Delta hedge com custos de transação : uma análise comparativa

Dentre as premissas do modelo de Black-Scholes, amplamente utilizado para o apreçamento de opções, assume-se que é possível realizar a replicação do payoff da opção através do rebalanceamento contínuo de uma carteira contendo o ativo objeto e o ativo livre de risco, ao longo da vida da opção. Não somente o rebalanceamento em tempo contínuo não é possível, como mesmo que o fosse, em um mercado com custos de transação, rebalanceamentos da estratégia replicante com intervalos de tempo muito baixos teriam o payoff da estratégia replicante comprometido pelos altos custos totais de transação envolvidos. Este trabalho procura comparar metodologias de delta-hedge, tomando como base uma call européia vendida em um mercado com custos de transação. Para comparar as diferentes estratégias, este estudo será dividido em duas partes: na primeira, serão escolhidas três ações do mercado brasileiro, e usando simulações de Monte Carlo para cada ação, avaliamos diferentes modelos de delta-hedge a partir do erro de replicação do portfolio global e dentro de um contexto de média × variância, considerando-se custos de transação. Em um segundo momento, para o mesmo grupo de ações, testamos os resultados práticos dos modelos, usando dados de mercado.

Grupos preveem atos em 32 cidades no país

Os grupos que estão organizando protestos contra a presidente Dilma Rousseff (PT) no próximo domingo compartilham a insatisfação com o governo federal, mas divergem sobre um pedido de impeachment. Ativos na intemet, onde já somam dezenas de milhares de seguidores, esses grupos se dividem entre os que reivindicam para já a adoção dessa medida, contra outros que ainda esperam por um fato que dê margem legal a uma decisão dessa natureza.

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.

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

This study aims to verify if the Petrobras options market is efficient in the semi-strong form, that is, if all public information is reflected in these derivative prices. For this purpose, this work tries to achieve profit systematically through the Delta-GammaNeutral strategy using the company's stock and options. In order to simulate the strategy exactly as it would be used in the real world, we built the order books every five minutes considering all buying and selling orders sent to the underlying asset and to the options. We apply the strategy when distortions between implied volatilities extracted from the options are detected. The results show that the Petrobras options market is not efficient, since in 371 day trade strategies, which have an average investment of R$81,000 and average duration of one hour and thirteen minutes, the average return was 0.49% - which corresponds to more than 1,600% of the 1-day risk free interest rate - and 85% of strategies were profitable.

Efeitos do potencial probiótico Enterococcus faecium 32 e de sua associação com o extrato da alga marinha Caulerpa mexicana no tratamento de colite experimental murina

Ulcerative colitis comprising an inflammatory bowel disease, whose most severe consequence is the development of intestinal neoplasia. The drugs currently used to treat the disease trigger a variety of serious adverse effects and are not effective in many cases. Recent studies demonstrated the effectiveness of natural products for the treatment of inflammatory processes. Seaweed extracts and their purified products have shown protective effects in models of inflammation and the association of traditional therapies with probiotics has significantly improved the clinical symptoms of ulcerative colitis. Therefore, the aims of this study include evaluating the potential effects of the use of probiotic strain Enterococcus faecium 32 (Ef32), the methanolic extract of the green seaweed Caulerpa mexicana (M.E.) and their concomitant administration in a murine model of colitis induced by dextran sodium sulfate (DSS). Accordingly, C57BL /6 mice were pretreated orally with Ef32 (109 CFU/ml) for seven days. In the seven days following, the colitis was induced by administration of 3% DSS (w/v) diluted in the animals drinking water. During this period, animals were treated daily with Ef32 and the M.E. (2.0 mg/kg) every other day by intravenous route. The development of colitis was monitored by the disease activity index (DAI), which takes into account the loss of body weight, consistency and presence of blood in stools. After euthanasia, the colon was removed, its length measured and tissue samples were destined for histological analysis and culture for cytokine quantification. The levels of cytokines in the culture supernatant of the colon were measured by ELISA. The treatments with the probiotic Ef32 or the M.E. alone or the combination of these two substances provoked significant improvement as to weight loss and DAI, and prevented the shortening of the colon in response to DSS. The isolated treatments triggered a slight improvement in intestinal mucosal tissue damage. However, their combination was able to completely repair the injury triggered by DSS. The association was also able to reduce the levels of all the cytokines analyzed (IFN-γ, IL-4, IL-6, IL-12, IL-17A and TNF-α). On the other hand, the treatment with Ef32 did not interfere with the levels of TNF-α, whereas treatment with M.E. did not alter the levels of IL-6. Moreover, the treatment with Ef32 not interferes in TNF-α levels, whereas treatment with M.E. did not alter the levels of IL-6. Therefore, the potential probiotic Ef32 and M.E. and especially when these samples were associated proved promising alternatives in the treatment of ulcerative colitis as demonstrated in an experimental model because of its beneficial effects on morphological and clinical parameters, and by reducing the production of proinflammatory cytokines of Th1, Th2 and Th17

