Equazioni differenziali stocastiche backward

Questo elaborato si pone come obiettivo l’introduzione e lo studio di due strumenti estremamente interessanti in Analisi Stocastica per le loro applicazioni nell’ambito del controllo ottimo stocastico e, soprattutto (per i fini di questo lavoro), della finanza matematica: le equazioni differenziali stocastiche backward (BSDEs) e le equazioni differenziali stocastiche forward-backward (FBSDEs). Innanzitutto, la trattazione verterà sull’analisi delle BSDEs. Partendo dal caso lineare, perfettamente esplicativo dei problemi di adattabilità che si riscontrano nella definizione di soluzione, si passerà allo studio delle BSDEs non lineari con coefficienti Lipschitziani, giungendo, in entrambe le situazioni, alla prova di risultati di esistenza e unicità della soluzione. Tale analisi sarà completata con un’indagine sulle relazioni che persistono con le PDEs, che porterà all’introduzione di una generalizzazione della formula di Feynman-Kac e si concluderà, dopo aver introdotto le FBSDEs, con la definizione di un metodo risolutivo per queste ultime, noto come Schema a quattro fasi. Tali strumenti troveranno applicazione nel quinto e ultimo capitolo come modelli teorici alla base della Formula di Black-Scholes per problemi di prezzatura e copertura di opzioni.

Valoración de empresas. Aplicación Modelo Black and Scholes

La presente tesis es un trabajo de investigación que trata sobre la aplicación del Modelo Black and Scholes para valorar empresas en el entorno ecuatoriano. Para tener una lógica sencilla y ordena se ha divido el trabajo en cuatro capítulos, los cuales tienen un objetivo específico cada uno y en su conjunto buscan responder las hipótesis planteadas en la tesis. El primer capítulo proporciona una idea general sobre los aspectos teóricos de la valoración de empresas, en este capítulo se encuentra la definición, los conceptos básicos, una explicación de cada uno de los métodos más importantes que se conoce actualmente. El propósito del capítulo es entender la valoración de empresas en su conjunto. El segundo capítulo se orienta en las bases conceptuales desarrolladas por el modelo Black and Scholes referente a valoración de opciones y su comparación con otros modelos, se toma este enfoque debido a que se cuenta con suficiente información para entender adecuadamente el modelo. La finalidad del capítulo es comprender el modelo de Black and Scholes para la valoración de opciones. El tercer capítulo analiza la aplicación del modelo Black and Scholes en la valoración de empresas a través de estudios previos, los fundamentos, las variables que se requieren y la forma de obtener las mismas. El capítulo tiene como propósito analizar la valoración de empresas aplicando el modelo Black and Scholes. El último capítulo se centra en realizar la aplicación práctica en el entorno ecuatoriano de valorar empresas a través del modelo Black and Scholes, en el mismo se describe paso a paso como se realizó la valoración y se detalla los resultados obtenidos. El objetivo del capítulo es aplicar los conocimientos desarrollados y obtener resultados que permitan tener fundamentos suficientes para obtener las conclusiones finales.

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Stereotypic explanatory bias: Implicit stereotyping as a predictor of discrimination

Two experiments examined whether a measure of implicit stereotyping based on the tendency to explain Black stereotype-incongruent events more often than Black stereotype-congruent events (Stereotypic Explanatory Bias or SEB) is predictive of behavior toward a partner in an interracial interaction. In Experiment I SEB predicted White males' choice to ask stereotypic questions of a Black female (but not a White male or White female) in an interview. In Experiment 2 the type of explanation (internal or external attribution) made for stereotype-inconsistency was examined. Results showed that White participants who made internal attributions for Black stereotype-incongruent behavior were rated more positively and those who made external attributions were rated more negatively by a Black male confederate. These results point to the potential of implicit stereotyping as an important predictor of behavior in an interracial interaction. (C) 2002 Elsevier Science (USA). All rights reserved.

The Black Box of Business Dynamics

Research in business dynamics has been advancing rapidly in the last years but the translation of the new knowledge to industrial policy design is slow. One striking aspect in the policy area is that although research and analysis do not identify the existence of an specific optimal rate of business creation and business exit, governments everywhere have adopted business start-up support programs with the implicit principle that the more the better. The purpose of this article is to contribute to understand the implications of the available research for policy design. Economic analysis has identified firm heterogeneity as being the most salient characteristic of industrial dynamics, and so a better knowledge of the different types of entrepreneur, their behavior and their specific contribution to innovation and growth would enable us to see into the ‘black box’ of business dynamics and improve the design of appropriate public policies. The empirical analysis performed here shows that not all new business have the same impact on relevant economic variables, and that self-employment is of quite a different economic nature to that of firms with employees. It is argued that public programs should not promote indiscriminate entry but rather give priority to able entrants with survival capacities. Survival of entrants is positively related to their size at birth. Innovation and investment improve the likelihood of survival of new manufacturing start-ups. Investment in R&D increases the risk of failure in new firms, although it improves the competitiveness of incumbents.

