Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Testing term structure estimation methods:evidence from the UK STRIPs market

Prices and yields of UK government zero-coupon bonds are used to test alternative yield curve estimation models. Zero-coupon bonds permit a more pure comparison, as the models are providing only the interpolation service and also not making estimation feasible. It is found that better yield curves estimates are obtained by fitting to the yield curve directly rather than fitting first to the discount function. A simple procedure to set the smoothness of the fitted curves is developed, and a positive relationship between oversmoothness and the fitting error is identified. A cubic spline function fitted directly to the yield curve provides the best overall balance of fitting error and smoothness, both along the yield curve and within local maturity regions.

Testing the random walk hypothesis with variance ratio statistics

Mestrado em Finanças

Reverse convertible bonds

I convertible bonds sono degli strumenti finanziari che conferiscono al suo possessore la facoltà di scegliere se, una volta scaduta l'obbligazione, essere rimborsato tramite una somma di denaro (valore nominale) oppure convertire l'obbligazione in un numero predefinito di azioni. Successivamente si è trattato l’argomento della tesi, i reverse convertible bonds. Queste obbligazioni sono simili ai convertible bonds con la differenza che in tal caso il diritto di scegliere se convertire o meno l'obbligazione in azioni è lasciato all'emittente e non al sottoscrittore. I reverse convertible si ottengono dalla combinazione di un coupon bond ordinario (senza l'opzione di conversione) a breve termine e di un'opzione put sulle azioni sottostanti. E' stata analizzata la formula di valutazione dei reverse convertible bonds, data dalla differenza tra il prezzo di un coupon-bond ordinario emesso dalla stessa società e il prezzo di un'opzione put (quest'ultimo moltiplicato per il rapporto di conversione, ossia per il numero di azioni che si ottengono dalla conversione di ciascuna obbligazione convertibile). E’ stata poi fatta un’analisi empirica dei prezzi dei reverse convertible bonds. Sono stati calcolati i prezzi di 7 reverse convertible utilizzando i dati forniti dal database finanziario e macroeconomico, Thomson Reuters Datastream.I prezzi calcolati sono stati poi confrontati con i prezzi di mercato di tali obbligazioni relativamente allo stesso istante temporale, il giorno 6/6/2016.

Galerkin finite element method for incompressible thermofluid flows framed within the bond graph theory

In this paper a bond graph methodology is used to model incompressible fluid flows with viscous and thermal effects. The distinctive characteristic of these flows is the role of pressure, which does not behave as a state variable but as a function that must act in such a way that the resulting velocity field has divergence zero. Velocity and entropy per unit volume are used as independent variables for a single-phase, single-component flow. Time-dependent nodal values and interpolation functions are introduced to represent the flow field, from which nodal vectors of velocity and entropy are defined as state variables. The system for momentum and continuity equations is coincident with the one obtained by using the Galerkin method for the weak formulation of the problem in finite elements. The integral incompressibility constraint is derived based on the integral conservation of mechanical energy. The weak formulation for thermal energy equation is modeled with true bond graph elements in terms of nodal vectors of temperature and entropy rates, resulting a Petrov-Galerkin method. The resulting bond graph shows the coupling between mechanical and thermal energy domains through the viscous dissipation term. All kind of boundary conditions are handled consistently and can be represented as generalized effort or flow sources. A procedure for causality assignment is derived for the resulting graph, satisfying the Second principle of Thermodynamics. (C) 2007 Elsevier B.V. All rights reserved.

Avalanches in a fluctuationless first-order phase transition in a random-bond Ising model

We study the behavior of the random-bond Ising model at zero temperature by numerical simulations for a variable amount of disorder. The model is an example of systems exhibiting a fluctuationless first-order phase transition similar to some field-induced phase transitions in ferromagnetic systems and the martensitic phase transition appearing in a number of metallic alloys. We focus on the study of the hysteresis cycles appearing when the external field is swept from positive to negative values. By using a finite-size scaling hypothesis, we analyze the disorder-induced phase transition between the phase exhibiting a discontinuity in the hysteresis cycle and the phase with the continuous hysteresis cycle. Critical exponents characterizing the transition are obtained. We also analyze the size and duration distributions of the magnetization jumps (avalanches).

European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products.

