Osakeindeksioption implisiittisen volatiliteetin informaatiosisältö

Volatiliteetilla mitataan arvopaperin toteutuneen tuoton epävarmuutta ja sillä on keskeinen rooli riskienhallinnassa sekä arvopapereiden hinnoittelussa. Volatiliteetin estimoimiseen on kaksi vaihtoehtoista lähestymistapaa. Historiallinen volatiliteetti estimoidaan toteutuneesta hintadatasta, kun taas implisiittinen volatiliteetti voidaan johtaa optioiden markkinahinnoista käyttämällä Black-Scholes-Merton-hinnoittelumallia tai vaihtoehtoisesti Britten-Jonesin ja Neubergerin kehittämää mallia (mallivapaa implisiittinen volatiliteetti), joka ei ole riippuvainen mistään tietystä hinnoittelumallista, vaan johdetaan suoraan optioiden markkinahinnoista. Implisiittinen volatiliteetti edustaa näin ollen markkinaosapuolten näkemystä option jäljellä olevana juoksuaikana toteutuvasta volatiliteetista. Toteutuvan volatiliteetin ennustamista implisiittisen ja historiallisen volatiliteetin avulla on tutkittu laajalti 1970-luvulta lähtien ja tulokset ovat olleet ristiriitaisia sekä historiallisen ja implisiittisen volatiliteetin keskinäisessä vertailussa että kahden eri implisiittisen volatiliteetin vertailussa. Tämän tutkielman tavoite on selvittää ennustaako implisiittinen volatiliteetti toteutuvaa volatiliteettia. Tutkielmassa syvennytään erityisesti vertailemaan historiallisen volatiliteetin, Black–Scholes-implisiittisen sekä mallivapaan implisiittisen volatiliteetin paremmuutta toteutuvan volatiliteetin ennusteina. Tutkielman empiirinen osuus on suoritettu eurooppalaisella aineistolla käyttämällä EURO STOXX 50 -indeksin, siihen liittyvien osto-optioiden sekä VSTOXX-volatiliteetti-indeksin hintatietoja vuosilta 2006–2014. Aikasarjatutkimus on suoritettu ei-päällekkäisillä havainnoilla niin, että jokaista volatiliteettiennustetta kohden on tasan yksi kuukauden mittainen periodi, jolta toteutunut volatiliteetti lasketaan. Empiirinen tarkastelu on suoritettu PNS-regressioanalyysillä, jolla on ensin tutkittu jokaisen volatiliteettiennusteen kykyä selittää toteutuvaa volatiliteettia sekä erikseen että yhdessä. Tulosten perusteella mallivapaa implisiittinen volatiliteetti on harhainen, mutta tutkituista ennusteista selkeästi tehokkain ennustamaan toteutuvaa volatiliteettia ja sisällyttää itseensä sekä Black–Scholes-implisiittisen että historiallisen volatiliteetin sisältämän informaation

Three essays on liquidity

Doutoramento em Gestão.

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.

Volatilità implicita. Comportamento vicino alla scadenza.

In generale, ottenere un'espressione analitica per la volatilità implicita è impossibile, lo scopo di questa tesi infatti è trovare una sua approssimazione. Si mostra come è possibile descrivere il comportamento di tale parametro vicino alla scadenza, analizzando il corrispondente comportamento della superficie del prezzo della Call. Attraverso processi analitici di approssimazione, mettiamo in evidenza l'andamento asintotico del prezzo di Black-Sholes di un'opzione Call, sfruttando tale risultato, presentiamo il comportamento vicino alla scadenza della volatilità implicita.

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.

