Listagem Produção Intelectual em Bases Externas por Assunto "Derivativos (Finanças)"

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    • The determinants of currency risk management in Latin American nonfinancial firms 

      Schiozer, Rafael Felipe; Saito, Richard
      2009-02
      This paper investigates the determinants of currency risk management in nonfinancial firms in Argentina, Brazil, Chile, and Mexico, based on a panel data sample of firms that list as American depositary receipts from 2001 ...

    • Idiosyncratic moments and the cross-section of stock returns in Brazil 

      Almeida, Caio Ibsen Rodrigues de; Ricca, Bernardo; Tessari, Cristina
      2016-11-01
      This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...

    • Information in CDS spreads 

      Norden, Lars
      2017-02
      We investigate how public and private information affects corporate CDS spreads prior to rating announcements. First, CDS spreads of firms with high news intensity change significantly earlier and more strongly prior to ...

    • Mean-variance hedging strategies in discrete time and continuous state space 

      Costa, Oswaldo Luiz do Valle; Maiali, Andre Cury; Pinto, Afonso de Campos
      2006
      In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...

    • Pricing and modeling credit derivatives 

      Akat, Muzaffer; Almeida, Caio Ibsen Rodrigues de; Papanicolaou, George
      2007-05-01
      The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...