Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Do soldiers' lives matter? A view from proportionality

A military operation is about to take place during an ongoing international armed conflict; it can be carried out either by aerial attack, which is expected to cause the deaths of enemy civilians, or by using ground troops, which is expected to cause the deaths of fewer enemy civilians but is expected to result in more deaths of compatriot soldiers. Does the principle of proportionality in international humanitarian law impose a duty on an attacker to expose its soldiers to life-threatening risks in order to minimise or avert risks of incidental damage to enemy civilians? If such a duty exists, is it absolute or qualified? And if it is a qualified duty, what considerations may be taken into account in determining its character and scope? This article presents an analytic framework under the current international humanitarian law (IHL) legal structure, following a proportionality analysis. The proposed framework identifies five main positions for addressing the above queries. The five positions are arranged along two ‘axes’: a value ‘axis’, which identifies the value assigned to the lives of compatriot soldiers in relation to lives of enemy civilians; and a justification ‘axis’, which outlines the justificatory bases for assigning certain values to lives of compatriot soldiers and enemy civilians: intrinsic, instrumental or a combination thereof. The article critically assesses these positions, and favours a position which attributes a value to compatriot soldiers’ lives, premised on a justificatory basis which marries intrinsic considerations with circumscribed instrumental considerations, avoiding the indeterminacy and normative questionability entailed by more expansive instrumental considerations.

Endogenous business cycles with frictional labour markets

We present a neoclassical model of capital accumulation with frictional labour markets. Under standard parameter values the equilibrium of the model is indeterminate and consequently displays expectations-driven business cycles – so-called endogenous business cycles. We study the properties of such cycles, and find that the model predicts the high autocorrelation in output growth and the hump-shaped impulse response of output found in US data – important features that existing endogenous real business cycle models fail to explain. The indeterminacy of the equilibrium stems from job search externalities and does not rely on increasing returns to scale as in most models.

Do real balance effects invalidate the Taylor principle in closed and open economies?

This paper examines the determinacy implications of forecast-based monetary policy rules that set the interest rate in response to expected future inflation in a Neo-Wicksellian model that incorporates real balance effects. We show that the presence of such effects in closed economies restricts the ability of the Taylor principle to prevent indeterminacy of the rational expectations equilibrium. The problem is exacerbated in open economies, particularly if the policy rule reacts to consumer-price, rather than domestic-price, inflation. However, determinacy can be restored in both closed and open economies with the addition of monetary policy inertia.

Borderline cases and the collapsing principle

John Broome has argued that value incommensurability is vagueness, by appeal to a controversial ‘collapsing principle’ about comparative indeterminacy. I offer a new counterexample to the collapsing principle. That principle allows us to derive an outright contradiction from the claim that some object is a borderline case of some predicate. But if there are no borderline cases, then the principle is empty. The collapsing principle is either false or empty.

O acordo de acionistas à luz do Código Civil de 2002

A constatação de grande indeterminação acerca da interpretação da Lei 6.404/76 em conjunto com o Código Civil suscitou o interesse em se discutir, através de um instituto específico da Lei Societária, o acordo de acionistas, contextualizado através de um caso concreto, a aplicação de princípios gerais dos contratos civis à referida lei específica. A separação dos diplomas trouxe uma série de questionamentos quanto à aplicação de princípios, como por exemplo, a boa-fé objetiva, na interpretação da norma societária. Portanto, a natureza contratual do acordo de acionistas, analisado na hipótese em que este não se encontra arquivado na sede da companhia, e sua inteira regulação pela legislação societária, constitui um exemplo paradigmático para emoldurar a referida discussão, promovida também na doutrina e na jurisprudência.

Avaliação da capacidade de adsorção do CO2 em zeólita 12X com gases sintéticos e originados da pirólise do lodo de esgoto

This work depicts a study of the adsorption of carbon dioxide on zeolite 13X. The activities were divided into four stages: study batch adsorption capacity of the adsorbent with synthetic CO2 (4%), fixed bed dynamic evaluation with the commercial mixture of gases (4% CO2, 1.11% CO, 1 2% H2, 0.233% CH4, 0.1% C3, 0.0233% C4 argon as inert closing balance), fixed bed dynamic modeling and evaluation of the breakthrough curve of CO2 originated from the pyrolysis of sewage sludge. The sewage sludge and the adsorbent were characterized by analysis TG / DTA, SEM, XRF and BET. Adsorption studies were carried out under the following operating conditions: temperature 40 °C (for the pyrolysis of the sludge T = 600 °C), pressures of 0.55 to 5.05 bar (batch process), flow rate of the gaseous mixture between 50 - 72 ml/min and the adsorbent masses of 10, 15 and 20 g (fixed bed process). The time for the adsorption batch was 7 h and on the fixed bed was around 180 min. The results of this study showed that in batch adsorption process step with zeolite 13X is efficient and the mass of adsorbed CO2 increases with the increases pressure, decreases with temperature increases and rises due the increase of activation temperature adsorbent. In the batch process were evaluated the breakthrough curves, which were compared with adsorption isotherms represented by the models of Langmuir, Freündlich and Toth. All models well adjusted to the experimental points, but the Langmuir model was chosen in view of its use in the dynamic model does not have implications for adsorption (indeterminacy and larger number of parameters such as occurred with others) in solving the equation. In the fixed bed dynamic study with the synthetic gas mixture, 20 g of mass adsorbent showed the maximum adsorption percentage 46.7% at 40 °C temperature and 50 mL/min of flow rate. The model was satisfactorily fitted to the three breakthrough curves and the parameters were: axial dispersion coefficient (0.0165 dm2/min), effective diffusivity inside the particle (dm2/min 0.0884) and external transfer coefficient mass (0.45 dm/min). The breakthrough curve for CO2 in the process of pyrolysis of the sludge showed a fast saturation with traces of aerosols presents in the gas phase into the fixed bed under the reaction process

