Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

A model to estimate the US term structure of interest rates

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

Essays on the monetary aspects of the term structure of nominal interest rates

Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.

Foreign activity effects on the capital structure of brazilian companies during 2004-2008

As empresas brasileiras com atividades internacionais (MNC) possuem uma estrutura de capital diferente das empresas domésticas (DC)? Se sim, é válida a hipótese upstream-downstream, com empresas internacionalizadas utilizando mais dívida do que as empresas domésticas? Encontramos que as MNCs brasileiras utilizam mais dívida devido à atividade internacional, com 9,6% mais alavancagem, dos quais 5,8% são oriundos de fontes de longo prazo. Nós ainda lançamos uma luz sobre uma explicação alternativa para o maior uso de dívida pelas empresas internacionalizadas. Esta dissertação testa se existe um vínculo entre a atividade internacional e o financiamento com dívida estrangeira. O acesso a dívida estrangeira ajuda a explicar porque MNCs utilizam mais dívida do que DCs? Nossos resultados revelam que a atividade internacional está positivamente relacionada ao uso de dívida estrangeira, sendo que MNCs médias carregam 12,7% mais dívida estrangeira em sua estrutura de capital. Nossa amostra consiste em 131 companhias no período 2004-2008, resultando em 538 observações.

Stochastic growth and monetary policy: the impacts on the term structure of interest rates

This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible to the intervention of the monetary authority following a policy rule. The model predicts several patterns of the term structure which are in accordance to observed empirical facts: (i) pro-cyclical pattern of the level of nominal interest rates; (ii) countercyclical pattern of the term spread; (iii) pro-cyclical pattern of the curvature of the yield curve; (iv) lower predictability of the slope of the middle of the term structure; and (v) negative correlation of changes in real rates and expected inflation at short horizons.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Hedging options in a garch environment: testing the term structure of stochastic volatility models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ability of volatility models to hedge and value term structure dependent option positions, we fmd that hedging tests support the Black-Scholes delta and gamma hedges, but not the simple vega hedge when there is no model of the term structure of volatility. With various models, it is difficult to improve on a simple gamma hedge assuming constant volatility. Ofthe volatility models, the GARCH components estimate of term structure is preferred. Valuation tests indicate that all the models contain term structure information not incorporated in market prices.

Phylogenetic structure of Guinea-Bissau ethnic groups for mitochondrial DNA and Y chromosome genetic systems

The maternal and paternal genetic profile of Guineans is markedly sub-Saharan West African, with the majority of lineages belonging to L0-L3 mtDNA sub-clusters and E3a-M2 and E1-M33 Y chromosome haplogroups. Despite the sociocultural differences among Guinea-Bissau ethnic groups,marked by the supposedly strict admixture barriers, their genetic pool remains largely common. Their extant variation coalesces at distinct timeframes, from the initial occupation of the area to later inputs of people. Signs of recent expansion in mtDNA haplogroups L2a-L2c and NRY E3a-M2 suggest population growth in the equatorial western fringe, possibly supported by an early local agricultural centre, and to which the Mandenka and the Balanta people may relate. Non-West African signatures are traceable in less frequent extant haplogroups, fitting well with the linguistic and historical evidence regarding particular ethnic groups: the Papel and Felupe-Djola people retain traces of their putative East African relatives; U6 and M1b among Guinea-Bissau Bak-speakers indicate partial diffusion to Sahel of North African lineages; U5b1b lineages in Fulbe and Papel represent a link to North African Berbers, emphasizing the great importance of post-glacial expansions; exact matches of R1b-P25 and E3b1-M78 with Europeans likely trace back to the times of the slave trade.

Gross and microscopic observations on the lingual structure of the franciscana (Pontoporia blainvillei-gervais and d'orbigny, 1844)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Crystal structure of Bn IV in complex with myristic acid: A Lys49 myotoxic phospholipase A(2) from Bothrops neuwiedi venom

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Population structure of pond-raised Macrobrachium amazonicum with different stocking and harvesting strategies

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

Nesting architecture and population structure of the fungus-growing ant Cyphomyrmex transversus (Formicidae: Myrmicinae: Attini) in the Brazilian coastal zone of Ilheus, Bahia

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Criteria for analysis of the structure of electronic scientific journals

This paper is the result of the Masters dissertation studying the role and history of scientific communication, especially the changes that have occurred after the appearance of electronic communication and computer networks. This study showed that hypertext systems are increasingly being used in the scientific and academic world in the production of electronic journals; this makes it possible for the user to rapidly access information in their area. However, these systems need to be improved to help the user during search and access to information. Both printed journals migrating to electronic media, and the exclusively electronic journals should present the current quality indicators. The attempt was made to discover whether characteristics related to printed journals are being maintained in their electronic counterparts. For this, a prototype model was developed to analyze the structure of electronic scientific journals; it composes 14 criteria expressing aspects of quality for these journals. It includes elements of Website Information Architecture and those already in place in printed scientific journals in order to ensure that basic functions - archiving and dissemination - are maintained in electronic publishing. Each criterion consists of variables, which measure the maintenance of these functions both in the migrating printed journals and the exclusively electronic ones. This prototype model was used to analyze Ciência da Informação On-line and DataGramaZero - Revista de Ciência da Informação. Results indicate that this model is able to find out if the basic functions of archiving and dissemination are being maintained in electronic journals. Therefore, its implementation is justified in electronic journals. The model can help librarians, authors, and users of electronic journals to identify quality journals, and assist editors in developing their projects. The material from the study may be included in the preservice and inservice education of Information Science professionals and to support editors of scientific journals.