Transition from black to official markets for foreign exchange in Myanmar

We address the puzzle why the black market for foreign exchange thrives in Myanmar despite the successful unification of multiple exchange rates. A closer look at the black market reveals that its enduring competitiveness stems from its lower transaction costs. A question arising from this observation is how the official market, namely banks, can compete with and replace the black market. Our empirical analysis based on an original questionnaire survey of private export firms regarding their choices of currency trading modes suggests that banks can attract exporters by exploiting the economies of scope between currency trading and lending.

Renova black toilet paper: The creation of a glocal market space

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

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.

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.

Genetic Diversity and Population Differentiation of the Causal Agent of Citrus Black Spot in Brazil

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

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Black-White Wage Gap Among Restaurant Servers: A Replication, Extension, and Exploration of Consumer Racial Discrimination in Tipping

There is a rich history of social science research centering on racial inequalities that continue to be observed across various markets (e.g., labor, housing, and credit markets) and social milieus. Existing research on racial discrimination in consumer markets, however, is relatively scarce and that which has been done has disproportionately focused on consumers as the victims of race-based mistreatment. As such, we know relatively little about how consumers contribute to inequalities in their roles as perpetrators of racial discrimination. In response, in this paper we elaborate on a line of research that is only in its’ infancy stages of development and yet is ripe with opportunities to advance the literature on consumer racial discrimination and racial earnings inequities among tip dependent employees in the United States. Specifically, we analyze data derived from a large exit survey of restaurant consumers (n=378) in an attempt to replicate, extend, and further explore the recently documented effect of service providers’ race on restaurant consumers’ tipping decisions. Our results indicate that both White and Black restaurant customers discriminate against Black servers by tipping them less than their White coworkers. Importantly, we find no evidence that this Black tip penalty is the result of interracial differences in service skills possessed by Black and White servers. We conclude by delineating directions for future research in this neglected but salient area study.

Astaxanthin profiles and corresponding colour properties in Australian farmed black tiger prawn (Penaeus monodon) during frozen storage

The colour of commercial cooked black tiger prawns (Penaeus monodon) is a key quality requirement to ensure product is not rejected in wholesale markets. The colour, due to the carotenoid astaxanthin, can be impacted by frozen storage, but changes in colour or astaxanthin profile, during frozen storage, have not been studied in detail. Subsequently in this study, the aims were to define the astaxanthin (as cis, trans, mono-ester and di-ester forms) content, together with the colour properties, in both pleopods (legs) and abdominal segments. Changes in astaxanthin content and colour properties were further determined during frozen storage (−20°C). Total astaxanthin content was seen to decrease in all samples over time, with the rate of degradation being significantly greater (P < 0.05) in pleopods than abdomen. In both pleopods and abdomen, rate of degradation of esterified forms was significantly greater (P < 0.05) than non-esterified forms. Hue angle (increase), a* value (decrease) and L value (increase) were all seen to significantly change (P < 0.05) during storage, with changes being more prevalent in the pleopods. The pleopods are the key indicator of astaxanthin and colour loss in cooked black tiger prawns and preservation strategies are required to preserve astaxanthin and colour during frozen storage.

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

Ph.D. in the Faculty of Business Administration

Preference Mapping Of Dulce De Leche Commercialized In Brazilian Markets.

Dulce de leche samples available in the Brazilian market were submitted to sensory profiling by quantitative descriptive analysis and acceptance test, as well sensory evaluation using the just-about-right scale and purchase intent. External preference mapping and the ideal sensory characteristics of dulce de leche were determined. The results were also evaluated by principal component analysis, hierarchical cluster analysis, partial least squares regression, artificial neural networks, and logistic regression. Overall, significant product acceptance was related to intermediate scores of the sensory attributes in the descriptive test, and this trend was observed even after consumer segmentation. The results obtained by sensometric techniques showed that optimizing an ideal dulce de leche from the sensory standpoint is a multidimensional process, with necessary adjustments on the appearance, aroma, taste, and texture attributes of the product for better consumer acceptance and purchase. The optimum dulce de leche was characterized by high scores for the attributes sweet taste, caramel taste, brightness, color, and caramel aroma in accordance with the preference mapping findings. In industrial terms, this means changing the parameters used in the thermal treatment and quantitative changes in the ingredients used in formulations.

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.