Sensory evaluation of black instant coffee beverage with some volatile compounds present in aromatic oil from roasted coffee

The oil obtained from Brazilian roasted coffee by supercritical CO2 extraction shows considerable aromatic properties, mainly composed by five aromatic compounds, 2-methylpyrazine; 2-furfurylalcohol, 2,5-dimethylpyrazine; γ-butyrolactone and 2-furfurylacetate. Sensory analyses were used to verify the influence of a mixture of these important classes of aromatic coffee compounds (pyrazines, furans and lactones) and of the roasted coffee aromatic oil on the coffee aroma and flavour of black instant freeze and spray-dried coffee beverages. In the acceptance evaluation of the aroma, the samples prepared with freeze-dried instant coffee without the mixture of volatile compounds (sample 4) were not significantly different from the freeze-dried instant coffee in which the aromatic coffee oil was added (sample 5) and from the sample prepared with freeze-dried coffee in which the mixture of the five volatile was added (sample 3), coincidentally from the same drying process. Therefore, sample (3) did not differ from samples prepared with spray dried instant coffee without (sample 1) and to which (sample 2) the mixture of volatile was added. Therefore, with respect to this attribute, the addition of this mixture did not interfere in this drink acceptance. Taking into consideration the flavor, samples prepared with freeze-dried instant coffee in which the aromatic coffee oil was added (5) and the samples with (3) and without (4) the mixture of the five volatile was added did not differ significantly, however sample (4) did not differ from samples (1) and (2). Regarding this attribute, the addition of the aromatic oil of roasted coffee or a mixture of volatile in samples of freeze-dried instant coffee had a better acceptance than those dried by spray dryer (1) and (2). Thus, the enrichment of drinks with the aromatic oil of roasted coffee, or even with the mixture of the five components did not influence the consumer acceptance with respect to the aroma, but exerts influence with respect to flavour.

Nyssomyia intermedia (Lutz & Neiva) and Nyssomyia neivai (Pinto) (Diptera, Psychodidae, Phlebotominae) in a sympatric area: seasonal and nocturnal hourly rhythm in black and white modified Shannon traps

Captures with black and white Shannon traps were undertaken to identify aspects of the behavior of the two cryptic and sympatric species implicated as vectors of cutaneous leishmaniasis, Nyssomyia intermedia (Lutz & Neiva, 1912) and Nyssomyia neivai (Pinto, 1926). The traps were installed side by side, monthly, from July 2001 to June 2002, from 18 to 07 hours, in a peridomicile of Iporanga municipality, state of São Paulo, Brazil. A total of 2,142 specimens were captured, Ny. intermedia (47.4%) and Ny. neivai (50.5%). The white trap was more attractive to both sexes of both species. Males of Ny. neivai predominated (70%) over those of Ny. intermedia on the two traps; on the black trap, the females of Ny. intermedia predominated (63.3%) over those of Ny. neivai (36.7%). Seventy percent of the specimens of both species were captured between 18 and 24 h. Females of Ny. intermedia presented the highest peak at 19-20 h, and those of Ny. neivai at 20-21 h. The highest hourly average for females of Ny. intermedia on the black trap occurred in the winter and that for males in the summer. For Ny. neivai, both sexes predominated in the summer. The two species probably transmit the cutaneous leishmaniasis in the area due to their great predominance.

Black holes and wormholes in AdS branes

In this work we have derived a class of geometries which describe black holes and wormholes in Randall-Sundrum-type brane models, focusing mainly on asymptotically anti-de Sitter backgrounds. We show that by continuously deforming the usual four-dimensional vacuum background, a specific family of solutions is obtained. Maximal extensions of the solutions are presented, and their causal structures are discussed.

Gravitational signature of Schwarzschild black holes in dynamical Chern-Simons gravity

Dynamical Chern-Simons gravity is an extension of general relativity in which the gravitational field is coupled to a scalar field through a parity-violating Chern-Simons term. In this framework, we study perturbations of spherically symmetric black hole spacetimes, assuming that the background scalar field vanishes. Our results suggest that these spacetimes are stable, and small perturbations die away as a ringdown. However, in contrast to standard general relativity, the gravitational waveforms are also driven by the scalar field. Thus, the gravitational oscillation modes of black holes carry imprints of the coupling to the scalar field. This is a smoking gun for Chern-Simons theory and could be tested with gravitational-wave detectors, such as LIGO or LISA. For negative values of the coupling constant, ghosts are known to arise, and we explicitly verify their appearance numerically. Our results are validated using both time evolution and frequency domain methods.

