Pricing the option adjust spread of Brazilian Eurobonds

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observable market term structure and is able to compute risk measures such as duration and convexity, and pricing and hedging of options on these bonds. Examples show the ejJects of the embedded options on the spread and risk measures as well as the ejJects on the spread due to variations on the volatility parameters ofthe short rate.

Unit roots and the welfare gains of cycle smoothing

li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively small. A possible problem with such calculations is the dichotomy between the trend and the cyclical components of consumption. In this paper, we abandon this dichotomy in two ways. First, we decompose consumption into a deterministic trend, a stochastic trend, and a stationary cyclical component, calculating the welfare gains of cycle smoothing. Calculations are carried forward only after a careful discussion of the limitations of macroeconomic policy. Second, still under the stochastic-trend model, we incorporate a variable slope for consumption depending negatively on the overall volatility in the economy. Results are obtained for a variety of preference parameterizations, parameter values, and different macroeconomic-policy goals. They show that, once the dichotomy in the decomposition in consumption is abandoned, the welfare gains of cycle smoothing may be substantial, especially due to the volatility effect.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Terms of trade, macroeconomic dynamics and default decisions

A evidência empírica aponta que Termos de Troca é uma variável relevante tanto para dinâmica macroeconômica como para o risco de default em países emergentes. No entanto, a literatura de dívida soberana baseada nos trabalhos de Eaton e Gerzovitz (1981) e Arellano (2008) ainda não explorou de forma adequada as conecções entre a dinâmica de termos de troca e incentivos ao default. Nós contribuímos nessa área, introduzindo volatilidade de Termos de Troca no modelo proposto por Mendoza e Yue (2012), no qual as decisões de dívida soberana são vinculadas à um modelo de equilíbrio geral para a economia doméstica. Nós encontramos que uma economia exposta à volatilidade dos termos de troca consegue produzir uma variabilidade do consumo que supera significativamente a variabilidade do produto, característica que constitui um fato estilizado chave de business cycles de países emergentes. Nossos exercícios também mostram que decisões de default são geradas por mudanças bruscas nos termos de troca, mas não necessariamente estão vinculados à estados ruins da economia.

Elections and stock market volatility: evidence in OECD countries and developing countries

Este trabalho estuda se existe impacto na volatilidade dos mercados de ações em torno das eleições nacionais nos países da OCDE e nos países em Desenvolvimento. Ao mesmo tempo, pretende, através de variáveis explicativas, descobrir os fatores responsáveis por esse impacto. Foi descoberta evidência que o impacto das eleições na volatilidade dos mercados de ações é maior nos países em Desenvolvimento. Enquanto as eleições antecipadas, a mudança na orientação política e o tamanho da população foram os factores que explicaram o aumento da volatilidade nos países da OCDE, o nível democrático, número de partidos da coligação governamental e a idade dos mercados foram os factores explicativos para os países em Desenvolvimento.

Production of cyclodextrins by CGTase from Bacillus clausii using different starches as substrates

Cyclodextrins ( CDs) are cyclic oligasaccharides composed by D- glucose monomers joined by alpha- 1,4-D glicosidic linkages. The main types of CDs are alpha-,beta-and gamma-CDs consisting of cycles of six, seven, and eight glucose monomers, respectively. Their ability to form inclusion complexes is the most important characteristic, allowing their wide industrial application. The physical property of the CD-complexed compound can be altered to improve stability, volatility, solubility, or bio-availability. The cyclomaltodextrin glucanotransferase ( CGTase, EC 2.4.1.19) is an enzyme capable of converting starch into CD molecules. In this work, the CGTase produced by Bacillus clausii strain E16 was used to produce CD from maltodextrin and different starches ( commercial soluble starch, corn, cassava, sweet potato, and waxy corn starches) as substrates. It was observed that the substrate sources influence the kind of CD obtained and that this CGTase displays a beta- CGTase action, presenting a better conversion of soluble starch at 1.0%, of which 80% was converted in CDs. The ratio of total CD produced was 0: 0.89: 0.11 for alpha/beta/gamma. It was also observed that root and tuber starches were more accessible to CGTase action than seed starch under the studied conditions.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Multiresidue determination of herbicides in environmental waters from Primavera do Leste region (Middle West of Brazil) by SPE-GC-NPD

A study on the presence of herbicides, namely simazine, metribuzin, metolachlor, trifluralin, atrazine and two metabolites, deisopropylatrazine (DIA) and deethylatrazine (DEA), was performed in ground and surface waters from Primavera do Leste region, Mato Grosso state (Middle West of Brazil). The analytical procedure was based on solid-phase extraction (SPE) with Sep-Pak C18 disposable cartridges and ethyl acetate for elution solvent. Residue levels were determined by gas chromatography with nitrogen-phosphorus detection. For most of the pesticides average recoveries at different fortification levels were >with relative standard deviation < The recoveries of DIA and trifluralin in water were 25% and 56%, respectively, which were attributed to the incomplete retention of DIA and strong retention on the sorbing material and high volatility of trifluralin. Detection limits ranged from 0.023 to 0.088 μg L-1. This method was applied for the analysis of 5 superficial water samples and 28 groundwater samples, in places used for human consumption without previous treatment, collected in Primavera do Leste, Mato Grosso, Brazil. Results indicated that the highest level of contamination in a water sample was 1.732 μg L-1 for metolachlor, while metribuzin was the most frequently detected herbicide with maximum concentration of 0.351 μg L-1. ©2006 Sociedade Brasileira de Química.

Preliminary Overview of the Economies of Latin America and the Caribbean 2007

Includes bibliography

Preliminary Overview of the Economies of Latin America and the Caribbean 2010

Includes bibliography

Preliminary Overview of the Economies of Latin America and the Caribbean 2011

Incluye Bibliografía

Economic Survey of Latin America and the Caribbean 2009-2010: The distributive impact of public policies

Includes bibliography

Economic Survey of Latin America and the Caribbean 2010-2011: Internacional integration and macroeconomic policy challenges amid global economic turmoil

Includes bibliography