Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Eduardo Facó Lemgruber"'
Publikováno v:
Vianna Sapiens, Vol 9, Iss 1, Pp 24-24 (2018)
O presente artigo trata da aplicação de um modelo de apreçamento na avaliação das cotas seniores de um Fundo de Investimento Imobiliário no Brasil. O modelo utilizado é o binomial de opções compostas, desenvolvido por Freund (2013) para a av
Externí odkaz:
https://doaj.org/article/dd8b4166ee474a759abcd5b291c34989
Publikováno v:
Vianna Sapiens, Vol 9, Iss 1, Pp 24-24 (2018)
O presente artigo trata da aplicação de um modelo de apreçamento na avaliação das cotas seniores de um Fundo de Investimento Imobiliário no Brasil. O modelo utilizado é o binomial de opções compostas, desenvolvido por Freund (2013) para a av
Publikováno v:
Emerging Markets Review. 10:179-190
We develop a tractable structural model to estimate a firm's default probability by modeling its asset and debt behavior. The model incorporates jump factors. For a set of Brazilian large corporations, we compare the structural model results to the d
Publikováno v:
Pesquisa Operacional v.31 n.3 2011
Pesquisa operacional
Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
Pesquisa Operacional, Vol 31, Iss 3, Pp 521-541 (2011)
Pesquisa Operacional, Volume: 31, Issue: 3, Pages: 521-541, Published: DEC 2011
Pesquisa operacional
Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
Pesquisa Operacional, Vol 31, Iss 3, Pp 521-541 (2011)
Pesquisa Operacional, Volume: 31, Issue: 3, Pages: 521-541, Published: DEC 2011
The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3eeb5e240f6b3d2cf9abe7998e1a624d
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007
Autor:
Alan Cosme Rodrigues da Silva, Eduardo Facó Lemgruber, José Alberto Rebello Baranowski, Renato da Silva Carvalho
This work seeks to analyze empirically the coherence of the VaR and the Expected Shortfall by the definition of Artzner et al. (1997) at the Brazilian Stock Market (Bovespa), calculated with three methodologies: the historical simulation, the analyti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::a3634d14d47c29ce990f5cc04c5ba809
http://www.bcb.gov.br/pec/wps/port/wps142.pdf
http://www.bcb.gov.br/pec/wps/port/wps142.pdf
Historical models are being quite used in the value at risk (VaR) estimation due to the fact that many returns of financial assets cannot be described by a theoretical distribution. In these models, each observation of the past can be a possible scen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::02c21ed10aa78d6dff54cdd28b73c576
http://www.bcb.gov.br/pec/wps/port/wps94.pdf
http://www.bcb.gov.br/pec/wps/port/wps94.pdf
Publikováno v:
Revista de Economia e Administração. 3
Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different ris
Publikováno v:
Revista Brasileira de Economia, Volume: 58, Issue: 1, Pages: 100-120, Published: MAR 2004
Revista Brasileira de Economia v.58 n.1 2004
Revista Brasileira de Economia
Fundação Getulio Vargas (FGV)
instacron:FGV
Revista Brasileira de Economia, Vol 58, Iss 1, Pp 100-120 (2004)
Revista Brasileira de Economia v.58 n.1 2004
Revista Brasileira de Economia
Fundação Getulio Vargas (FGV)
instacron:FGV
Revista Brasileira de Economia, Vol 58, Iss 1, Pp 100-120 (2004)
Este artigo investiga o uso de dados de alta freqüência na estimação das volatilidades diária e intradiária do IBOVESPA e no cálculo do valor em risco (VaR). Os modelos GARCH e EGARCH são usados em conjunto com métodos determinísticos de fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2ddef4e11f2b05c1c5d273e46b534c22
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402004000100005&lng=en&tlng=en
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402004000100005&lng=en&tlng=en
Autor:
Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo, Antonio Carlos Figueiredo, Eduardo Facó Lemgruber
The Duan Options Pricing Model is an alternative to the Black & Scholes Model (B&S), but considers the heteroskedasticity and the non-normality of the asset-returns. This study analyzes the performance and the characteristics of this model when appli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::722fd4e258d548d99584cbe42a2d9253
http://www.bcb.gov.br/pec/wps/port/wps78.pdf
http://www.bcb.gov.br/pec/wps/port/wps78.pdf
Publikováno v:
Revista de Economia e Administração. 2
The Value at Risk calculation for options has a lot of difficulties. The non-normality and the non-linearity of these assets cause sufficient unaccuracy in this measurement, mainly for the parametric models. The purpose of this article is to analyze