The information content of Canadian implied volatility indexes

For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.

Les processus additifs markoviens et leurs applications en finance mathématique

Cette thèse porte sur les questions d'évaluation et de couverture des options dans un modèle exponentiel-Lévy avec changements de régime. Un tel modèle est construit sur un processus additif markovien un peu comme le modèle de Black- Scholes est basé sur un mouvement Brownien. Du fait de l'existence de plusieurs sources d'aléa, nous sommes en présence d'un marché incomplet et ce fait rend inopérant les développements théoriques initiés par Black et Scholes et Merton dans le cadre d'un marché complet. Nous montrons dans cette thèse que l'utilisation de certains résultats de la théorie des processus additifs markoviens permet d'apporter des solutions aux problèmes d'évaluation et de couverture des options. Notamment, nous arrivons à caracté- riser la mesure martingale qui minimise l'entropie relative à la mesure de probabilit é historique ; aussi nous dérivons explicitement sous certaines conditions, le portefeuille optimal qui permet à un agent de minimiser localement le risque quadratique associé. Par ailleurs, dans une perspective plus pratique nous caract érisons le prix d'une option Européenne comme l'unique solution de viscosité d'un système d'équations intégro-di érentielles non-linéaires. Il s'agit là d'un premier pas pour la construction des schémas numériques pour approcher ledit prix.

Thermoaktive Bauteilsysteme - Ein neuer simulationstechnischer Berechnungsansatz

Thermoaktive Bauteilsysteme sind Bauteile, die als Teil der Raumumschließungsflächen über ein integriertes Rohrsystem mit einem Heiz- oder Kühlmedium beaufschlagt werden können und so die Beheizung oder Kühlung des Raumes ermöglichen. Die Konstruktionenvielfalt reicht nach diesem Verständnis von Heiz, bzw. Kühldecken über Geschoßtrenndecken mit kern-integrierten Rohren bis hin zu den Fußbodenheizungen. Die darin enthaltenen extrem trägen Systeme werden bewußt eingesetzt, um Energieangebot und Raumenergiebedarf unter dem Aspekt der rationellen Energieanwendung zeitlich zu entkoppeln, z. B. aktive Bauteilkühlung in der Nacht, passive Raumkühlung über das kühle Bauteil am Tage. Gebäude- und Anlagenkonzepte, die träge reagierende thermoaktive Bauteilsysteme vorsehen, setzen im kompetenten und verantwortungsvollen Planungsprozeß den Einsatz moderner Gebäudesimulationswerkzeuge voraus, um fundierte Aussagen über Behaglichkeit und Energiebedarf treffen zu können. Die thermoaktiven Bauteilsysteme werden innerhalb dieser Werkzeuge durch Berechnungskomponenten repräsentiert, die auf mathematisch-physikalischen Modellen basieren und zur Lösung des bauteilimmanenten mehrdimensionalen instationären Wärmeleitungsproblems dienen. Bisher standen hierfür zwei unterschiedliche prinzipielle Vorgehensweisen zur Lösung zur Verfügung, die der physikalischen Modellbildung entstammen und Grenzen bzgl. abbildbarer Geometrie oder Rechengeschwindigkeit setzen. Die vorliegende Arbeit dokumentiert eine neue Herangehensweise, die als experimentelle Modellbildung bezeichnet wird. Über den Weg der Systemidentifikation können aus experimentell ermittelten Datenreihen die Parameter für ein kompaktes Black-Box-Modell bestimmt werden, das das Eingangs-Ausgangsverhalten des zugehörigen beliebig aufgebauten thermoaktiven Bauteils mit hinreichender Genauigkeit widergibt. Die Meßdatenreihen lassen sich über hochgenaue Berechnungen generieren, die auf Grund ihrer Detailtreue für den unmittelbaren Einsatz in der Gebäudesimulation ungeeignet wären. Die Anwendung der Systemidentifikation auf das zweidimensionale Wärmeleitungsproblem und der Nachweis ihrer Eignung wird an Hand von sechs sehr unterschiedlichen Aufbauten thermoaktiver Bauteilsysteme durchgeführt und bestätigt sehr geringe Temperatur- und Energiebilanzfehler. Vergleiche zwischen via Systemidentifikation ermittelten Black-Box-Modellen und physikalischen Modellen für zwei Fußbodenkonstruktionen zeigen, daß erstgenannte auch als Referenz für Genauigkeitsabschätzungen herangezogen werden können. Die Praktikabilität des neuen Modellierungsansatzes wird an Fallstudien demonstriert, die Ganzjahressimulationen unter Bauteil- und Betriebsvariationen an einem exemplarischen Büroraum betreffen. Dazu erfolgt die Integration des Black-Box-Modells in das kommerzielle Gebäude- und Anlagensimulationsprogramm CARNOT. Die akzeptablen Rechenzeiten für ein Einzonen-Gebäudemodell in Verbindung mit den hohen Genauigkeiten bescheinigen die Eignung der neuen Modellierungsweise.

