyond the one of the standard model. In this work we investigate the signature and production of neutral SU(3)(L)circle times U(1)(N) Higgs bosons in the e(-)e(+) Next Linear Collider and in the CERN Linear Collider . We compute the branching ratios of two of the SU(3)(L)circle times U(1)(N) neutral Higgs bosons and study the possibility to detect them and the Z' extra neutral boson of the model.

Distribution of neutral prilocaine in a phospholipid bilayer: Insights from molecular dynamics simulations

In this work, we report a 20-ns constant pressure molecular dynamics simulation of prilocaine (PLC), in amine-amide local anesthetic, in a hydrated liquid crystal bilayer of 1-palmitoyl-2-oleoyl-sn-glycero-3-phosphatidylcholine. The partition of PLC induces the lateral expansion of the bilayer and a concomitant contraction in its thickness. PLC molecules are preferentially found in the hydrophobic acyl chains region, with a maximum probability at similar to 12 angstrom from the center of the bilayer (between the C(4) and C(5) methylene groups). A decrease in the acyl chain segmental order parameter, vertical bar S-CD vertical bar, compared to neat bilayers, is found, in good agreement with experimental H-2-NMR studies. The decrease in vertical bar S-CD vertical bar induced by PLC is attributed to a larger accessible volume per lipid in the acyl chain region. (C) 2008 Wiley Periodicals, Inc.

Stability of neutral functional differential equations in terms of measures

In this paper we investigate the relationships between different concepts of stability in measure for the solutions of an autonomous or periodic neutral functional differential equation.

Confinement of neutral fermions by a pseudoscalar double-step potential in 1+1 dimensions

The problem of confinement of neutral fermions in two-dimensional space-time is approached with a pseudoscalar double-step potential in the Dirac equation. Bound-state solutions are obtained when the coupling is of sufficient intensity. The confinement is made plausible by arguments based on effective mass and anomalous magnetic interaction. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Scattering of neutral fermions by a pseudoscalar potential step in two-dimensional spacetime

The problem of scattering of neutral fermions in two-dimensional spacetime is approached with a pseudoscalar potential step in the Dirac equation. Some unexpected aspects of the solutions beyond the absence of Klein's paradox are presented. An apparent paradox concerning the uncertainty principle is solved by introducing the concept of effective Compton wavelength. Added plausibility for the existence of bound-state solutions in a pseudoscalar double-step potential found in a recent Letter is given. (C) 2003 Elsevier B.V. B.V. All rights reserved.

The peremptory influence of a uniform background for trapping neutral fermions with an inversely linear potential

The problem of neutral fermions subject to an inversely linear potential is revisited. It is shown that an infinite set of bound-state solutions can be found on the condition that the fermion is embedded in an additional uniform background potential. An apparent paradox concerning the uncertainty principle is solved by introducing the concept of effective Compton wavelength.

Bounded solutions of neutral fermions with a screened Coulomb potential

The intrinsically relativistic problem of a fermion subject to a pseudoscalar screened Coulomb plus a uniform background potential in two-dimensional space-time is mapped into a Sturm-Liouville. This mapping gives rise to an effective Morse-like potential and exact bounded solutions are found. It is shown that the uniform background potential determinates the number of bound-state solutions. The behaviour of the eigenenergies as well as of the upper and lower components of the Dirac spinor corresponding to bounded solutions is discussed in detail and some unusual results are revealed. An apparent paradox concerning the uncertainty principle is solved by recurring to the concepts of effective mass and effective Compton wavelength. (c) 2005 Elsevier B.V. All rights reserved.

Trapping neutral fermions with kink-like potentials

The intrinsically relativistic problem of neutral fermions subject to kink-like potentials (similar to tanh gamma x) is investigated and the exact bound-state solutions are found. Apart from the lonely hump solutions for E = +/- mc(2), the problem is mapped into the exactly solvable Sturm-Liouville problem with a modified Poschl-Teller potential. An apparent paradox concerning the uncertainty principle is solved by resorting to the concepts of effective mass and effective Compton wavelength. (c) 2005 Elsevier B.V. All rights reserved.

Relativistic confinement of neutral fermions with a trigonometric tangent potential

The problem of neutral fermions subject to a pseudoscalar potential is investigated. Apart from the solutions for E = +/- mc(2), the problem is mapped into the Sturm-Liouville equation. The case of a singular trigonometric tangent potential (similar to tan gamma x) is exactly solved and the complete set of solutions is discussed in some detail. It is revealed that this intrinsically relativistic and true confining potential is able to localize fermions into a region of space arbitrarily small without the menace of particle-antiparticle production.

Effect of rinsing with water immediately after neutral gel and foam fluoride topical application on enamel remineralization: An in situ study

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estudo qualitativo fotoelástico do sistema de forças gerado pela mola T de retração com diferentes pré-ativações

OBJETIVO: avaliar o sistema de forças gerado pela mola T utilizada para fechamento de espaços. MÉTODOS: por meio do método experimental fotoelástico, avaliou-se a mola T utilizada no fechamento de espaços com duas variações de pré-ativação em sua porção apical, sendo uma com 30º e a outra com 45º. As molas foram confeccionadas com fio retangular de titânio-molibdênio (TMA) de secção 0,017 x 0,025, centralizadas no espaço interbraquetes de 27mm e ativadas em 5,0mm, 2,5mm e posição neutra. Para melhor confiabilidade dos resultados, os testes foram repetidos em três modelos fotoelásticos igualmente reproduzidos e confeccionados pelo mesmo operador. Para compreensão dos resultados, as franjas fotoelásticas visualizadas no polariscópio foram fotografadas e analisadas qualitativamente. RESULTADOS: por meio da análise qualitativa da ordem de franjas no modelo fotoelástico, notou-se que, nas extremidades de retração e ancoragem, a mola T com 30º de ativação apical apresentou um acúmulo de energia discretamente maior para o sistema de forças liberado.

Avaliação qualitativa em modelo experimental fotoelástico do sistema de força gerado pela mola T centralizada com pré-ativações preconizadas por Burstone

OBJETIVO: avaliar o sistema de forças gerado pela mola T centralizada no espaço interbraquete, com pré-ativação preconizada por Burstone. MÉTODOS: utilizando-se modelos fotoelásticos, a mola T com pré-ativações preconizadas por Burstone, confeccionada com fio retangular de titânio-molibdênio (TMA) de secção 0,017x 0,025, centralizada e com ativação de 6mm, 3mm e em posição neutra. Para melhor confiabilidade dos resultados, os testes foram repetidos em três modelos igualmente duplicados e confeccionados pelo mesmo operador. Utilizou-se uma distância interbraquetes de 27mm. Para compreensão dos resultados, as franjas foram visualizadas através do polariscópio, fotografadas e analisadas qualitativamente. RESULTADOS: por meio da análise qualitativa da ordem de franjas no modelo fotoelástico, notou-se que, nas extremidades de retração e ancoragem, ambas apresentaram simetria no sistema de força, em toda extensão radicular.

Comments about some species abundance patterns: classic, neutral, and niche partitioning models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Periodic solutions of abstract neutral functional differential equations

We characterize the existence of periodic solutions of some abstract neutral functional differential equations with finite and infinite delay when the underlying space is a UMD space. (C) 2011 Elsevier B.V. All rights reserved.