700 resultados para Volatilidade implícita
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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One problem that has been happening frequently in port terminals is the poor planning of the loading and unloading of containers. The reason of this problem is the lack of an efficient method that provides the best means of these operations. The main goal of this work is, to implement a method that provides the best ways to perform the loading and unloading of containers, at each port and thus bring a great saving for these terminals, since the number of moves is directly proportional to cost. To carry out this program was used the idea that the containers are placed in vertical stacks, where the access can be done only by the top of the stack, so the ship was treated as an matrix and to fill it, two rules were created for loading and two for unloading. To obtain the best sequence of rules was used Beam Search method, which is an enumeration type implicit method that analyzes only the best solution of the tree generated. Thus, the program developed in the Java language, provides the best way to perform the loading and unloading ports and the way as the ship leaves each port using a graphical interface
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The mathematical models are critical to determine theoretical prices of options and analyze whether they are overrated or underrated. This information strongly influence in operations carried out by the investor. Therefore, it is necessary that the employee model present high degree of reliability and be consistent with the reality of investment to which it is intended. In this sense, this dissertation aims to apply the steps of mathematical modeling in the Pricing of options for decision making in the investment of a hydroelectric power plant. Was used a Monte Carlo simulation, with the Latin Hypercube Method, to determine the volatility of returns of the project. In order to validate the proposed model, compared to the results found by the Binomial Model, which is one of the models most used in this type of investment. The results reinforce the hypothesis that the mathematical modeling with the Binomial Model is critical to investment decision-making in hydroelectric power
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The work consists of analyzing the risk management of investments by applying statistical concepts, economic and mathematical models considering the assets on the market on renowned financial institution. The assessment of these risks becomes increasingly interesting in view of minimizing your losses thus maximizing your chances of gains in both markets boom as extreme uncertainty, even with the sudden changes of scenery. Introducing concepts of investment funds, as well as the classification of the types of funds as funds management and equity, its guidelines, the concept of market investment funds. The types of assets comprising the investment funds, their taxation rules beyond the incidents that market widely used by investors and skilled people, both physical and legal, who keep their resources in this modality. With the historical data collected yields of investment funds of the Bank of Brazil, is an accomplished inflation adjustment and calculated the mean and variance for the verification of the model of Markowitz efficient frontier, a method used as investment analysis. This scan is used Matlab to obtain the set (or border) efficient portfolios. Once verified such data, there will be a critique of the Markowitz model as a quadratic programming and more coherent risk measures currently studied as VaR and CVaR minimizing the expected error, approaching our studies of current research. It is found that such studies have much to be explored, since there are many discussions about how effectively measure risk investments such as its characteristic and behavior, using a time series and volatility
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Pós-graduação em Educação - IBRC
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This study aims at enhancing the understanding of the educational criticism in the beginning of the twentieth century, focusing on the ideas of Lima Barreto. Before the emergence of the "educational professionals", educational thought was developed by publicists and writers involved in a fertile debate, the results of which became visible in literary and journalistic production. Through the analysis of articles, short texts published in the press, novels and short stories written by Lima Barreto, it’s possible to gather a specific concept of education, underlying his criticism and fictional characterization of school education, as well as an interesting sketch of the cultural profile of Brazilian society at the time. Either explicitly or implicitly, in their evaluative and theoretical references, the limits of the critical readings of the author, which are expressed in the contradiction between negation of the given conditions and their affirmation, unveil the historical aspects of social and educational thinking and criticism.
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In this note we show that the roots of a polynomial are C∞ depend of the coefficients. The main tool to show this is the Implicit Function Theorem.
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Pós-graduação em Letras - FCLAS
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Sexual violence against girls under the age of eighteen, in the form of sexual abuse has been identified as an endemic phenomenon by public officials in the cities of São Paulo. Among t agents and tutelary councilors, which reveal the size of their work linked to the Social Assistance System, the Health System and the Public Security System, dialoguing with their local agents. However, prevent sexual abuse and exploitation constitutes a greater challenge, consciously or unconsciously. This paper opens a discussion on the urgency of designing social networks to prevent sexual violence, with participation of researchers and university students. It is based on surveys of public officials in the years 2011 to 2013 in five cities of São Paulo, with over 200 thousand inhabitants.
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Pós-graduação em Engenharia Civil - FEIS
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Pós-graduação em Estudos Linguísticos - IBILCE
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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In search for better competitiveness, the automotive industry has discussed and applied several concepts related to people and processes. However, in many organizations, the adopted concepts are implemented and kept unarticulated. In this context, authors recognize the role of the knowledge as competitive advantage, but it is still dealt in an implicit way with the traditional models of Production Management. Exploring opportunities in this scenario, this Thesis aims to analyse worker knowledge sharing using factors of Knowledge Management, Work Organization and Production Organization. For the realization of the present Thesis, the scope of the research was restricted to be the labour environment of the glass plants shop floor. The choice of the glass sector is justified due to high dependency on the tacit knowledge of blue-collars. The research uses a qualitative-quantitative approach and employs interviews with workers and managers to identify factors. To assess the importance of these factors in the management judgments, is employed the technique Incomplete Pairwise Comparisons based on Analytic Hierarchy Process Saaty (2001). The result indicates integration among factors and highlights the importance of systematic and technical conversation among operators to share better your knowledge. Also, worker knowledge sharing is improved using communication, training and work instruction. This research extends the conceptual frameworks encountered in literature from the factors integration of Knowledge Management with the Organization of Work and the Production and makes explicit use of the theme of knowledge. This contributes to promote of a favourable context for the creation and sharing of knowledge, among the people in the labour environment, and to support incremental innovation
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Pós-graduação em Desenvolvimento Humano e Tecnologias - IBRC
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The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.