Não há dente de coelho no problema da tradução radical

O trabalho consiste em uma tentativa de refutação do princípio quineano da indeterminação da tradução radical. A estrutura do argumento é a seguinte. A demonstração do princípio no texto de Quine assenta-se sobre certa concepção do processo de tradução radical. Esta concepção só se sustenta se são adotadas certas pressuposições a respeito da natureza da linguagem e dos falantes. Entretanto, se estas pressuposições são adotadas, não há razão para não se aceitarem também outras pressuposições - as quais invalidam a demonstração de Quine.

O silêncio das musas: Épico, ciência e poesia em Haroldo de Campos

The epic and science seem to have been the most important concerns of the Brazilian author Haroldo de Campos (1929-2003) in his last twenty years of life. The books Finismundo: a última viagem and A máquina do mundo repensada are two significant works in his aesthetical journey. This paper presents some strategies for reading both books, in which the relationship between those themes is emphasized. As a starting point, it is believed that the analogy between science and the epic does not represent a paradigm of reading on which the poetry of Harold de Campos intends to base itself, but a way of thinking about the political and literary concerns that constitute its own situation. The creation of a poetics of adventure as an alternative to the end of utopia and the affirmation of a principle of indeterminacy as a way to oppose the interpretations immediately available in the present constitute two of the main interests found in this mode of reading.

Continuum psicofísico: uma abordagem baseada no pensamento de Charles S. Pierce

Pós-graduação em Filosofia - FFC

Conflito, reconhecimento e justiça: uma nova forma à teoria crítica

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

As estratégias de representação ficcional das contingências humanas em contos de Raymond Carver

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O Conceito normativo de pessoa com deficiência para fins de reserva de vagas no mercado de trabalho

Esta dissertação analisa o conceito de pessoa com deficiência disposto na legislação nacional e internacional, perquirindo quem são os integrantes desse grupo vulnerável que possuem o direito às vagas reservadas ao mercado de trabalho, previsto na Constituição Federal de 1988 e nas Leis nº 8.112/90 e 8.213/91. Trata-se de uma pesquisa com enfoque na aplicação das ações afirmativas, especificamente o sistema de cotas, destinado à inclusão social das pessoas com deficiência. Verifica-se a existência de uma polêmica questão referente à relativa indeterminação de quem são os destinatários dessa medida. Assim, trazemos para o debate o conjunto normativo de leis, decretos e tratados internacionais que buscaram definir as pessoas com deficiência, entre os quais destacamos o Decreto nº 3.298/99 e a Convenção sobre os Direitos das Pessoas com Deficiência da ONU. Mas também analisamos as principais referências teóricas relacionadas ao universo da deficiência, ocasião na qual exploramos a evolução dos direitos humanos e fundamentais desse grupo, passando pelos principais paradigmas e reivindicações dos movimentos sociais, conhecendo assim quais são os alicerces de tais direitos e de que forma exigem o tratamento igualitário. Procuramos esclarecer e desfazer o imbróglio conceitual que se estabeleceu no sistema jurídico brasileiro ao longo dos últimos 25 anos, por meio da difusão das informações acima citadas. Visamos com isso possibilitar que as ações afirmativas cumpram certos requisitos de validade, entre os quais o dever de justiça e eficiência na redistribuição dos recursos fundamentais. Destacamos que o dever de inclusão social, bem como o sucesso das ações afirmativas, estão subordinados ao maior conhecimento sobre os direitos desse grupo, tanto por parte dos operadores do direito, como dos demais profissionais de outras áreas do saber, os quais devem trabalhar em conjunto para identificar quais fatos relevantes no contexto social tornam esse indivíduos vulnerabilizados e justificam a proteção estatal por meio do sistema de cotas.

Escritas indeterminadas e sujeitos fragmentários em contos pós-modernos de João Noll e Sam Shepard

Pós-graduação em Letras - IBILCE