Métodos bayesianos em alocação de ativos : avaliação de desempenho

Neste trabalho, comparamos algumas aplicações obtidas ao se utilizar os conhecimentos subjetivos do investidor para a obtenção de alocações de portfólio ótimas, de acordo com o modelo bayesiano de Black-Litterman e sua generalização feita por Pezier e Meucci. Utilizamos como medida de satisfação do investidor as funções utilidade correspondentes a um investidor disciplinado, isto é, que é puramente averso a risco, e outro que procura risco quando os resultados são favoráveis. Aplicamos o modelo a duas carteiras de ações que compõem o índice Ibovespa, uma que replica a composição do índice e outra composta por pares de posições long&short de ações ordinárias e preferenciais. Para efeito de validação, utilizamos uma análise com dados fora da amostra, dividindo os dados em períodos iguais e revezando o conjunto de treinamento. Como resultado, foi possível concluir que: i) o modelo de Black-Litterman não é suficiente para contornar as soluções de canto quando o investidor não é disciplinado, ao menos para o modelo utilizado; ii) para um investidor disciplinado, o P&L médio obtido pelos modelos de média-variância e de Black-Litterman é consideravelmente superior ao do benchmark para as duas carteiras; iii) o modelo de Black Litterman somente foi superior ao de média-variância quando a visão do investidor previu bem os resultados do mercado.

Otimização de carteiras regularizadas empregando informações de grupos de ativos para o mercado brasileiro

Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições sobre a norma dos pesos dos ativos, assim como DeMiguel et al. (2009). Adicionalmente, também analisamos o desempenho de carteiras que levam em consideração informações sobre a estrutura de grupos de ativos com características semelhantes, conforme proposto por Fernandes, Rocha e Souza (2011). Enquanto a matriz de covariância empregada nas análises é a estimada através dos dados amostrais, os retornos esperados são obtidos através da otimização reversa da carteira de equilíbrio de mercado proposta por Black e Litterman (1992). A análise empírica fora da amostra para o período entre janeiro de 2010 e outubro de 2014 sinaliza-nos que, em linha com estudos anteriores, a penalização das normas dos pesos pode levar (dependendo da norma escolhida e da intensidade da restrição) a melhores performances em termos de Sharpe e retorno médio, em relação a carteiras obtidas via o modelo tradicional de Markowitz. Além disso, a inclusão de informações sobre os grupos de ativos também pode trazer benefícios ao cálculo de portfolios ótimos, tanto em relação aos métodos tradicionais quanto em relação aos casos sem uso da estrutura de grupos.

O mercado de opções de petrobras é Ineficiente? Um estudo a partir da estratégia delta-gama-neutra

Este trabalho tem como objetivo verificar se o mercado de opções da Petrobras PN (PETR4) é ineficiente na forma fraca, ou seja, se as informações públicas estão ou não refletidas nos preços dos ativos. Para isso, tenta-se obter lucro sistemático por meio da estratégia Delta-Gama-Neutra que utiliza a ação preferencial e as opções de compra da empresa. Essa ação foi escolhida, uma vez que as suas opções tinham alto grau de liquidez durante todo o período estudado (01/10/2012 a 31/03/2013). Para a realização do estudo, foram consideradas as ordens de compra e venda enviadas tanto para o ativo-objeto quanto para as opções de forma a chegar ao livro de ofertas (book) real de todos os instrumentos a cada cinco minutos. A estratégia foi utilizada quando distorções entre a Volatilidade Implícita, calculada pelo modelo Black & Scholes, e a volatilidade calculada por alisamento exponencial (EWMA – Exponentially Weighted Moving Average) foram observadas. Os resultados obtidos mostraram que o mercado de opções de Petrobras não é eficiente em sua forma fraca, já que em 371 operações realizadas durante esse período, 85% delas foram lucrativas, com resultado médio de 0,49% e o tempo médio de duração de cada operação sendo pouco menor que uma hora e treze minutos.