Ceramic Primer Heat-Treatment Effect on Resin Cement/Y-TZP Bond Strength

The purpose of this study was to evaluate the effect of different heat-treatment strategies for a ceramic primer on the shear bond strength of a 10-methacryloyloxydecyl-dihydrogen-phosphate (MDP)-based resin cement to a yttrium-stabilized tetragonal zirconia polycrystal (Y-TZP) ceramic. Specimens measuring 4.5 x 3.5 x 4.5 mm(3) were produced from Y-TZP presintered cubes and embedded in polymethyl methacrylate (PMMA). Following finishing, the specimens were cleaned using an ultrasound device and distilled water and randomly divided into 10 experimental groups (n=14) according to the heat treatment of the ceramic primer and aging condition. The strategies used for the experimental groups were: GC (control), without primer; G20, primer application at ambient temperature (20 degrees C); G45, primer application + heat treatment at 45 degrees C; G79, primer application + heat treatment at 79 degrees C; and G100, primer application + heat treatment at 100 degrees C. The specimens from the aging groups were submitted to thermal cycling (6000 cycles, 5 degrees C/55 degrees C, 30 seconds per bath) after 24 hours. A cylinder of MDP-based resin cement (2.4 mm in diameter) was constructed on the ceramic surface of the specimens of each experimental group and stored for 24 hours at 37 degrees C. The specimens were submitted to a shear bond strength test (n=14). Thermal gravimetric analysis was performed on the ceramic primer. The data obtained were statistically analyzed by two-way analysis of variance and the Tukey test (alpha=0.05). The experimental group G79 without aging (7.23 +/- 2.87 MPa) presented a significantly higher mean than the other experimental groups without aging (GC: 2.81 +/- 1.5 MPa; G20: 3.38 +/- 2.21 MPa; G100: 3.96 +/- 1.57 MPa), showing no difference from G45 only (G45: 6 +/- 3.63 MPa). All specimens of the aging groups debonded during thermocycling and were considered to present zero bond strength for the statistical analyses. In conclusion, heat treatment of the metal/zirconia primer improved bond strength under the initial condition but did not promote stable bonding under the aging condition.

Air abrasion before and/or after zirconia sintering: surface characterization, flexural strength, and resin cement bond strength

The purpose of this in vitro study was to evaluate the effect of air-abrasion/zirconia sintering order on the yttria partially stabilized tetragonal zirconia polycrystal (Y-TZP) surface characterization (roughness, morphology, and phase transformation), flexural strength (FS), and shear bond strength (SBS) to a resin cement. Y-TZP specimens were air abraded with 50-μm Al2O3 particles after (AS), before (BS), or before and after zirconia sintering (BAS). For roughness (Ra), 30 block specimens (12×12×3.0 mm; n=10) had their surfaces analyzed by a profilometer. Next, on the air-abraded surfaces of these specimens, composite resin discs (n=30) were bonded with RelyX ARC. The bonded specimens were stored for 24 hours in distilled water at 37°C before shear testing. Failure mode was determined with a stereomicroscope (20×). The surface morphology (n=2) was evaluated by SEM (500×). For the four-point flexural strength test (EMIC DL2000), 39 bar-shaped specimens (20×4.0×1.2 mm; n=13) were air abraded according to the three conditions proposed, and an additional group (nonabraded) was evaluated (n=13). The quantitative analysis of phase transformation (n=1) was completed with Rietveld refinement with X-ray diffraction data. Ra (μm) and SBS (MPa) data were analyzed by one-way analysis of variance (ANOVA) and the Tukey test (α=0.05). Pearson correlation analysis was used to determine if there was a correlation between roughness and SBS. For FS (MPa) data, one-way ANOVA and the Dunnett C-test (α=0.05) were used. The air-abrasion/zirconia sintering order influenced significantly (p<0.001) Ra, SBS, and FS. The BS and AS groups presented the highest (1.3 μm) and the lowest (0.7 μm) Ra. The highest SBS (7.0 MPa) was exhibited by the BAS group, followed by the AS group (5.4 MPa) and finally by the BS group (2.6 MPa). All groups presented 100% adhesive failure. A weak correlation (r=−0.45, p<0.05) was found between roughness and SBS. The air-abrasion/zirconia sintering order provided differences in the surface morphology. The nonabraded (926.8 MPa) and BS (816.3 MPa) groups exhibited statistically similar FS values but lower values than the AS (1249.1 MPa) and BAS (1181.4 MPa) groups, with no significant difference between them. The nonabraded, AS, BS, and BAS groups exhibited, respectively, percentages of monoclinic phase of 0.0 wt%, 12.2 wt%, 0.0 wt%, and 8.6 wt%. The rougher surface provided by the air-abrasion before zirconia sintering may have impaired the bonding with the resin cement. The morphological patterns were consistent with the surface roughness. Considering the short-term SBS and FS, the BAS group exhibited the best performance. Air abrasion, regardless of its performance order, provides tetragonal to monoclinic transformation, while sintering tends to zero the monoclinic phase content.