Quasinormal modes of black holes in anti-de Sitter space: A numerical study of the eikonal limit

Using series solutions and time-domain evolutions, we probe the eikonal limit of the gravitational and scalar-field quasinormal modes of large black holes and black branes in anti-de Sitter backgrounds. These results are particularly relevant for the AdS/CFT correspondence, since the eikonal regime is characterized by the existence of long-lived modes which (presumably) dominate the decay time scale of the perturbations. We confirm all the main qualitative features of these slowly damped modes as predicted by Festuccia and Liu [G. Festuccia and H. Liu, arXiv:0811.1033.] for the scalar-field (tensor-type gravitational) fluctuations. However, quantitatively we find dimensional-dependent correction factors. We also investigate the dependence of the quasinormal mode frequencies on the horizon radius of the black hole (brane) and the angular momentum (wave number) of vector- and scalar-type gravitational perturbations.

The Role of Black Rice (Oryza sativa L.) in the Control of Hypercholesterolemia in Rats

Cardiovascular disease is a serious public health problem; it is the first cause of death in Brazil and in developed countries. Thus, it is essential to search for alternative sources such as some functional foods to prevent and control the risks of this disease. The purpose of this study was to evaluate the lipidemic parameters in hypercholesterolemic rats fed diets containing black rice variety IAC 600 or unrefined rice. Adult male Wistar rats (Rattus norvegicus var. albinos) were used, weighing about 200-220 g. The animals were divided into four groups: the first received a control casein diet, the second received hypercholesterolemic diet, and the other two groups, after induction of hypercholesterolemia, received the test diets, the first containing 20% black rice and the second 20% unrefined, for 30 days. It was observed that diet containing black rice reduced the level of plasma cholesterol, triglycerides, and low-density lipoprotein. For high-density lipoprotein values, the diet that provided an increase in the levels was the black rice. The diet containing black rice was more effective in controlling the lipidemia in rats compared with the whole rice diet.

Environmental isolation of black yeast-like fungi involved in human infection

The present study focuses on potential agents of chromoblastomycosis and other endemic diseases in the state of Parana, Southern Brazil. Using a highly selective protocol for chaetothyrialean black yeasts and relatives, environmental samples from the living area of symptomatic patients were analysed. Additional strains were isolated from creosote-treated wood and hydrocarbon-polluted environments, as such polluted sites have been supposed to enhance black yeast prevalence. Isolates showed morphologies compatible with the traditional etiological agents of chromoblastomycosis, e.g. Fonsecaea pedrosoi and Phialophora verrucosa, and of agents of subcutaneous or systemic infections like Cladophialophora bantiana and Exophiala jeanselmei. Some agents of mild disease were indeed encountered. However, molecular analysis proved that most environmental strains differed from known etiologic agents of pronounced disease syndromes: they belonged to the same order, but mostly were undescribed species. Agents of chromoblastomycosis and systemic disease thus far are prevalent on the human host. The hydrocarbon-polluted environments yielded yet another spectrum of chaetothyrialean fungi. These observations are of great relevance because they allow us to distinguish between categories of opportunists, indicating possible differences in pathogenicity and virulence.

Sudan Black B treatment reduces autofluorescence and improves resolution of in situ hybridization specific fluorescent signals of brain sections

Interference by autofluorescence is one of the major concerns of immunofluorescence analysis of in situ hybridization-based diagnostic assays. We present a useful technique that reduces autofluorescent background without affecting the tissue integrity or direct immunofluorescence signals in brain sections. Using six different protocols, such as ammonia/ethanol, Sudan Black B (SBB) in 70% ethanol, photobleaching with UV light and different combinations of them in both formalin-fixed paraffin-embedded and frozen human brain tissue sections, we have found that tissue treatment of SBB in a concentration of 0.1% in 70% ethanol is the best approach to reduce/eliminate tissue autofluorescence and background, while preserving the specific fluorescence hybridization signals. This strategy is a feasible, non-time consuming method that provides a reasonable compromise between total reduction of the tissue autofluorescence and maintenance of specific fluorescent labels.