Listagem FGV EMAp - Escola de Matemática Aplicada por Assunto "Ações (Finanças)"

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O Método binomial para precificação de opções europeias

Amato, Phillipe Santos
2015-11

The main objective of this final project is studying the simplicity and the huge efficiency of the Binomial Model, that can price European options very well, knowing the variables which affect this price, as the asset ...
Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Teixeira, Ariel Amadeu Edwards
2014-02-17

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We ...