Página 13 dos resultados de 1137 itens digitais encontrados em 0.004 segundos

## Competição na indústria do cimento no Brasil; Competition in the Brazilian cement industry

Lima, Tatiana de Macedo Nogueira
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Relevância na Pesquisa
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## Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010

Castro, Gustavo Oliveira de
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
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## Essays on the real and financial allocation of capital

Ramírez Verdugo, Arturo
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 126 p.; 6874942 bytes; 6881285 bytes; application/pdf; application/pdf
Português
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This dissertation consists of three papers studying how firms allocate real and financial capital, and how taxes, the labor market and asymmetric information affect these allocation decisions. The first paper studies the response of business investment to taxes. I use the variation provided by recent reforms to the Mexican tax system, including the elimination of accelerated depreciation for investment outside the main metropolitan areas. I show that investment is very sensitive to tax changes (an elasticity of investment with respect to the user cost around -2.0), mainly due to the small open economy nature of Mexico: large responses of multinationals and large elasticity of imported assets. I also show that investment behavior is consistent with nonconvexities and irreversibilities. The results are robust to different specifications and instrumental variables approaches, and are not an artifact of tax evasion. The second paper studies the link between payout and unionization. Signaling models suggest that dividends are used to convey information about future earnings to investors. However, if unions also receive these signals, managers will be less inclined to send the signal, preventing unions from using this information when bargaining for higher salaries.; (cont.) Using data from IRS 5500 Forms to measure firm unionization...

## A tale of two arbs : essays on agency and financial institutions; Essays on agency and financial institutions

Kondo, Jiro Edouard
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 128 p.
Português
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This thesis consists of two essays covering topics in the economics of financial institutions with an emphasis on certain types of potential agency problems. In particular, it investigates two radically different types of "arbs": arbitrators and arbitrageurs. The first essay studies securities arbitration to shed light on a relevant form of financial regulation that was previously unexplored empirically: the self-regulation of financial markets. The second essay investigates the informable financing channel in the context of arbitrageur fund-raising to develop a theory of the limits to arbitrage. Further details of each essay are included below:In Chapter 1, I investigate whether self-regulation in financial markets leads to greater industry bias and expertise in enforcement. Using hand-collected data on securities arbitration disputes from the National Association of Securities Dealers (NASD), I document that pro-industry arbitrators are selected more often to arbitration panels than pro-investor ones (selection on bias) and that experts are also selected more frequently to cases (selection on expertise). Moreover, both patterns vary substantially across cases. Selection on bias is strongest when large brokerage firms are sued and when cases are more important to firms while selection on expertise increases with case complexity. This suggests that arbitrators are assigned to cases in ways that lead to higher industry bias and expertise. To assess whether the NASD is responsible for these patterns...

## Optimal Devaluations

Hevia, Constantino; Nicolini, Juan Pablo
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
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According to the conventional wisdom, when an economy enters a recession and nominal prices adjust slowly, the monetary authority should devalue the domestic currency to make the recession less severe. The reason is that a devaluation of the currency lowers the relative price of non-tradable goods, and this reduces the necessary adjustment in output relative to the case in which the exchange rate remains constant. This paper uses a simple small open economy model with sticky prices to characterize optimal fiscal and monetary policy in response to productivity and terms of trade shocks. Contrary to the conventional wisdom, in this framework optimal exchange rate policy cannot be characterized just by the cyclical properties of output. The source of the shock matters: while recessions induced by a drop in the price of exportable goods call for a devaluation of the currency, those induced by a drop in productivity in the non-tradable sector require a revaluation.

## Analysis of the Strategic Use of Forward Contracting in Electricity Markets

VAZQUEZ, Miguel
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
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Absence of arbitrage is one of the fundamental tools to describe financial markets. The no-arbitrage price of any financial contract represents players’ valuation of the uncertain future income stream that will result from the contract. This reasoning is based on considering future income streams as exogenously defined variables. When spot markets do not behave under the assumption of perfect competition, future income streams might depend on players’ strategies. If this is the case, price differences between the forward and the spot markets do not imply the existence of arbitrage opportunities, as market players cannot take advantage of such differences. The paper will study the forward-spot interaction in the presence of spot market power. It will be shown that, when producers anticipate that forward sales reduce spot price, they can react in the forward market to compensate for the spot price decrease. Hence, players profits are, considering both forward and spot markets, equivalent to the ones obtained in the case where no forward trading is allowed. The paper also develops a multi-period model that considers the role of private information, aimed to represent that past spot prices are signals of the probability of future spot prices. In this context...

