Causa e efeito: contribuições de Marx para investigações sobre finanças e inovação

Marx has a method for the evaluation of patterns of interaction between finance and innovation. Two starting points of this method are the simultaneity of cause and effect and the identification of reciprocal effects between the monetary-financial dimension and the industrial-innovative dimension. This paper investigates this method firstly defining a dynamic concept of money. The connections between the monetary-financial dimension and the industrial-innovative dimension are examined through their historical and theoretical elements. Finally, the most important connections of this complex interaction are presented.

Trajetórias e interesses: os EUA e as finanças globalizadas num contexto de crise e transição

This paper aims to analyze the elements of continuity and discontinuity in American foreign policy from the nineties. In this regard, it emphasizes the importance of financial issues within the scope of the U.S. government strategies for foreign integration and tries to analyze comparatively the Republicans and Democrats government of the period, ending with some prospective questions concerning the Democratic government of President Obama in the context of international economic crisis.

Teoria das finanças funcionais e o papel da política fiscal: uma crítica pós-keynesiana ao novo consenso macroeconômico

Theory of functional finance and the role of fiscal policy: A post-keynesian critique to the new consensus macroeconomics. This paper presents the critical approaches and elaborates the arguments that oppose those of the New Consensus Macroeconomics regarding the conduct of fiscal policy. Those criticisms and arguments are based in the post-Keynesian thought and the theory of Functional Finance. The theory of Functional Finance is an extension of the Keynesian approach, particularly with regard to discussions on public finances. As supports the theory of Functional Finance, the objectives to be pursued by fiscal policy should suggest the improvement of social welfare as a whole, i.e., the performance of inflation, employment and output should be taken into account by policymakers.

Derivative hedging strategies for bitumen price risk

The objective of the study is to extend the existing hedging literature of the commodity price risks by investigating what kind of hedging strategies can be used in companies using bitumen as raw material in their production. Five different alternative swap hedging strategies in bitumen markets are empirically tested. Strategies tested are full hedge strategy, simple, conservative, and aggressive term structure strategies, and implied volatility strategy. The effectiveness of the alternative strategies is measured by excess returns compared to no hedge strategy. In addition, the downside risk of each strategy is measured with target absolute semi-deviation. Results indicate that any of the tested strategies does not outperform the no hedge strategy in terms of excess returns in all maturities. The best-performing aggressive term structure strategy succeeds to create positive excess returns only in short maturities. However, risk seems to increase hand-in-hand with the excess returns so that the best-performing strategies get the highest risk metrics as well. This implicates that the company willing to gain from favorable price movements must be ready to bear a greater risk. Thus, no superior hedging strategy over the others is found.

David Hume e as finanças de James I

RESUMOEste artigo examina a análise de David Hume realizada em seu livro História da Inglaterra, da luta entre o parlamento e o rei James I sobre as finanças da coroa durante o primeiro trimestre do século XVII. Inicialmente, são apresentados os principais elementos políticos por trás da briga no coração do poder político da Inglaterra, seguidos por comentários do escritor escocês sobre as finanças reais, com ênfase nos seus pontos de vista sobre as receitas e despesas da Coroa durante o reinado de James I. No final são recuperados os fatores de longo prazo elencados como determinantes da nova postura parlamentar.

A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

The purpose of this expository arti le is to present a self- ontained overview of some results on the hara terization of the optimal value fun tion of a sto hasti target problem as (dis ontinuous) vis osity solution of a ertain dynami programming PDE and its appli ation to the problem of hedging ontingent laims in the presen e of portfolio onstraints and large investors

Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes alternantes y saltos cuando hay cambios en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa de interés, el modelo no presenta arbitraje y es completo. Se construye en detalle las estrategias replicables para opciones, y se obtiene una presentación cerrada para el precio de las opciones. Las estrategias de cubrimiento quantile para opciones son construidas. Esta metodología es aplicada al control de riesgo y fijación de precios de instrumentos de seguros.

MBA – Finanças 1995/97 working paper

O principal objectivo deste estudo centra-se no estudo da influência do capital de risco na performance das empresas que já beneficiaram deste instrumento, procurando assim enriquecer o campo de investigação, ainda incipiente, neste domínio. Tendo como enquadramento o papel daquele instrumento na intermediação financeira, a evolução do sector ao nível internacional e doméstico e sobretudo atendendo aos resultados de análises de estatística multivariada e de clusters efectuadas sobre uma amostra de empresas participadas por capital de risco em Portugal, conclui-se neste estudo que existe efectivamente um impacto relevante da sua intervenção na rentabilidade económica das empresas alvo (ROI), sendo ainda traçado o perfil destas empresa e sugeridas recomendações, não só aos operadores de capital de risco, como também às entidades intervenientes no sector, com especial destaque para o Estado, estas últimas baseadas em posições de entidades nacionais e europeias ligadas ao sector de capital de risco como a APCRI, a EVCA e a própria Comissão Europeia.