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- Biblioteca Digitais de Teses e Dissertações da USP
- Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM)
- Universidad Icesi; Facultad de Ciencias Administrativas y Económicas
- Universidade Cornell
- Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
- Universidade Duke
- Management Science
- Universidade Federal de Santa Catarina
- London School of Economics and Political Science
- Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
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## Arbitrage pricing theory in international markets; Teoria de apreçamento arbitragem aplicada a mercados internacionais

## Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model

## Modelos de cálculo de las betas a aplicar en el Capital Asset Pricing Model: el caso de Argentina

## General Theory of Geometric L\'evy Models for Dynamic Asset Pricing

## Self-Consistent Asset Pricing Models

## Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks

## A Non-commutative Version of the Fundamental Theorem of Asset Pricing

## A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing

## Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange

## Virtual Arbitrage Pricing Theory

## On the Second Fundamental Theorem of Asset Pricing

## The Capital Asset Pricing Model as a corollary of the Black-Scholes model

## Risco de crédito e alocação ótima para uma carteira de debêntures

## Asset pricing in created markets

## Jump Robustness of Realized Beta and Disentanglement of Jump Beta

## The Capital Asset Pricing Model: An Evaluation of Its Potential As a Strategic Planning Tool

## Computation in Macroeconomic Asset Pricing

This dissertation investigates computational methods for macroeconomic asset pricing models. It demonstrates that advances in economic modeling often require advances in computation and highlights a particular case where more demanding computational methods are required to solve an economic model. It also discusses advances in computational technology that allow researchers to utilize solution methods that would have been previously infeasible. In particular, it demonstrates the wide applicability and potential gains of GPU computing, a parallel computing framework, and applies those tools to a computationally challenging model which investigates trading volume in a general equilibrium, complete-markets economy where agents have heterogeneous beliefs.

; Dissertation