Vasicek Model
Mostrando 1-5 de 5 artigos, teses e dissertações.
-
1. Apreçamento da convexidade de ativos indexados ao percentual do CDI nos modelos de Vasicek e Cox-Ingersoll-Ross / Convexity pricing of assets indexed to a percentage of the CDI index in Vasicek and Cox-Ingersoll-Ross models
Devido à convexidade intrínseca dos ativos indexados ao percentual do CDI, o resultado esperado desses ativos que tenham seu risco de delta neutralizado com contratos de futuros de DI é diferente de zero. Esse resultado esperado, que chamaremos de prêmio de convexidade, deve ser incorporado ao preço do ativo em questão no momento de sua negociação, e
Publicado em: 2010
-
2. Estimação de modelos de estrutura a termo: aplicação para o Brasil dos modelos afim de Vasicek e CIR 2009 / Estimation of term structure models: application to Brazil of affine models Vasicek and CIR. 2009
In this work, we studied the Brazilian term structure of interest rate for the recent period, from January 2004 to March 2009, exploring the characteristics implied in the swap rates and ID contracts. Based on the theoretical framework of affine models, we analyze the models of Vasicek (1977) and Cox, Ingersoll and Ross (1985), two particular cases of affine
Publicado em: 2009
-
3. A ESTABILIDADE DOS COEFICIENTES BETAS (B): A APLICABILIDADE DOS BETAS HISTÓRICOS NA AVALIAÇÃO DE AÇÕES NO MERCADO BRASILEIRO / BETA (B) STABILITY: THE APPLICABILITY OF HISTORICAL BETAS TO ASSET PRICING IN THE BRAZILIAN STOCK MARKET
The model known as capital asset pricing model - CAPM defines the beta parameter as the constant that measures the expected return variation of an asset in relation to the equity premium. Parameter beta stability is crucial to apply the use of historical data in the pricing of assets and assessing the cost of capital of companies. This dissertation assessed
Publicado em: 2009
-
4. VALUATION OF AN OPTION OVER A FUTURE CONTRACT / VALORAÇÃO DE UMA OPÇÃO SOBRE UM CONTRATO FUTURO
The object of this work is to develop a model based on techniques of simulation and binomial tree to valuate a call option over a future contract. The tool will be based on the theory of derivatives and stochastic processes to simulate the behavior of the active object. The model Black, Derman &Toy uses binomial tree to construct future possibilities of exer
Publicado em: 2006
-
5. UMA ANÁLISE EMPÍRICA PARA A ESTRUTURA A TERMO DA TAXA DE JUROS BRASILEIRA: USANDO O ALGORITMO DO FILTRO DE KALMAN PARA ESTIMAR OS MODELOS DE VASICEK E COX, INGERSOLL E ROSS / AN EMPIRICAL ANALYSIS OF THE BRAZILIAN TERM STRUCTURE OF INTEREST RATES: USING THE KALMAN FILTER ALGORITHM TO ESTIMATE THE VASICEK AND COX, INGERSOLL AND ROSS MODELS
The importance of the term structure of interest rates is hardly exaggerated. The term structure succinctly summarizes an enormous quantity of information about the actual state and about the future expectations of/ for the economy of a country. Within this work, using Kalman filter estimation techniques, we estimate, with Brazilian data, four different mode
Publicado em: 2004