Listagem por Assunto "Processo estocástico"
Itens para a visualização no momento 41-60 of 64
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Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process
2012We introduce a nonparametric breakpoint detection method for the means and covariances of a multivariate discrete time stochastic process. Breakpoints are defined as left or right endpoints of maximal intervals of local ... -
Nonparametric stochastic discount factor decomposition and pricing of long-term derivative securities
2012-12Trabalho apresentado por Timothy Christensen - Yale University no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php -
Normality under uncertainty
2003-09-30Consider the demand for a good whose consumption be chosen prior to the resolution of uncertainty regarding income. How do changes in the distribution of income affect the demand for this good? In this paper we show that ... -
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems
1998-08-01This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator ... -
Option pricing under multiscale stochastic volatility
2015The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ... -
The option value of government guarantees in infrastructure projects
2008The participation of private capital in public infrastructure investment projects has been sought by many governments who perceive this as a way to overcome budgetary constraints and foster economic growth. For some types ... -
Otimização estocástica de portfólio
2016-08-05In Øksendal (1998), we can see the derivation of a classical stochastic optimization between an asset, or a class of assets, risky and other risk-free. But, after the decision of which portion of the resources to allocate ... -
Potential dynamic games with timing frictions
2019-05-16Nesse presente trabalho, nós propomos duas alternativas para tornar o modelo do Frankel and Pauzner [2000] analiticamente mais tratável. Primeiro, nós mostramos que é possível resolver recursivamente o modelo ao maximizar ... -
Precificação de opções de compra com variância estocástica: opções de compra das ações preferenciais da Telebrás no período de agosto de 1992 a agosto de 1994
1996-10-14Trata-se do exame do viés resultante da diferença entre o prêmio teórico e o prêmio observado de uma opção de compra de ações preferenciais da Telebrás no período de agosto de 1992 a agosto de 1994. Admite-se como causa ... -
Precificação de opções do mercado brasileiro utilizando processo de variância gama
2013-01-24Despite its widespread use in equity pricing modeling, by hypothesis, the Black Scholes model (like other diffusion models) has limitations that don’t allow it to capture some typical market behaviors. Due this fact, several ... -
Previsão de volatilidade: uma comparação entre volatilidade implícita e realizada
2011-04-08Com origem no setor imobiliário americano, a crise de crédito de 2008 gerou grandes perdas nos mercados ao redor do mundo. O mês de outubro do mesmo ano concentrou a maior parte da turbulência, apresentando também uma ... -
Processus stochastiques en finance (1ère partie)
1996-11Ce document est un texte didactique destiné aux étudiants et aux chercheurs en économétrie et en finance. 11 est basé sur l'expérience des auteurs en cours de maitrise et troisieme cycle dans les deux côtés de I' Atlantique: ... -
Processus stochastiques en finance (2ème partie)
1996-11Ce document est un texte didactique destiné aux étudiants et aux chercheurs en économétrie et en finance. Il est basé sur l'expérience des auteurs en cours de troisieme cycle à l'ULB, Bruxelles et à la FGVIEPGE, Rio. Il ... -
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
2014-01We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ... -
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ... -
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
2016-03-21The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ... -
Spectral properties of temporally aggregated long memory processes
2003-10-23This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise ... -
Stochastic growth and monetary policy: the impacts on the term structure of interest rates
2001-04-01This 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 ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