Identification of new isolates of Bacillus thuringiensis using rep-PCR products and delta-endotoxin electron microscopy

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Electrochemical characterization of the paste carbon modified electrode with KSr2Ni0.75Nb4.25O15-delta solid in catalytic oxidation of the dipyrone

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

Avaliação muscular respiratória: adaptação do mano vacuômetro nacional para a avaliação da pressão inspiratória nasal e nível de intensidade da ventilação voluntária máxima em sujeitos saudáveis

The clinical importance of evaluating the respiratory muscles with a variety of tests has been proposed by several studies, once that the combination of several tests would allow a better diagnosis and therefore, a better clinical follow of disorders of the respiratory muscles. This study aimed to evaluate the feasibility of adapting a national electronic manovacuometer to measure the nasal inspiratory pressure (study 1) and analyze the level of load intensity of maximum voluntary ventilation, as well as the variables that may influence this maneuver in healthy subjects (study 2). We studied 20 healthy subjects by a random evaluation of two measures of SNIP in different equipments: a national and an imported. In study 2 it was analyzed the intensity of the load of MVV test, change in pressure developed during the maneuver, the possible differences between genders, and the correlations between the flow developed in the test and the result of MVV. In study 1 it was found the average for both measures of nasal inspiratory pressures: 125 ± 42.4 cmH2O for the imported equipment and 131.7 ± 28.7 cmH2O for the national one. Pearson analysis showed a significant correlation between the average, with a coefficient r = 0.63. The average values showed no significant differences evaluated by paired t test (p> 0.05). In the Bland-Altman analysis it was found a BIAS = 7 cmH2O, SD 32.9 and a confidence interval of - 57.5 cmH2O up to 71.5 cmH2O. In the second study it was found significant differences between the genders in the air volume moved, being higher in males 150.9 ± 13.1 l / min vs 118.5 ± 15.7 L / min for (p = 0.0002, 95% CI 44.85 to 20:05). Regarding the inspiratory and expiratory loading, they were significantly higher in men than in women, peak inspiratory pressure (34.7 ± 5.3 cmH2O vs 19.5 ± 4.2 cmH2O, 95% CI - 18.0 to -12.3, p <0.0001), peak expiratory (33.8 vs. 23.1 ± 5.9 cmH2O ± 5.4 cmH2O, 95% CI -17.1 to - 4.6, p <0.0001), and the delta pressure (59.7 ± 10 cmH2O vs 36.8 ± 8.3 cmH2O, 95% CI 14.5 to 31.2, p <0.0002). The Pearson correlation showed that the flow generated by the maneuver is strongly correlated with the delta-expiratory pressure / inspiratory (r2= 0.83,R = 0.91, 95%IC 0.72 a 0.97 e p< 0.0001).Through these results we suggest that the national electronic manovacuometer is feasible and safe to perform the sniff test in healthy subjects. For the MVV, there are differences between the genders in the intensity of pressure developed during the maneuver. We found a load intensity considered low during the MVV, and found a strong correlation between the flow generated in the test and the delta pressure expiratory / inspiratory

Mobilidade de oxigênio intersticial em cerâmicas SmBa2Cu3O7-delta

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

Anelastic characterization and superconducting properties of RuSr2GdCu2O8+delta

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Magnetic interactions and spin-reversal mechanism in ErMn1-xCoxO3-delta samples

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

Indirect optical transitions from carriers trapped on the delta doping and on the parabolic quantum well

In this work, doped AlGaAs/GaAs parabolic quantum wells (PQW) with different well widths (from 1000 angstrom up to 3000 angstrom) were investigated by means of photoluminescence (PL) measurements. In order to achieve the 2DEG inside the PQW Si delta doping is placed at both side of the well. We have observed that the thickness of this space layer plays a major rule on the characteristics of the 2DEG. It has to be thicker enough to prevent any diffusions of Si to the well and thin enough to allow electrons migration inside the well. From PL measurement, we have observed beside the intra well transitions, indirect transitions involving still trapped electron on the delta doping and holes inside the PQW. For the thinness sample, we have measured a well defined PL peak at low energy side of the GaAs bulk emission. With the increasing of the well thickness this peak intensity decreases and for the thickest sample it almost disappears. Our theoretical calculation indicated that carriers (electron and holes) are more placed at the center of the PQW. In this way, when the well thickness increases the distance between electrons on the delta doping and holes on the well also increases, it decreases the probability of occurrence of these indirect optical transitions. (C) 2012 Published by Elsevier B.V. Selection and/or peer-review under responsibility of Universidade Federal de Juiz de Fora, Brazil.

Enzyme Biomarkers of Renal Tubular Injury in Arterial Surgery Patients

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