Black holes by analytic continuation

In the context of a two-dimensional exactly solvable model, the dynamics of quantum black holes is obtained by analytically continuing the description of the regime where no black hole is formed. The resulting spectrum of outgoing radiation departs from the one predicted by the Hawking model in the region where the outgoing modes arise from the horizon with Planck-order frequencies. This occurs early in the evaporation process, and the resulting physical picture is unconventional. The theory predicts that black holes will only radiate out an energy of Planck mass order, stabilizing after a transitory period. The continuation from a regime without black hole formationaccessible in the 1+1 gravity theory consideredis implicit in an S-matrix approach and suggests in this way a possible solution to the problem of information loss.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Parieto-occipital suppression eliminates implicit bidirectionality in grapheme-colour synaesthesia

Synaesthesia is a condition in which the input of one sensory modality triggers extraordinary additional experiences. On an explicit level, subjects affected by this condition normally report unidirectional experiences. In grapheme-colour synaesthesia for example, the letter A printed in black may trigger a red colour experience but not vice versa. However on an implicit level, at least for some types of synaesthesia, bidirectional activation is possible. In this study we tested whether bidirectional implicit activation is mediated by the same brain areas as explicit synaesthetic experiences. Specifically, we demonstrated suppression of implicit bidirectional activation with the application of transcranial magnetic stimulation over parieto-occipital brain areas. Our findings indicate that parieto-occipital regions are not only involved in explicit but also implicit synaesthetic binding.

Implicit threat, self-regulatory resources, and cognitive performance

The color red has been considered to indicate threat in achievement contexts. Recent studies have used brief confrontations with red — either as the color or as the word red — to prime for implicit threat, and have found a related impairment of cognitive performance. In another line of research, it has been shown that initial self-regulatory efforts cause diminished investment of self-regulatory resources afterwards, leading to a relative shift from a controlled to an automatic mode of information processing. We assume that activation of implicit threat via the color or the word red impairs cognitive performance more strongly during automatic compared to controlled processing of information. To test this hypothesis, we manipulated undergraduates’ (n = 78) momentary processing mode (automatic vs. controlled) by an initial task that required either high or low self-regulatory effort. Afterwards, participants were briefly confronted with red or gray stimuli and were then asked to complete a standardized intelligence measure. As expected, confrontation with red, as opposed to gray, impaired intellectual performance when participants were in an automatic processing mode. In contrast, no color effect emerged when participants were in a relatively controlled processing mode. In a second study, we replicated this finding in a sample of secondary school students (n = 130), using the black-printed word red or gray to experimentally manipulate implicit threat. Among others, the present findings may help to explain occasional difficulties in replicating findings of priming research.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

BigLaw Identity Capital: Pink and Blue, Black and White

This Article advances a new capital framework for understanding the bargain between large law firms and their lawyers, depicting BigLaw relationships not as basic labor-salary exchanges but rather as complex transactions in which large law firms and their lawyers exchange labor and various forms of capital — social, cultural, and identity. First, it builds on the work of Pierre Bourdieu regarding economic, cultural, symbolic, and social capital by examining the concepts of positive and negative capital, exploring the meaning of capital ownership by entities, and developing the notion of identity capital — the value individuals and institutions derive from their identities. Then, the Article advances a capital theory of BigLaw, in which large law firms and their lawyers engage in complex transactions trading labor, social, cultural, and identity capital for economic, social, cultural, and identity capital. Capital analysis sheds new light on the well-documented and troubling underrepresentation of diverse lawyers at BigLaw. It shows that the underrepresentation of women and minority lawyers is not solely the result of exogenous forces outside the control of large law firms such as implicit bias, but rather the outcome of the very exchanges in which BigLaw and its lawyers engage. Specifically, large law firms take into account the capital endowments of their lawyers in making hiring, retention and promotion decisions, and derive value from their lawyers’ capital, for example, by trading on the identity of women and minority lawyers in marketing themselves as being diverse and inclusive to clients and potential recruits. Yet, while BigLaw trades for the identity capital of women and minority lawyers, it fails to offer them opportunities in return to acquire the social and cultural capital necessary for attaining positions of power, resulting in underrepresentation. Moreover, these labor-capital exchanges are often implicit and made by uninformed participants, and therefore unjust. Exactly because the capital framework describes the underrepresentation of diverse lawyers at BigLaw as an endogenous outcome within the control of BigLaw and its lawyers, however, it is a cautiously optimistic model that offers hope for greater representation of diverse lawyers in positions of power and influence. The Article suggests policies and procedures BigLaw can and should adopt to improve the quality of the exchanges it offers to women and minority attorneys and to reduce the underrepresentation of diverse lawyers within its ranks. Employing the concepts of capital transparency, capital boundary, and capital infrastructure, it demonstrates how BigLaw can (1) explicitly recognize the roles social, cultural, and identity capital play in its hiring, retention and promotion apparatuses and (2) revise its policies and procedures to ensure that all of its lawyers have equal opportunities to develop the requisite capital and compete on equal and fair terms for positions of power and influence.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

A comparison of skeletal, dentoalveolar and soft tissue characteristics in white and black Brazilian subjects

OBJECTIVE: This study aimed to compare skeletal, dentoalveolar and soft tissue characteristics in white and black Brazilian subjects presenting normal occlusions. MATERIAL AND METHODS: The sample comprised the lateral cephalograms of 106 untreated Brazilian subjects with normal occlusion, divided into two groups: Group 1- 50 white subjects (25 of each gender), at a mean age of 13.17 years (standard deviation 1.07); and Group 2- 56 black subjects (28 of each gender), at a mean age of 13.24 years (standard deviation 0.56). Variables studied were obtained from several cephalometric analyses. Independent t tests were used for intergroup comparison and to determine sexual dimorphism. RESULTS: black subjects presented a more protruded maxilla and mandible, a smaller chin prominence and a greater maxillomandibular discrepancy than white subjects. Blacks presented a more horizontal craniofacial growth pattern than whites. Maxillary and mandibular incisors presented more protruded and proclined in black subjects. The nasolabial angle was larger in whites. Upper and lower lips were more protruded in blacks than in whites. CONCLUSIONS: The present study found a bimaxillary skeletal, dentoalveolar and soft tissue protrusion in black Brazilian subjects compared to white Brazilian subjects, both groups with normal occlusion. Upper and lower lips showed to be more protruded in blacks, but lip thickness was similar in both groups.