The effect of CPP-ACP and Nd:YAG laser on the bond strength of softened dentin

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Ceramic Primer Heat-Treatment Effect on Resin Cement/Y-TZP Bond Strength

The purpose of this study was to evaluate the effect of different heat-treatment strategies for a ceramic primer on the shear bond strength of a 10-methacryloyloxydecyl-dihydrogen-phosphate (MDP)-based resin cement to a yttrium-stabilized tetragonal zirconia polycrystal (Y-TZP) ceramic. Specimens measuring 4.5 x 3.5 x 4.5 mm(3) were produced from Y-TZP presintered cubes and embedded in polymethyl methacrylate (PMMA). Following finishing, the specimens were cleaned using an ultrasound device and distilled water and randomly divided into 10 experimental groups (n=14) according to the heat treatment of the ceramic primer and aging condition. The strategies used for the experimental groups were: GC (control), without primer; G20, primer application at ambient temperature (20 degrees C); G45, primer application + heat treatment at 45 degrees C; G79, primer application + heat treatment at 79 degrees C; and G100, primer application + heat treatment at 100 degrees C. The specimens from the aging groups were submitted to thermal cycling (6000 cycles, 5 degrees C/55 degrees C, 30 seconds per bath) after 24 hours. A cylinder of MDP-based resin cement (2.4 mm in diameter) was constructed on the ceramic surface of the specimens of each experimental group and stored for 24 hours at 37 degrees C. The specimens were submitted to a shear bond strength test (n=14). Thermal gravimetric analysis was performed on the ceramic primer. The data obtained were statistically analyzed by two-way analysis of variance and the Tukey test (alpha=0.05). The experimental group G79 without aging (7.23 +/- 2.87 MPa) presented a significantly higher mean than the other experimental groups without aging (GC: 2.81 +/- 1.5 MPa; G20: 3.38 +/- 2.21 MPa; G100: 3.96 +/- 1.57 MPa), showing no difference from G45 only (G45: 6 +/- 3.63 MPa). All specimens of the aging groups debonded during thermocycling and were considered to present zero bond strength for the statistical analyses. In conclusion, heat treatment of the metal/zirconia primer improved bond strength under the initial condition but did not promote stable bonding under the aging condition.

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007–09 via a time-varying parameter structural VAR model. We identify a “pure” spread shock defined as a shock that leaves the policy rate unchanged, which allows us to characterize the macroeconomic consequences of a decline in the yield spread induced by central banks’ asset purchases within an environment in which the policy rate is constrained by the effective zero lower bound. Two key findings stand out. First, compressions in the long-term yield spread exert a powerful effect on both output growth and inflation. Second, conditional on available estimates of the impact of the Federal Reserve’s and the Bank of England’s asset purchase programs on long-term yield spreads, our counterfactual simulations suggest that U.S. and U.K. unconventional monetary policy actions have averted significant risks both of deflation and of output collapses comparable to those that took place during the Great Depression.

Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Microtensile Bond Strength Of Methacrylate And Silorane Resins To Enamel And Dentin.

The aim of this study was to evaluate the microtensile bond strength (µTBS) of two substrates (enamel and dentin) considering two study factors: type of composite resin [methacrylate-based (Filtek Supreme) or silorane-based (Filtek LS)] and aging time (24 h or 3 months). Twenty human molars were selected and divided into 2 groups (n=10) considering two dental substrates, enamel or dentin. The enamel and dentin of each tooth was divided into two halves separated by a glass plate. Each tooth was restored using both tested composite resins following the manufacturer's instructions. The samples were sectioned, producing 4 sticks for each composite resin. Half of them were tested after 24 h and half after 3 months. µTBS testing was carried out at 0.05 mm/s. Data were analyzed by three-way ANOVA and Tukey's HSD tests at α=0.05. Significant differences between composite resins and substrates were found (p<0.05), but no statistically significant difference was found for aging time and interactions among study factors. The methacrylate-based resin showed higher µTBS than the silorane-based resin. The µTBS for enamel was significantly higher than for dentin, irrespective of the composite resin and storage time. Three months of storage was not sufficient time to cause degradation of the bonding interaction of either of the composite resins to enamel and dentin.