## Stochastic measures of financial markets efficiency and integration

Balbás, Alejandro; Muñoz-Bouzo, María José
Tipo: Trabalho em Andamento Formato: application/pdf
Relevância na Pesquisa
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The notion of integration of different fmancial markets is often related to the absence of crossmarket arbitrage opportunities. Under the appropriated asswnptions and in absence of cross-market arbitrage opportunities, a riskneutral probability measure, shared by both markets, must exist. Some authors have considered this to provide some integration measures when the markets do not share any pricing rule, but always in static (or one period) asset pricing models. The purpose or this paper is to extend the refereed notions to a more general context. This is accomplished by introducing a methodology which may be applied in any intertemporal dynamic asset pricing model and without special asswnptions on the assets prices stochastic process. Then, the integration measures introduced here are stochastic processes testing different relative arbitrage profits and depending on the state of nature and on the date. The measures are introduced in a single fmancial market. When this market is not a global market from different ones, the measures simply test the degree of market efficiency. Transaction costs can be discounted in our model. Therefore, one can measure efficiency and integration in models with frictions. The main results are also interesting form a mathematical pint of view...

## Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models

Walker, Michael B.
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of the new incomplete-market model to further study CDS hedging and extends the model so that it is capable treating single-name CDS portfolios. Also, a hedge called the vanilla hedge is described, and with it, analytic results are obtained explaining the striking features of the plot of no-arbitrage bounds versus CDS maturity for illiquid CDSs. The valuation process that follows from the incomplete-market model is an integrated modelling and risk management procedure, that first uses the model to find the arbitrage-free range of fair prices, and then requires risk management professionals for both the buyer and the seller to find, as a basis for negotiation, prices that both respect the range of fair prices determined by the model, and also benefit their firms. Finally, in a section on numerical results, the striking behavior of the no-arbitrage bounds as a function of CDS maturity is illustrated, and several examples describe the reduction in risk by the hedging of single-name CDS portfolios.; Comment: 19 pages...

## Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory

Otto, Matthias
Tipo: Artigo de Revista Científica
Português
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Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et al.) considers fluctuations around this equilibrium state by introducing a relaxational dynamics with random noise for intermediate deviations called virtual'' arbitrage returns. In this work, the model is incorporated within a martingale pricing method for derivatives on securities (e.g. stocks) in incomplete markets using a mapping to option pricing theory with stochastic interest rates. Using a famous result by Merton and with some help from the path integral method, exact pricing formulas for European call and put options under the influence of virtual arbitrage returns (or intermediate deviations from economic equilibrium) are derived where only the final integration over initial arbitrage returns needs to be performed numerically. This result is complemented by a discussion of the hedging strategy associated to a derivative, which replicates the final payoff but turns out to be not self-financing in the real world, but self-financing {\it when summed over the derivative's remaining life time}. Numerical examples are given which underline the fact that an additional positive risk premium (with respect to the Black-Scholes values) is found reflecting extra hedging costs due to intermediate deviations from economic equilibrium.; Comment: 21 pages...

## On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
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This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for weak convergence of the random walk to a Gaussian continuous-time stochastic process. The conditions are given in terms of the kernel representation with respect to ordinary Brownian motion and the discretisation chosen. Arbitrage and free lunch with vanishing risk examples are established where the continuous-time analogue is arbitrage-free under small transaction costs - including for the semimartingale modifications of fractional Brownian motion suggested in the seminal Rogers (1997) article proving arbitrage in fBm models.; Comment: To appear in the Brazilian Journal of Probability and Statistics, http://www.imstat.org/bjps/

## On stochastic calculus related to financial assets without semimartingales

Coviello, Rosanna; Di Girolami, Cristina; Russo, Francesco
Tipo: Artigo de Revista Científica
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This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type.

## The tick-by-tick dynamical consistency of price impact in limit order books

Challet, Damien
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
16.99%
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size and time of execution are known in advance to some insider leaves the arbitrage opportunity unchanged, which allows arbitrage exploitation multiple times. We argue that chain arbitrage exploitation should not exist, which provides an a contrario consistency criterion. Remarkably, all the stocks investigated in Paris Stock Exchange have dynamically consistent price impact functions. Both the bid-ask spread and the feedback of sequential same-side market orders onto both sides of the order book are essential to ensure consistency at the smallest time scale.; Comment: 21 pages, 10 figures

## Financial markets with volatility uncertainty

Vorbrink, Joerg
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
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We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (2007). Our financial market consists of a riskless asset and a risky stock with price process modeled by a geometric G-Brownian motion. We adapt the notion of arbitrage to this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent claims and deduce explicit results in a Markovian setting.