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.

I beni relazionali nella ricerca sociologica: che cosa sono e quali effetti producono

This paper studies relational goods as immaterial assets creating real effects in society. The work starts answering to this question: what kind of effects do relational goods produce? After an accurate literature examination we suppose relational goods are social relations of second order. In the hypotesis they come from the emergence of two distinct social relations: interpersonal and reflexive relations. We describe empirical evidences of these emergent assets in social life and we test the effects they produce with a model. In the work we focus on four targets. First of all we describe the emergence of relational goods through a mathematical model. Then we individualize social realities where relational goods show evident effects and we outline our scientific hypotesis. The following step consists in the formulation of empirical tests. At last we explain final results. Our aim is to set apart the constitutive structure of relational goods into a checkable model coherently with the empirical evidences shown in the research. In the study we use multi-variate analysis techniques to see relational goods in a new way and we use qualitative and quantitative strategies. Relational goods are analysed both as dependent and independent variable in order to consider causative factors acting in a black-box model. Moreover we analyse effects of relational goods inside social spheres, especially in third sector and capitalistic economy. Finally we attain to effective indexes of relational goods in order to compare them with some performance indexes.

Risikomaße in der Finanzmathematik

„Risikomaße in der Finanzmathematik“ Der Value-at -Risk (VaR) ist ein Risikomaß, dessen Verwendung von der Bankenaufsicht gefordert wird. Der Vorteil des VaR liegt – als Quantil der Ertrags- oder Verlustverteilung - vor allem in seiner einfachen Interpretierbarkeit. Nachteilig ist, dass der linke Rand der Wahrscheinlichkeitsverteilung nicht beachtet wird. Darüber hinaus ist die Berechnung des VaR schwierig, da Quantile nicht additiv sind. Der größte Nachteil des VaR ist in der fehlenden Subadditivität zu sehen. Deswegen werden Alternativen wie Expected Shortfall untersucht. In dieser Arbeit werden zunächst finanzielle Risikomaße eingeführt und einige ihre grundlegenden Eigenschaften festgehalten. Wir beschäftigen uns mit verschiedenen parametrischen und nichtparametrischen Methoden zur Ermittlung des VaR, unter anderen mit ihren Vorteilen und Nachteilen. Des Weiteren beschäftigen wir uns mit parametrischen und nichtparametrischen Schätzern vom VaR in diskreter Zeit. Wir stellen Portfoliooptimierungsprobleme im Black Scholes Modell mit beschränktem VaR und mit beschränkter Varianz vor. Der Vorteil des erstens Ansatzes gegenüber dem zweiten wird hier erläutert. Wir lösen Nutzenoptimierungsprobleme in Bezug auf das Endvermögen mit beschränktem VaR und mit beschränkter Varianz. VaR sagt nichts über den darüber hinausgehenden Verlust aus, während dieser von Expected Shortfall berücksichtigt wird. Deswegen verwenden wir hier den Expected Shortfall anstelle des von Emmer, Korn und Klüppelberg (2001) betrachteten Risikomaßes VaR für die Optimierung des Portfolios im Black Scholes Modell.

Diseño de separadores mediante aplicación informática = Computer Application for Sepators Design

Programa informático desarrollado en plataforma EXCEL (VBA) y dirigido al diseño de Separadores de dos y tres fases, verticales y horizontales. El programa de ordenador o aplicación tiene la capacidad de determinar las propiedades físicas del fluido, utilizando diferentes correlaciones sobre la base del “Black Oil Model”, con dichas propiedades el Programa predice el tipo de flujo presente. Si el tipo de flujo es “Slug Flow” el programa determinara las dimensiones del “Slug catcher” necesario. Bajo las condiciones de funcionamiento existentes el programa diseñará el separador elegido: dos o tres fases, vertical u horizontal. Por último, la aplicación informática estimará el coste del equipo. Abstract Computer program developed in EXCEL (VBA) platform and aimed for the design of Two-Phase, Three-Phase, Vertical or Horizontal Separators. The computer Program or Application has the capability to determine the fluid physical properties utilizing different correlations on the basis of the Black Oil Model, with those Properties the Program will predict the Flow Regime present. If the flow regime is Slug Flow the program will determine the necessary slug catcher dimensions. Under certain operational conditions the program will design the selected: Two-Phase or Three-Phase, Vertical or Horizontal Separator. Finally the computer Application will estimate the cost of the equipment.