## To sigmoid-based functional description of the volatility smile

Itkin, Andrey
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
16.99%
We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This parameterization is flexible enough to fit market implied volatilities which demonstrate smile or skew. An arbitrage-free calibration algorithm is considered that constructs the implied volatility surface as a grid in the strike-expiration space and guarantees a lack of arbitrage at every node of this grid. We also demonstrate how to construct an arbitrage-free interpolation and extrapolation in time, as well as build a local volatility and implied pdf surfaces. Asymptotic behavior of this parameterization is discussed, as well as results on stability of the calibrated parameters are presented. Numerical examples show robustness of the proposed approach in building all these surfaces as well as demonstrate a better quality of the fit as compared with some known models.; Comment: 32 pages, 18 figures, 5 tables

## On the Consistency of the Deterministic Local Volatility Function Model ('implied tree')

Strobl, Karl
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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We show that the frequent claim that the implied tree prices exotic options consistently with the market is untrue if the local volatilities are subject to change and the market is arbitrage-free. In the process, we analyse -- in the most general context -- the impact of stochastic variables on the P&L of a hedged portfolio, and we conclude that no model can a priori be expected to price all exotics in line with the vanilla options market. Calibration of an assumed underlying process from vanilla options alone must not be overly restrictive, yet still unique, and relevant to all exotic options of interest. For the implied tree we show that the calibration to real-world prices allows us to only price vanilla options themselves correctly. This is usually attributed to the incompleteness of the market under traditional stochastic (local) volatility models. We show that some `weakly' stochastic volatility models without quadratic variation of the volatilities avoid the incompleteness problems, but they introduce arbitrage. More generally, we find that any stochastic tradable either has quadratic variation -- and therefore a $\Ga$-like P&L on instruments with non-linear exposure to that asset -- or it introduces arbitrage opportunities.; Comment: LaTeX...

## On the Existence of Martingale Measures in Jump Diffusion Market Models

Mancin, Jacopo; Runggaldier, Wolfgang J.
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples the only candidate for the density process of an equivalent local martingale measure is a supermartingale that is not a martingale, not even a local martingale. This candidate is given by the supermartingale deflator resulting from the inverse of the discounted growth optimal portfolio. In particular, we con- sider an example with constraints on the portfolio that go beyond the standard ones for admissibility.; Comment: A version has appeared in "Arbitrage, Credit and Informational Risks", Peking University Series in Mathematics Vol.5, World Scientific 2014. Arbitrage, Credit and Informational Risks, (C. Hillairet, M. Jeanblanc, Y. Jiao, eds.). Peking University Series in Mathematics, Vol.5, World Scientific Publishing Co. Pte. Ltd., 2014, pp.29-51

## Robust valuation and risk measurement under model uncertainty

Xu, Yuhong
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets and option markets with uncertain prior distribution are established by Peng's G-stochastic calculus. The process of stock price is described by generalized geometric G-Brownian motion in which the mean uncertainty may move together with or regardless of the volatility uncertainty. On the hedging market, the upper price of an (exotic) option is derived following the Black-Scholes-Barenblatt equation. It is interesting that the corresponding Barenblatt equation does not depend on the risk preference of investors and the mean-uncertainty of underlying stocks. Hence under some appropriate sublinear expectation, neither the risk preference of investors nor the mean-uncertainty of underlying stocks pose effects on our super and subhedging strategies. Appropriate definitions of arbitrage for super and sub-hedging strategies are presented such that the super and sub-hedging prices are reasonable. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty. Finally we show that the term $K$ of finite-variance arising in the super-hedging strategy is interpreted as the max Profit\&Loss of being short a delta-hedged option. The ask-bid spread is in fact the accumulation of summation of the superhedging $P\&L$ and the subhedging $P\&L$.; Comment: 29 pages

## Binary market models with memory

Inoue, Akihiko; Nakano, Yumiharu; Anh, Vo
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.; Comment: 13 pages

## Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco
Tipo: Artigo de Revista Científica
Português
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We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market after the credit-crunch crisis started in summer 2007, standard single-curve no-arbitrage relations are no longer valid, and can be recovered by taking properly into account the forward basis bootstrapped from market basis swaps. Numerical results show that the resulting forward basis curves may display a richer micro-term structure that may induce appreciable effects on the price of interest rate instruments. By recurring to the foreign-currency analogy we also derive generalised no-arbitrage double-curve market-like formulas for basic plain vanilla interest rate derivatives, FRAs, swaps, caps/floors and swaptions in particular. These expressions include a quanto adjustment typical of cross-currency derivatives, naturally originated by the change between the numeraires associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that such correction can be non negligible...

## Binary markets under transaction costs

Cordero, Fernando; Klein, Irene; Ostafe, Lavinia