Dois ensaios em finanças

In the first chapter, we test some stochastic volatility models using options on the S&P 500 index. First, we demonstrate the presence of a short time-scale, on the order of days, and a long time-scale, on the order of months, in the S&P 500 volatility process using the empirical structure function, or variogram. This result is consistent with findings of previous studies. The main contribution of our paper is to estimate the two time-scales in the volatility process simultaneously by using nonlinear weighted least-squares technique. To test the statistical significance of the rates of mean-reversion, we bootstrap pairs of residuals using the circular block bootstrap of Politis and Romano (1992). We choose the block-length according to the automatic procedure of Politis and White (2004). After that, we calculate a first-order correction to the Black-Scholes prices using three different first-order corrections: (i) a fast time scale correction; (ii) a slow time scale correction; and (iii) a multiscale (fast and slow) correction. To test the ability of our model to price options, we simulate options prices using five different specifications for the rates or mean-reversion. We did not find any evidence that these asymptotic models perform better, in terms of RMSE, than the Black-Scholes model. In the second chapter, we use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month.

Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

Power generation investment opportunities evaluation: A comparison between net present value and real options approach

To evaluate an investment project in the competitive electricity market, there are several key factors that affects the project's value: the present value that the project could bring to investor, the possible future course of actions that investor has and the project's management flexibility. The traditional net present value (NPV) criteria has the ability to capture the present value of the project's future cash flow, but it fails to assess the value brought by market uncertainty and management flexibility. By contrast with NPV, the real options approach (ROA) method has the advantage to combining the uncertainty and flexibility in evaluation process. In this paper, a framework for using ROA to evaluate the generation investment opportunity has been proposed. By given a detailed case study, the proposed framework is compared with NPV and showing a different results

Three essays on liquidity

Doutoramento em Gestão.

MODELING AND EXPERIMENTAL SETUP OF AN HCCI ENGINE

For the past three decades the automotive industry is facing two main conflicting challenges to improve fuel economy and meet emissions standards. This has driven the engineers and researchers around the world to develop engines and powertrain which can meet these two daunting challenges. Focusing on the internal combustion engines there are very few options to enhance their performance beyond the current standards without increasing the price considerably. The Homogeneous Charge Compression Ignition (HCCI) engine technology is one of the combustion techniques which has the potential to partially meet the current critical challenges including CAFE standards and stringent EPA emissions standards. HCCI works on very lean mixtures compared to current SI engines, resulting in very low combustion temperatures and ultra-low NOx emissions. These engines when controlled accurately result in ultra-low soot formation. On the other hand HCCI engines face a problem of high unburnt hydrocarbon and carbon monoxide emissions. This technology also faces acute combustion controls problem, which if not dealt properly with yields highly unfavorable operating conditions and exhaust emissions. This thesis contains two main parts. One part deals in developing an HCCI experimental setup and the other focusses on developing a grey box modelling technique to control HCCI exhaust gas emissions. The experimental part gives the complete details on modification made on the stock engine to run in HCCI mode. This part also comprises details and specifications of all the sensors, actuators and other auxiliary parts attached to the conventional SI engine in order to run and monitor the engine in SI mode and future SI-HCCI mode switching studies. In the latter part around 600 data points from two different HCCI setups for two different engines are studied. A grey-box model for emission prediction is developed. The grey box model is trained with the use of 75% data and the remaining data is used for validation purpose. An average of 70% increase in accuracy for predicting engine performance is found while using the grey-box over an empirical (black box) model during this study. The grey-box model provides a solution for the difficulty faced for real time control of an HCCI engine. The grey-box model in this thesis is the first study in literature to develop a control oriented model for predicting HCCI engine emissions for control.